Multiproduct Optimal Hedging by Time-Varying Correlations in a State Dependent model of Regime-Switching

Replaced with revised version of paper 07/29/10.Agribusiness, Demand and Price Analysis, Risk and Uncertainty,

Off-shell Green functions at one-loop level in Maxwell-Chern-Simons quantum electrodynamics

We derive the off-shell photon propagator and fermion-photon vertex at one-loop level in Maxwell-Chern-Simons quantum electrodynamics in arbitrary covariant gauge, using four-component spinors with parity-even and parity-odd mass terms for both fermions and photons. We present our results using a basis of two, three and four point integrals, some of them not known previously in the literature. These integrals are evaluated in arbitrary space-time dimensions so that we reproduce results derived earlier under certain limits.Comment: 23 pages, 4 figures, version published in Phys. Rev.

A State Dependent Regime Switching Model of Dynamic Correlations

Replaced with revised version of paper 07/29/09.dynamic correlations, regime switching, state dependent probabilities, thresholds, spillovers, Research Methods/ Statistical Methods,

Frustration of freezing in a two dimensional hard-core fluid due to particle shape anisotropy

The freezing mechanism suggested for a fluid composed of hard disks [Huerta et al., Phys. Rev. E, 2006, 74, 061106] is used here to probe the fluid-to-solid transition in a hard-dumbbell fluid composed of overlapping hard disks with a variable length between disk centers. Analyzing the trends in the shape of second maximum of the radial distribution function of the planar hard-dumbbell fluid it has been found that the type of transition could be sensitive to the length of hard-dumbbell molecules. From the ${NpT}$ Monte Carlo simulations data we show that if a hard-dumbbell length does not exceed 15% of the disk diameter, the fluid-to-solid transition scenario follows the case of a hard-disk fluid, i.e., the isotropic hard-dumbbell fluid experiences freezing. However, for a hard-dumbbell length larger than 15% of disk diameter, there is evidence that fluid-to-solid transition may change to continuous transition, i.e., such an isotropic hard-dumbbell fluid will avoid freezing.Comment: 9 pages, 7 figure

Dynamic Price Relationships in the Grain and Cattle Markets, Pre and Post-Ethanol Mandate

This paper determines the dynamic interaction between prices of corn, soybean, grain sorghum (milo), wheat, feeder cattle and live (fed) cattle by taking into account the surge in corn consumption stemming from the boost of mandated ethanol production. Corn is a major carbohydrate-feed component of livestock, with grain sorghum and wheat serving as close substitutes. Moreover, soybean is an important protein-feed component. Being non-stationary data, a vector autoregressive (VAR) model (Sims, 1980) that includes an ‘error correction’ term is applied to the series; likewise known as a vector error correction (VEC) model (Engel and Granger, 1987 and Johansen, 1989). Two separate periods are estimated. The first considers prices prior to recent ethanol mandates. The second includes increased corn consumption from ethanol production, mandated by Energy Policy Acts of 2005 and 2007. Results are consistent with past literature regarding feeder and live cattle prices, among others. More importantly, we find support for the notion of modified feed rations in feedlot operations, given the increased corn prices following the post-ethanol mandated period. The finding is corroborated by two different methods, one via Granger Causality and other via impulse response functions.Corn Prices, Ethanol, Cattle Feed Price Dynamics, Agribusiness, Livestock Production/Industries, Risk and Uncertainty,

Price Volatility, Nonlinearity, and Asymmetric Adjustments in Corn, Soybean, and Cattle Markets: Implications of Ethanol-Driven (Market) Shocks

Grain prices have risen sharply since 2005 and 2006 affecting livestock markets by increasing feed prices and leading to significant volatility shocks. The high price levels and magnitude of sustained high volatilities has raised concerns for many sectors of the economy, in particular those with direct relation to these markets. Policy makers are analyzing the interrelationships among these markets, and the effects of energy market shocks on agricultural markets. This study considers a threshold structure in a multivariate time-series model that evaluates these market linkages, capturing asymmetric correlations between grain and livestock prices, including volatility spillovers. We empirically study the impact of corn usage for ethanol production in the evolution of the above mentioned prices. Results are compared to previous scenarios where corn, soybean and livestock production and consumption did not face the corn demand for ethanol production. We find positive dynamic correlations between corn and soybean and feeder and fed cattle prices, consistent with the literature. And we find an inverse or negative relation between corn and feeder/calf prices for the period post mandated ethanol production, as anticipated by the literature for increased corn prices. Also, we find there are adjustment costs inhibiting price transmission between the crops and the live cattle market, in the form of modifying feeding rations. More relevantly, we identify plausible asymmetric effect on the correlations between the markets, especially when considering the period for the ethanol driven corn consumption versus previous periods of corn consumption. These asymmetric correlations are the result of spillover effects.price volatility, market linkages, thresholds, ethanol-driven shocks, asymmetric correlations, spillovers, Agribusiness, Agricultural and Food Policy, Agricultural Finance, Demand and Price Analysis, Farm Management, Financial Economics, Public Economics, Research Methods/ Statistical Methods,

Prompt photon yield and v2v_2 coefficient from gluon fusion induced by magnetic field in heavy-ion collision

We compute the production of prompt photons and the $v_2$ harmonic coefficient in relativistic heavy-ion collisions induced by gluon fusion in the presence of an intense magnetic field, during the early stages of the reaction. The calculations take into account several parameters which are relevant to the description of the experimental transverse momentum distribution, and elliptic flow for RHIC and LHC energies. The main imput is the strength of the magnetic field which varies in magnitude from 1 to 3 times the pion mass squared, and allows the gluon fusion that otherwise is forbidden in the absence of the field. The high gluon occupation number and the value of the saturation scale also play an important role in our calculation, as well as a flow velocity and geometrical factors. Our results support the idea that the origin of at least some of the photon excess observed in heavy-ion experiments may arise from magnetic field induced processes, and gives a good description of the experimental data.Comment: 6 pages, 2 figures, conference paper from ISMD 201

How different Fermi surface maps emerge in photoemission from Bi2212

We report angle-resolved photoemission spectra (ARPES) from the Fermi energy ($E_F$) over a large area of the ($k_x,k_y$) plane using 21.2 eV and 32 eV photons in two distinct polarizations from an optimally doped single crystal of Bi$_2$Sr$_2$CaCu$_2$O$_{8+\delta}$ (Bi2212), together with extensive first-principles simulations of the ARPES intensities. The results display a wide-ranging level of accord between theory and experiment and clarify how myriad Fermi surface (FS) maps emerge in ARPES under various experimental conditions. The energy and polarization dependences of the ARPES matrix element help disentangle primary contributions to the spectrum due to the pristine lattice from those arising from modulations of the underlying tetragonal symmetry and provide a route for separating closely placed FS sheets in low dimensional materials.Comment: submitted to PR