PRICE ASYMMETRY IN SPATIAL FED CATTLE MARKETS

Price asymmetry in spatial fed cattle markets is investigated for three large markets (Texas Panhandle, Nebraska, and Colorado) and one small market (Utah). Little support is found for the notion that equilibrium prices for fed cattle are asymmetric between locations. However, adjustments to price increases and price decreases occur at different speeds.Demand and Price Analysis, Livestock Production/Industries,

DYNAMICS OF REGIONAL FED CATTLE PRICES

The dynamic relationship between four regional cash prices for fed (slaughter) cattle is investigated using time series analysis and causality tests. The results indicate that price adjustments to new information take about one week. Texas Panhandle price also was determined to dominate the price discovery process. Regional prices also were found to be interdependent. This suggests that increasing regional meat packer concentration may not grant meat packers increased regional market power in their pricing practices.Demand and Price Analysis, Livestock Production/Industries,

AGRICULTURAL ECONOMICS RESEARCH AND EXTENSION MARKETING PROGRAMS: HOW WELL ARE THEY INTEGRATED?

Extension marketing economists were surveyed to determine whether they are using available research results and whether research is being conducted on topics relevant to extension marketing economists. In some cases, the beliefs of extension marketing economists differ from recent research results. The research topics recommended by extension economists and the topics of papers presented at the 1994-97 annual NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management are well matched. While relevant research is being done, many extension economists desire marketing strategies that both reduce risk and increase income. Research, however, has not produced such strategies.efficient markets, extension, farmer marketing, outlook, research, risk, Teaching/Communication/Extension/Profession,

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

The inaccuracy of the Black-Scholes formula arises from two aspects: the formula is for European options while most real option contracts are American; the formula is based on the assumption that underlying asset prices follow a lognormal distribution while in the real world asset prices cannot be described well by a lognormal distribution. We develop an American option pricing model that allows non-normality. The theoretical basis of the model is Gaussian quadrature and dynamic programming. The usual binomial and trinomial models are special cases. We use the Jarrow-Rudd formula and the relaxed binomial and trinomial tree models to imply the parameters related to the higher moments. The results demonstrate that using implied parameters related to the higher moments is more accurate than the restricted binomial and trinomial models that are commonly used.option pricing, volatility smile, Edgeworth series, Gaussian Quadrature, relaxed binomial and trinomial tree models, Marketing, Risk and Uncertainty,

GLOBAL OPTIMIZATION METHODS

Training a neural network is a difficult optimization problem because of numerous local minimums. Many global search algorithms have been used to train neural networks. However, local search algorithms are more efficient with computational resources, and therefore numerous random restarts with a local algorithm may be more effective than a global algorithm. This study uses Monte-Carlo simulations to determine the relative efficiency of a local search algorithm to 9 stochastic global algorithms. The computational requirements of the global algorithms are several times higher than the local algorithm and there is little gain in using the global algorithms to train neural networks.Research Methods/ Statistical Methods,

The Effects of Historical Settlement Patterns on Oklahoma Student Achievement Test Scores

Labor and Human Capital,

Cost of Forward Contracting Hard Red Winter Wheat

Marketing,

CAN STRUCTURAL CHANGE EXPLAIN THE DECREASE IN RETURNS TO TECHNICAL ANALYSIS?

Practioners Abstract: Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evidence of a structural change in futures price movements that could explain the reduction in fund returns. Bootstrap tests are used to test significance of a change in statistics related to daily returns, close-to-open changes, breakaway gaps, and serial correlation. Results indicate that several statistics have changed across a broad range of commodities indicating futures price fluctuations have changed. The lower price volatility, decreased price reaction time, and decreased serial correlation may partly explain the lower returns from technical analysis.Marketing,

IMPROVING THE RELEVANCE OF RESEARCH ON PRICE FORECASTING AND MARKETING STRATEGIES

Agricultural economists' research on price forecasting and marketing strategies has been used little by those in the real world. We argue that fresh approaches to research are needed. First, we argue that we need to adopt a new theoretical paradigm, noisy rational expectations. This paradigm suggests that gains from using price forecasting models with public data or from using a marketing strategy are not impossible, but any gains are likely to be small. We need to conduct falsification tests; to perform confirmation and replication; to adjust research to reflect structural changes, such as increased contracting; and always to conduct statistical tests. We also provide a modest agenda for changing our research and extension programs.Demand and Price Analysis, Marketing,

COST OF FORWARD CONTRACTING HARD RED WINTER WHEAT

Two methods were used to estimate the cost of forward contracting hard red winter wheat. One hundred days before delivery, the estimated cost of forward contracting ranged from six cents/bu. To eight cents/bu. Thus, further evidence is provided that the cost of forward contracting grain is not zero.forward contracting, nonparametric regression, wheat, Marketing,