A TWO-SHOCK MODEL OF THE IMPACT OF CROP INSURANCE ON INPUT USE: ANALYTIC AND SIMULATION RESULTS

By altering the probability distribution of farm income, crop insurance programs affect farmer's input use decision. Ramaswami's (1993) one-shock model analyzed the effect of the crop insurance on single input use by allowing the randomness of yield while keeping price constant in revenue determination. The total effect of actuarially fair insurance on input use was decomposed into risk reduction effect and moral hazard effect, and the directions of the two effects were examined. He showed that the total impact of actuarially fair crop insurance on input use was a) to reduce it if the input was risk decreasing and b) indeterminate if the input was risk increasing. However, the evidence from previous empirical work has been mixed. Horowitz and Lichtenberg (1993) suggested insured farmers raising corn use more fertilizers and pesticides while Smith and Goodwin (1996) obtained the opposite result for wheat. Smith and Goodwin also used more comprehensive econometric tests and had a higher quality data set. A common belief is that fertilizer is risk increasing and pesticide risk decreasing. Ramaswami's model assumed crop price was constant and yield was the only source of randomness in farmer's revenue. In reality, market price is a random variable and often negatively correlated with the farmer's yield. For example, bad weather conditions tend to reduce yield across farms in a common region, which may cause diminished quantities supplied and higher crop price. Our paper extends Ramaswami's one-shock model to a two-shock model, and generalizes the two propositions in that paper by introducing randomness to price as well as yield. With two random shocks, the total insurance effect on input use is indeterminate for both risk increasing and risk decreasing inputs, which is consistent with the mixed empirical evidence. Our study also provides a numerical method to decompose the total insurance effect into a risk reduction effect and a moral hazard effect using empirical data. The simulation based on 75 percent coverage level suggests the total insurance effect is economically small to the farmer as are the risk reduction effect and moral hazard effect under mild risk aversion. And the moral hazard effect is less significant than the risk reduction effect. However, the moral hazard effect becomes larger if a higher coverage level is used.Risk and Uncertainty,

Statistical properties of short term price trends in high frequency stock market data

We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.Comment: 10 pages, 9 figures, in ver. 2 one chapter adde

Melanocortin 1 receptor targeted imaging of melanoma with gold nanocages and positron emission tomography

Purpose: Melanoma is a lethal skin cancer with unmet clinical needs for targeted imaging and therapy. Nanoscale materials conjugated with targeting components have shown great potential to improve tumor delivery efficiency while minimizing undesirable side effects in vivo. Herein, we proposed to develop targeted nanoparticles for melanoma theranostics. Method: In this work, gold nanocages (AuNCs) were conjugated with α-melanocyte-stimulating hormone (α-MSH) peptide and radiolabeled with 64Cu for melanocortin 1 receptor-(MC1R) targeted positron emission tomography (PET) in a mouse B16/F10 melanoma model. Results: Their controlled synthesis and surface chemistry enabled well-defined structure and radiolabeling efficiency. In vivo pharmacokinetic evaluation demonstrated comparable organ distribution between the targeted and nontargeted AuNCs. However, micro-PET/computed tomography (CT) imaging demonstrated specific and improved tumor accumulation via MC1R-mediated delivery. By increasing the coverage density of α-MSH peptide on AuNCs, the tumor delivery efficiency was improved. Conclusion: The controlled synthesis, sensitive PET imaging, and optimal tumor targeting suggested the potential of targeted AuNCs for melanoma theranostics. </jats:sec

Volatility in Financial Markets: Stochastic Models and Empirical Results

We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fails in describing the empirical pdf over a moderately large volatility range.Comment: 6 pages, 2 figure

Nonextensive statistical features of the Polish stock market fluctuations

The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999 - 31.10.2005 for the time lags ranging from one minute up to one hour. This market is commonly classified as emerging. Still on the shortest time scales studied we find that the tails of the return distributions are consistent with the inverse cubic power-law, as identified previously for majority of the mature markets. Within the time scales studied a quick and considerable departure from this law towards a Gaussian can however be traced. Interestingly, all the forms of the distributions observed can be comprised by the single $q$-Gaussians which provide a satisfactory and at the same time compact representation of the distribution of return fluctuations over all magnitudes of their variation. The corresponding nonextensivity parameter $q$ is found to systematically decrease when increasing the time scales.Comment: 14 pages. Physica A in prin

Eta absorption by mesons

Using the $[SU(3)_{\mathrm{L}} \times SU(3)_{\mathrm{R}}]_{\mathrm{global}}\times [SU(3)_V]_{\mathrm{local}}$ chiral Lagrangian with hidden local symmetry, we evaluate the cross sections for the absorption of eta meson ($\eta$) by pion ($\pi$), rho ($\rho$), omega ($\omega$), kaon ($K$), and kaon star ($K^*$) in the tree-level approximation. With empirical masses and coupling constants as well as reasonable values for the cutoff parameter in the form factors at interaction vertices, we find that most cross sections are less than 1 mb, except the reactions $\rho\eta\to K\bar K^*(\bar KK^*)$, $\omega\eta\to K\bar K^*(\bar KK^*)$, $K^*\eta\to\rho K$, and $K^*\eta\to\omega K$, which are a few mb, and the reactions $\pi\eta\to K\bar K$ and $K\eta\to\pi K$, which are more than 10 mb. Including these reactions in a kinetic model based on a schematic hydrodynamic description of relativistic heavy ion collisions, we find that the abundance of eta mesons likely reaches chemical equilibrium with other hadrons in nuclear collisions at the Relativistic Heavy Ion Collider.Comment: 29 pages, 10 figures, version to appear in Nucl. Phys.

Electromagnetically-Induced-Transparency-Like Effect in the Degenerate Triple-Resonant Optical Parametric Amplifier

We investigate experimentally the absorptive and dispersive properties of triple-resonant optical parametric amplifier OPA for the degenerate subharmonic field. In the experiment, the subharmonic field is utilized as the probe field and the harmonic wave as the pump field. We demonstrate that EIT-like effect can be simulated in the triple-resonant OPA when the cavity line-width for the harmonic wave is narrower than that for the subharmonic field. However, this phenomenon can not be observed in a double-resonant OPA. The narrow transparency window appears in the reflected field. Especially, in the measured dispersive spectra of triple-resonant OPA, a very steep variation of the dispersive profile of the subharmonic field is observed, which can result in a slow light as that observed in atomic EIT medium.Comment: 10 pages, 4 figures, appear in Opt. Let

Bayesian Methods for Analysis and Adaptive Scheduling of Exoplanet Observations

We describe work in progress by a collaboration of astronomers and statisticians developing a suite of Bayesian data analysis tools for extrasolar planet (exoplanet) detection, planetary orbit estimation, and adaptive scheduling of observations. Our work addresses analysis of stellar reflex motion data, where a planet is detected by observing the "wobble" of its host star as it responds to the gravitational tug of the orbiting planet. Newtonian mechanics specifies an analytical model for the resulting time series, but it is strongly nonlinear, yielding complex, multimodal likelihood functions; it is even more complex when multiple planets are present. The parameter spaces range in size from few-dimensional to dozens of dimensions, depending on the number of planets in the system, and the type of motion measured (line-of-sight velocity, or position on the sky). Since orbits are periodic, Bayesian generalizations of periodogram methods facilitate the analysis. This relies on the model being linearly separable, enabling partial analytical marginalization, reducing the dimension of the parameter space. Subsequent analysis uses adaptive Markov chain Monte Carlo methods and adaptive importance sampling to perform the integrals required for both inference (planet detection and orbit measurement), and information-maximizing sequential design (for adaptive scheduling of observations). We present an overview of our current techniques and highlight directions being explored by ongoing research.Comment: 29 pages, 11 figures. An abridged version is accepted for publication in Statistical Methodology for a special issue on astrostatistics, with selected (refereed) papers presented at the Astronomical Data Analysis Conference (ADA VI) held in Monastir, Tunisia, in May 2010. Update corrects equation (3