A Monte Carlo Sampling Approach to Testing Separate Families of Hypotheses: Monte Carlo Results

Research Methods/ Statistical Methods,

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,

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,

HEDGING CARCASS BEEF TO REDUCE THE SHORT-TERM PRICE RISK OF MEAT PACKERS

Hedging in the live cattle futures market has largely been viewed as a method of reducing producer's price over a rather lengthy production period (three to six months). Meat packers and processors also face price risk. However, packers' and processors' price risk lies on the upside (i.e., risk is due to price increases) and is also relatively short-term (usually a few days). The possibility of reducing packers' and processors' price risk through long-hedging on the live cattle contract for a short period of time (one week) was investigated. The results suggest some potential benefits to meat packers form following a routine hedging strategy.Livestock Production/Industries, Marketing,

RESOLVING THE CONFLICTS BETWEEN PREVIOUS MEAT GENERIC ADVERTISING STUDIES

Past research disagrees about the effectiveness of generic meat advertising. The conflicting findings are shown to be due to the data transformation used by Ward and Lambert. The results support Brester and Schroeder's findings that the effect of generic meat advertising is small.Livestock Production/Industries, Marketing,

Heterogeneity in Producer's Marketing Strategy

Producers can make their market timing decisions either based on fundamental or technical analysis to reach specific financial target. A generalized mixture model is used to discriminate producers into more than one segment according to their marketing strategies. The heterogeneous selling response is the same within each segment.Marketing,

Transition to electronic trading of Kansas City Board of Trade wheat futures

This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to estimate liquidity costs which eliminates bias resulting from splitting of orders in electronic markets. The liquidity costs are still considerably lower after correcting the bias in electronic market. Liquidity costs were higher in after-hours trading as compared to regular trading hours suggesting a negative impact of volume on liquidity costs. Volatility of futures prices and volume per trade are positively related to liquidity costs, while a negative relation is found between daily volume and liquidity costs. Round-number pricing is more prevalent in the open outcry market. Daily volumes were found distinctively higher during the rolling period as a result of Goldman-Sachs Roll. Trade size is larger in the open outcry market.bid-ask spread, electronic trading, execution costs, KCBT, liquidity, Agribusiness, Agricultural Finance, Marketing,