Agricultural Applications of Value-at-Risk Analysis: A Perspective

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention from financial economists and financial practitioners for its use in risk reporting, in particular the risks of derivatives. This paper provides a "state-of-the-art" review of VaR estimation techniques and empirical findings found in the finance literature. The ability of VaR estimates to represent large losses associated with tail events varies among procedure, confidence level, and data used. To date, there is no consensus to the most appropriate estimation technique. Potential applications of Value-at-Risk are suggested in the context of agricultural risk management. In the wake of the Hedge-to-Arrive crisis, the lifting of agricultural trade options by the CFTC, and the decreased government participation, VaR seems to have a place in the agricultural risk manager's toolkit.Value-at-Risk, risk management, estimation procedures

The Forecasting Value of New Crop Futures: A Decision-Making Framework

The statistical forecasting efficiency of new crop corn and soybean futures is the topic of frequent academic inquiry. However, few studies address the usefulness of these forecasts to economic agents??? decision making. Each year Central Illinois producers are faced with the decision to plant either corn or soybeans on marginal acreage. Agronomic concerns aside, these decisions hinge on the expected relative return of corn versus soybeans, which is largely a function of expected new crop prices. Do new crop futures prices reliably guide producers into the correct production decision? The results suggest that over the entire period of the analysis, futures markets provide only marginal decision-making information to the producer; however, more recent signals do appear to be useful. Further analysis explores several possible factors that could explain why the signals have improved so significantly since 1985.published or submitted for publicationnot peer reviewe

TIME-VARYING MULTIPRODUCT HEDGE RATIO ESTIMATION IN THE SOYBEAN COMPLEX: A SIMPLIFIED APPROACH

In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal. Conditional as well as time-varying hedge ratios have been examined, but in the case of multiproduct time-varying hedge ratios, the difficulty in estimation has been found to often outweigh any improvement in hedging effectiveness. This research examines the hedging effectiveness of the Risk Metrics procedure for estimating a time-varying covariance matrix for developing optimal hedge ratios for the soybean processing margin. The Risk Metrics method allows for a time-varying covariance matrix while being considerably easier to implement than multivariate GARCH (MGARCH) procedures. The Risk Metrics procedure has been advocated for use in developing Value-at-Risk estimates. While it provided considerable out-of-sample improvement in hedging effectiveness relative to a constant correlation MGARCH procedure, the Risk Metrics method provided only minimal improvement over a naive (1-to-1) hedging strategy. However, this research does illustrate the potential for the Risk Metrics methodology as a viable alternative to MGARCH procedures in a multiproduct hedging context.Marketing,

The Forecasting Value of New Crop Futures: A Decision-Making Framework

The statistical forecasting efficiency of new crop corn and soybean futures is the topic of frequent academic inquiry. However, few studies address the usefulness of these forecasts to economic agents' decision making. Each year Central Illinois producers are faced with the decision to plant either corn or soybeans on marginal acreage. Agronomic concerns aside, these decisions hinge on the expected relative return of corn versus soybeans, which is largely a function of expected new crop prices. Do new crop futures prices reliably guide producers into the correct production decision? The results suggest that over the entire period of the analysis, futures markets provide only marginal decision- making information to the producer; however, more recent signals do appear to be useful. Further analysis explores several possible factors that could explain why the signals have improved so significantly since 1985.forecasting efficiency, futures prices, decision making

THE THEORY OF CONTRARY OPINION: A TEST USING SENTIMENT INDICES IN FUTURES MARKETS

The theory of contrary opinion predicts price reversals following extremes in market sentiment. This research tests a survey-based sentiment index's usefulness as a contrary indicator across 28 U.S. futures markets. Using rigorous time-series tests, the sentiment index displays only a sporadic and marginal ability to predict returns, and in those instances the pattern is one of return continuation--not reversals. Therefore, futures traders who rely solely upon sentiment indices as contrary indicators may be misguided.bullish consensus, contrary opinion, market sentiment, Marketing,

DAC-Less amplifier-less generation and transmission of QAM signals using sub-volt silicon-organic hybrid modulators

We demonstrate generation and transmission of optical signals by directly interfacing highly efficient silicon-organic hybrid (SOH) modulators to binary output ports of a field-programmable gate array. Using an SOH Mach-Zehnder modulator (MZM) and an SOH IQ modulator we generate ON-OFF- keying and binary phase-shift keying signals as well as quadrature phase-shift keying and 16-state quadrature amplitude modulation (16QAM) formats. Peak-to-peak voltages amount to only 0.27 V-pp for driving the MZM and 0.41 V-pp for the IQ modulator. Neither digital-to-analog converters nor drive amplifiers are required, and the RF energy consumption in the modulator amounts to record-low 18 fJ/bit for 16QAM signaling

Silicon-organic hybrid electro-optical devices

Organic materials combined with strongly guiding silicon waveguides open the route to highly efficient electro-optical devices. Modulators based on the so-called silicon-organic hybrid (SOH) platform have only recently shown frequency responses up to 100 GHz, high-speed operation beyond 112 Gbit/s with fJ/bit power consumption. In this paper, we review the SOH platform and discuss important devices such as Mach-Zehnder and IQ-modulators based on the linear electro-optic effect. We further show liquid-crystal phase-shifters with a voltage-length product as low as V pi L = 0.06 V.mm and sub-mu W power consumption as required for slow optical switching or tuning optical filters and devices

Ultra-short silicon-organic hybrid (SOH) modulator for bidirectional polarization-independent operation

We propose a bidirectional, polarization-independent, recirculating IQ-modulator scheme based on the silicon-organic hybrid (SOH) platform. We demonstrate the viability of the concept by using an SOH Mach-Zehnder modulator, operated at 10 GBd BPSK and 2ASK-2PSK

Experimental conditions for suppressing Edge Localised Modes by magnetic perturbations in ASDEX Upgrade

EUROfusion Consortium 63305

40 Gbit/s silicon-organic hybrid (SOH) phase modulator

A 40 Gbit/s electro-optic modulator is demonstrated. The modulator is based on a slotted silicon waveguide filled with an organic material. The silicon organic hybrid (SOH) approach allows combining highly nonlinear electro-optic organic materials with CMOS-compatible silicon photonics technology