Visualizing Risk Premiums in Commodity Futures Markets

Replaced with revised version of poster 07/21/10.Risk and Uncertainty,

Risk factors and outcomes for ineffective empiric treatment of sepsis caused by gram-negative pathogens: Stratification by onset of infection

ABSTRACT Sepsis and septic shock remain serious consequences of infections, with reported mortality rates in excess of 40 percent. Timely antibiotic therapy in cases of sepsis and septic shock is recognized as an important determinant of outcome. However, the administration of ineffective empirical treatment (IET) (an initial antibiotic regimen that is not active against the identified pathogen[s] based on in vitro susceptibility testing results) is associated with excess mortality compared to effective empirical treatment (EET). We examined all hospitalized patients at Barnes-Jewish Hospital with a sterile site (blood or pleural, abdominal, cerebrospinal, synovial, and pericardial fluid) culture positive for Gram-negative (GN) bacteria combined with a primary or secondary ICD-9-CM code for severe sepsis (995.92) or septic shock (785.52) between January 2010 and October 2015. Variables significantly associated with early-onset (&lt;48 h of hospitalization) IET of GN sterile site sepsis and septic shock included age, recent hospitalization, and prior intravenous antibiotics. Late-onset IET was associated with increasing numbers of hospitalization days before infection onset and prior intravenous antibiotic administration. For patients with early-onset infection, we found no difference in rates of survival between patients receiving IET and EET. However, patients in the late-onset infection group receiving IET had a statistically lower rate of survival than those receiving EET. These data suggest that risk factors and outcomes for IET can vary based on the time of onset of infection. Our results also highlight the importance of prior intravenous antibiotic exposure as a risk factor for IET in infections by GN bacteria regardless of the time of onset of infection. </jats:p

Analyzing Relationships Between Cash and Futures Dairy Markets Using Partially Overlapping Time Series

Replaced with revised version of paper 02/10/10.partially overlapping time series, spectral analysis, risk premium, futures markets, dairy policy, dairy industry, Agribusiness, Agricultural and Food Policy, Agricultural Finance, Q13, Q14, Q18,

Pricing Options on Commodity Futures: The Role of Weather and Storage

Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more consistent with observed option premiums. However, most models are motivated solely from the standpoint of the time series properties of futures prices and need for improvements in forecasting and hedging performance. In this paper we propose a novel arbitrage pricing model motivated from the economic theory of optimal storage, and consistent with implications of plant physiology on the importance of weather stress. We introduce a pricing model for options on futures based on a Generalized Lambda Distribution (GLD) that allows greater flexibility in higher moments of the expected terminal distribution of futures price. We use times and sales data for corn futures and options for the period 1995-2009 to estimate the implied skewness parameter separately for each trading day. An economic explanation is then presented for inter-year variations in implied skewness based on the theory of storage. After controlling for changes in planned acreage, we find a statistically significant negative relationship between ending stocks-to-use and implied skewness, as predicted by the theory of storage. Furthermore, intra-year dynamics of implied skewness reflect the fact that resolution of uncertainty in corn supply is resolved between late June and middle of October, i.e. during corn growth phases that encompass corn silking through grain maturity. Impacts of storage and weather on the distribution of terminal futures price jointly explain upward sloping implied volatility curves.arbitrage pricing model, options on futures, generalized lambda distribution, theory of storage, skewness, Agribusiness, Agricultural Finance, Crop Production/Industries, Financial Economics, Research Methods/ Statistical Methods, Risk and Uncertainty, G13, Q11, Q14,

Augmented renal clearance is not a risk factor for mortality in Enterobacteriaceae bloodstream infections treated with appropriate empiric antimicrobials

The main objective of the study was to assess whether augmented renal clearance was a risk factor for mortality in a cohort of patients with Enterobacteriaceae sepsis, severe sepsis, or septic shock that all received appropriate antimicrobial therapy within 12 hours. Using a retrospective cohort from Barnes-Jewish Hospital, a 1,250-bed teaching hospital, we collected data on individuals with Enterobacteriaceae sepsis, severe sepsis, and septic shock who received appropriate initial antimicrobial therapy between June 2009 and December 2013. Clinical outcomes were compared according to renal clearance, as assessed by Modification of Diet in Renal Disease (MDRD) and Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) formulas, sepsis classification, demographics, severity of illness, and comorbidities. We identified 510 patients with Enterobacteriaceae bacteremia and sepsis, severe sepsis, or septic shock. Sixty-seven patients (13.1%) were nonsurvivors. Augmented renal clearance was uncommon (5.1% of patients by MDRD and 3.0% by CKD-EPI) and was not associated with increased mortality. Our results are limited by the absence of prospective determination of augmented renal clearance. However, in this small cohort, augmented renal clearance as assessed by MDRD and CKD-EPI does not seem to be a risk factor for mortality in patients with Enterobacteriaceae sepsis. Future studies should assess this finding prospectively

Test of the fluctuation theorem for stochastic entropy production in a nonequilibrium steady state

We derive a simple closed analytical expression for the total entropy production along a single stochastic trajectory of a Brownian particle diffusing on a periodic potential under an external constant force. By numerical simulations we compute the probability distribution functions of the entropy and satisfactorily test many of the predictions based on Seifert's integral fluctuation theorem. The results presented for this simple model clearly illustrate the practical features and implications derived from such a result of nonequilibrium statistical mechanics.Comment: Accepted in Phys. Rev.