HEDGING WITH FUTURES AND OPTIONS UNDER A TRUNCATED CASH PRICE DISTRIBUTION

Many agricultural producers face cash price distributions that are effectively truncated at a lower limit through participation in farm programs designed to support farm prices and incomes. For example, the 1996 Federal Agricultural Improvement Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan rate, while allowing market prices to freely equilibrate supply and demand. This paper studies the effects of truncated cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and options trading rules under options as well as futures. We derive optimal futures and options trading rules under a range of different truncation scenarios. Empirical results highlights the impacts of basis risk and yield risk on the optimal futures and options portfolio.farm programs, futures, hedging, options, truncation, Marketing,

Measuring Integration and Efficiency in Maize Grain Markets: The Case of South Africa and Mozambique

Price transmission between the South African market and other regional markets is not as straightforward, despite South Africa’s role of a surplus producer for the region. There appears to be a host of local factors that must be taken into account in order to anticipate the likely level of regional food prices. This article assesses the degree of market integration and the speed of price adjustment to spatial price differentials between the SAFEX maize price in South Africa and maize grain and maize meal prices in Maputo, Mozambique. The findings of this study indicate that under certain trading regimes, there is no evidence of a long-run relationship between Mozambican and South African maize grain prices. This implies that any large deviations, within these regimes, which exceed transaction costs, could continue to grow with no tendency towards equilibrium. However, the trade volume data indicates maize grain exports from South Africa into Mozambique in every month except for three within the sample set. Hence, the empirical findings of this paper are unexpected given a simple arbitrage argument. Possible reasons for these findings are highlighted in the article. It is interesting to note that when the same empirical analysis is undertaken for the SAFEX maize prices and maize meal prices in Maputo then there is in fact evidence of a long-run relationship between these prices in a high import regime. These findings are not surprising and are what we would expect since two of the largest milling companies, located in Maputo are responsible for the majority of the volume of maize grain imported into the country from South Africa.price transmission, market integration, cointegration, trade regimes, Crop Production/Industries,

SEAD Virtual Archive: Building a Federation of Institutional Repositories for Long Term Data Preservation

Major research universities are grappling with their response to the deluge of scientific data emerging through research by their faculty. Many are looking to their libraries and the institutional repository as a solution. Scientific data introduces substantial challenges that the document-based institutional repository may not be suited to deal with. The Sustainable Environment - Actionable Data (SEAD) Virtual Archive specifically addresses the challenges of “long tail” scientific data. In this paper, we propose requirements, policy and architecture to support not only the preservation of scientific data today using institutional repositories, but also its rich access and use into the future

Dissecting the Gaseous Halos of z~2 Damped Lyα\alpha Systems with Close Quasar Pairs

We use spectroscopy of close pairs of quasars to study diffuse gas in the circumgalactic medium (CGM) surrounding a sample of 40 Damped Lya systems (DLAs). The primary sightline in each quasar pair probes an intervening DLA in the redshift range 1.6 < z_DLA < 3.6, such that the second quasar sightline then probes Lya, CII, SiII, and CIV absorption in the CGM transverse to the DLA to projected distances $R_{\perp} < 300$ kpc. Analysis of the Lya profiles in these CGM sightlines constrains the covering fraction (f_C) of optically thick HI (having column density N_HI > 10^17.2 cm^-2) to be greater than ~30% within $R_{\perp} < 200$ kpc of DLAs. Strong SiII 1526 absorption with equivalent width W_1526 > 0.2 Ang occurs with an incidence f_C (W_1526 > 0.2 Ang) = 20(+12/-8)% within $R_{\perp}<100$ kpc, indicating that low-ionization metal absorption associated with DLAs probes material at a physical distance R_3D < 30 kpc. However, we find that strong CIV 1548 absorption is ubiquitous in these environments (f_C (W_1548 > 0.2 Ang) = 57(+12/-13)% within $R_{\perp} < 100$ kpc), and in addition exhibits a high degree of kinematic coherence on scales up to ~175 kpc. We infer that this high-ionization material arises predominantly in large, quiescent structures extending beyond the scale of the DLA host dark matter halos rather than in ongoing galactic winds. The Lya equivalent width in the DLA-CGM is anticorrelated with $R_{\perp}$ at >98% confidence, suggesting that DLAs arise close to the centers of their host halos rather than on their outskirts. Finally, the average Lya, CII and CIV equivalent widths are consistent with those measured around z~2 Lyman Break Galaxies. Assuming that DLAs trace a galaxy population with lower masses and luminosities, this finding implies that the absorption strength of cool circumgalactic material has a weak dependence on dark matter halo mass for M_h < 10^12 M_sun.Comment: Submitted to ApJ. 30 pages, 13 figures, 3 tables, 1 appendix. Uses emulateapj forma

The Effects of Visual and Inferential Complexity on the Picture Descriptions of Non-Brain-Damaged and Right-Hemisphere-Damaged Adults

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Three-Centimeter Doppler Radar Observations of Wingtip-Generated Wake Vortices in Clear Air

This report documents a high risk, high pay-off experiment with the objective of detecting, for the first time, the presence of aircraft wake vortices in clear air using X-band Doppler radar. Field experiments were conducted in January 1995 at the Wallops Flight Facility (WFF) to demonstrate the capability of the 9.33 GHz (I=3 cm) radar, which was assembled using an existing nine-meter parabolic antenna reflector at VVTT and the receiver/transmitter from the NASA Airborne Windshear Radar-Program. A C-130-aircraft, equipped with wingtip smoke generators, created visually marked wake vortices, which were recorded by video cameras. A C-band radar also observed the wake vortices during detection attempts with the X-band radar. Rawinsonde data was used to calculate vertical soundings of wake vortex decay time, cross aircraft bearing wind speed, and water vapor mixing ratio for aircraft passes over the radar measurement range. This experiment was a pathfinder in predicting, in real time, the location and persistence of C-130 vortices, and in setting the flight path of the aircraft to optimize X-band radar measurement of the wake vortex core in real time. This experiment was conducted in support of the NASA Aircraft Vortex Spacing System (AVOSS)

Collateral and Debt Maturity Choice. A Signaling Model

This paper derives optimal loan policies under asymmetric information where banks offer loan contracts of long and short duration, backed or unbacked with collateral. The main novelty of the paper is that it analyzes a setting in which high quality firms use collateral as a complementary device along with debt maturity to signal their superiority. The least-cost signaling equilibrium depends on the relative costs of the signaling devices, the difference in firm quality and the proportion of good firms in the market. Model simulations suggest a non-monotonic relationship between firm quality and debt maturity, in which high quality firms have both long-term secured debt and short-term secured or non-secured debt.

Corner contributions to holographic entanglement entropy

The entanglement entropy of three-dimensional conformal field theories contains a universal contribution coming from corners in the entangling surface. We study these contributions in a holographic framework and, in particular, we consider the effects of higher curvature interactions in the bulk gravity theory. We find that for all of our holographic models, the corner contribution is only modified by an overall factor but the functional dependence on the opening angle is not modified by the new gravitational interactions. We also compare the dependence of the corner term on the new gravitational couplings to that for a number of other physical quantities, and we show that the ratio of the corner contribution over the central charge appearing in the two-point function of the stress tensor is a universal function for all of the holographic theories studied here. Comparing this holographic result to the analogous functions for free CFT's, we find fairly good agreement across the full range of the opening angle. However, there is a precise match in the limit where the entangling surface becomes smooth, i.e., the angle approaches $\pi$, and we conjecture the corresponding ratio is a universal constant for all three-dimensional conformal field theories. In this paper, we expand on the holographic calculations in our previous letter arXiv:1505.04804, where this conjecture was first introduced.Comment: 62 pages, 6 figures, 1 table; v2: minor modifications to match published version, typos fixe

Reverse undercompressive shock structures in driven thin film flow

We show experimental evidence of a new structure involving an undercompressive and reverse undercompressive shock for draining films driven by a surface tension gradient against gravity. The reverse undercompressive shock is unstable to transverse perturbations while the leading undercompressive shock is stable. Depending on the pinch-off film thickness, as controlled by the meniscus, either a trailing rarefaction wave or a compressive shock separates from the reverse undercompressive shock