Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most prominent in live cattle. While significant returns exist holding several market positions, most strategies are strongly affected by a drift in futures market prices. However, the returns from selling live cattle puts are persistent, and evidence from straddle returns identifies that the market overprices volatility. This overpricing is consistent with a short-term risk premium whose effect is magnified by extreme changes in market conditions.live cattle, feeder cattle, options, returns, risk, volatility forecasting, Agribusiness, Agricultural and Food Policy, Agricultural Finance, Community/Rural/Urban Development, Farm Management, Financial Economics, Livestock Production/Industries, Marketing, Research Methods/ Statistical Methods,

Robust multipoint water-fat separation using fat likelihood analysis

Fat suppression is an essential part of routine MRI scanning. Multiecho chemical-shift based water-fat separation methods estimate and correct for Bo field inhomogeneity. However, they must contend with the intrinsic challenge of water-fat ambiguity that can result in water-fat swapping. This problem arises because the signals from two chemical species, when both are modeled as a single discrete spectral peak, may appear indistinguishable in the presence of Bo off-resonance. In conventional methods, the water-fat ambiguity is typically removed by enforcing field map smoothness using region growing based algorithms. In reality, the fat spectrum has multiple spectral peaks. Using this spectral complexity, we introduce a novel concept that identifies water and fat for multiecho acquisitions by exploiting the spectral differences between water and fat. A fat likelihood map is produced to indicate if a pixel is likely to be water-dominant or fat-dominant by comparing the fitting residuals of two different signal models. The fat likelihood analysis and field map smoothness provide complementary information, and we designed an algorithm (Fat Likelihood Analysis for Multiecho Signals) to exploit both mechanisms. It is demonstrated in a wide variety of data that the Fat Likelihood Analysis for Multiecho Signals algorithm offers highly robust water-fat separation for 6-echo acquisitions, particularly in some previously challenging applications. © 2011 Wiley Periodicals, Inc

Phase and amplitude correction for multi-echo water-fat separation with bipolar acquisitions

Purpose: To address phase and amplitude errors for multi-point water-fat separation with bipolar acquisitions, which efficiently collect all echoes with alternating read-out gradient polarities in one repetition. Materials and Methods: With the bipolar acquisitions, eddy currents and other system nonidealities can induce inconsistent phase errors between echoes, disrupting water-fat separation. Previous studies have addressed phase correction in the read-out direction. However, the bipolar acquisitions may be subject to spatially high order phase errors as well as an amplitude modulation in the read-out direction. A method to correct for the 2D phase and amplitude errors is introduced. Low resolution reference data with reversed gradient polarities are collected. From the pair of low-resolution data collected with opposite gradient polarities, the two-dimensional phase errors are estimated and corrected. The pair of data are then combined for water-fat separation. Results: We demonstrate that the proposed method can effectively remove the high order errors with phantom and in vivo experiments, including obliquely oriented scans. Conclusion: For bipolar multi-echo acquisitions, uniform water-fat separation can be achieved by removing high order phase errors with the proposed method. © 2010 Wiley-Liss, Inc

Noise analysis for 3-point chemical shift-based water-fat separation with spectral modeling of fat

Purpose: To model the theoretical signal-to-noise ratio (SNR) behavior of 3-point chemical shift-based water-fat separation, using spectral modeling of fat, with experimental validation for spin-echo and gradient-echo imaging. The echo combination that achieves the best SNR performance for a given spectral model of fat was also investigated. Materials and Methods: Cramér-Rao bound analysis was used to calculate the best possible SNR performance for a given echo combination. Experimental validation in a fatwater phantom was performed and compared with theory. In vivo scans were performed to compare fat separation with and with out spectral modeling of fat. Results: Theoretical SNR calculations for methods that include spectral modeling of fat agree closely with experimental SNR measurements. Spectral modeling of fat more accurately separates fat and water signals, with only a slight decrease in the SNR performance of the water-only image, although with a relatively large decrease in the fat SNR performance. Conclusion: The optimal echo combination that provides the best SNR performance for water using spectral modeling of fat is very similar to previous optimizations that modeled fat as a single peak. Therefore, the optimal echo spacing commonly used for single fat peak models is adequate for most applications that use spectral modeling of fat. © 2010 Wiley-Liss, Inc

Quantification of hepatic steatosis with 3-T MR imaging: Validation in ob/ob mice

Purpose: To validate quantitative imaging techniques used to detect and measure steatosis with magnetic resonance (MR) imaging in an ob/ob mouse model of hepatic steatosis. Materials and Methods: The internal research animal and resource center approved this study. Twenty-eight male ob/ob mice in progressively increasing age groups underwent imaging and were subsequently sacrificed. Six ob /+ mice served as control animals. Fat fraction imaging was performed with a chemical shift-based water-fat separation method. The following three methods of conventional fat quantification were compared with imaging: lipid extraction and qualitative and quantitative histologic analysis. Fat fraction images were reconstructed with single- and multiple-peak spectral models of fat and with and without correction for T2* effects. Fat fraction measurements obtained with the different reconstruction methods were compared with the three methods of fat quantification, and linear regression analysis and two-sided and two-sample t tests were performed. Results:Lipid extraction and qualitative and quantitative histologic analysis were highly correlated with the results of fat fraction imaging (r2 = 0.92, 0.87, 0.82, respectively). No significant differences were found between imaging measurements and lipid extraction (P = .06) or quantitative histologic (P = .07) measurements when multiple peaks of fat and T2* correction were included in image reconstruction. Reconstructions in which T2* correction, accurate spectral modeling, or both were excluded yielded lower agreement when compared with the results yielded by other techniques. Imaging measurements correlated particularly well with histologic grades in mice with low fat fractions (intercept, -1.0% ± 1.2 [standard deviation ]). Conclusion: MR imaging can be used to accurately quantify fat in vivo in an animal model of hepatic steatosis and may serve as a quantitative biomarker of hepatic steatosis. © RSNA, 2010

Combination of complex-based and magnitude-based multiecho water-fat separation for accurate quantification of fat-fraction

Multipoint water-fat separation techniques rely on different water-fat phase shifts generated at multiple echo times to decompose water and fat. Therefore, these methods require complex source images and allow unambiguous separation of water and fat signals. However, complex-based water-fat separation methods are sensitive to phase errors in the source images, which may lead to clinically important errors. An alternative approach to quantify fat is through magnitude-based methods that acquire multiecho magnitude images. Magnitude-based methods are insensitive to phase errors, but cannot estimate fat-fraction greater than 50%. In this work, we introduce a water-fat separation approach that combines the strengths of both complex and magnitude reconstruction algorithms. A magnitude-based reconstruction is applied after complex-based water-fat separation to removes the effect of phase errors. The results from the two reconstructions are then combined. We demonstrate that using this hybrid method, 0-100% fat-fraction can be estimated with improved accuracy at low fat-fractions. Magn Reson Med, 2011. © 2011 Wiley-Liss, Inc. Copyright © 2011 Wiley-Liss, Inc

Water-silicone separated volumetric MR acquisition for rapid assessment of breast implants

Purpose: To develop a robust T2-weighted volumetric imaging technique with uniform water-silicone separation and simultaneous fat suppression for rapid assessment of breast implants in a single acquisition. Materials and Methods: A three-dimensional (3D) fast spin echo sequence that uses variable refocusing flip angles was combined with a three-point chemical-shift technique (IDEAL) and short tau inversion recovery (STIR). Phase shifts of -π/6, +π/2, and +7π/6 between water and silicone were used for IDEAL processing. For comparison, two-dimensional images using 2D-FSE-IDEAL with STIR were also acquired in axial, coronal, and sagittal orientations. Results: Near-isotropic (true spatial resolution-0.9 ×1.3 × 2.0 mm 3) volumetric breast images with uniform water-silicone separation and simultaneous fat suppression were acquired successfully in clinically feasible scan times (7:00-10:00 min). The 2D images were acquired with the same in-plane resolution (0.9 × 1.3 mm 2), but the slice thickness was increased to 6 mm with a slice gap of 1 mm for complete coverage of the implants in a reasonable scan time, which varied between 18:00 and 22:30 min. Conclusion: The single volumetric acquisition with uniform water and silicone separation enables images to be reformatted into any orientation. This allows comprehensive assessment of breast implant integrity in less than 10 min of total examination time. © 2012 Wiley Periodicals, Inc

Independent estimation of T\u3csup\u3e*\u3c/sup\u3e2 for water and fat for improved accuracy of fat quantification

Noninvasive biomarkers of intracellular accumulation of fat within the liver (hepatic steatosis) are urgently needed for detection and quantitative grading of nonalcoholic fatty liver disease, the most common cause of chronic liver disease in the United States. Accurate quantification of fat with MRI is challenging due the presence of several confounding factors, including T z.ast;2 decay. The specific purpose of this work is to quantify the impact of Tz.ast;2decay and develop a multiexponential Tz.ast;2 correction method for improved accuracy of fat quantification, relaxing assumptions made by previous T z.ast;2 correction methods. A modified Gauss-Newton algorithm is used to estimate the Tz.ast;2 for water and fat independently. Improved quantification of fat is demonstrated, with independent estimation of Tz.ast;2 for water and fat using phantom experiments. The tradeoffs in algorithm stability and accuracy between multiexponential and single exponential techniques are discussed. © 2010 Wiley-Liss, Inc