Information and Opportunistic Behavior in Federal Crop Insurance Programs

Opportunistic behavior in crop insurance can arise due to asymmetric information between producers and the Federal Crop Insurance Corporation. Producers who insure fields using transitional yields based on county average yields or who select options such as buy-up coverage or revenue insurance may increase their return from crop insurance. Using field-level crop insurance contract data for several crops in five growing regions, we find evidence that producers can profit from using buy-up coverage, revenue insurance, and transitional yields and that the level of producer opportunism is crop but not necessarily land-quality specific and is greater due to premium subsidization.opportunistic behavior, crop insurance, buy-up, revenue, transitional yields

The Effects of Transitional Yields on Adverse Selection in Crop Insurance

Transitional yields based on county average can be used by producers as the basis to obtain crop insurance on fields that have not previously produced the crop. Using field-level crop insurance contract data for several crops in five different growing regions we examine the impact of this asymmetric information on adverse selection. Our results indicate that adverse selection does exist from the use of transitional yields and that it is crop specific but not land-quality specific.adverse selection, crop insurance, transitional yields, Risk and Uncertainty, Q18,

Autocorrelations in the totally asymmetric simple exclusion process and Nagel-Schreckenberg model

We study via Monte Carlo simulation the dynamics of the Nagel-Schreckenberg model on a finite system of length L with open boundary conditions and parallel updates. We find numerically that in both the high and low density regimes the autocorrelation function of the system density behaves like 1-|t|/tau with a finite support [-tau,tau]. This is in contrast to the usual exponential decay typical of equilibrium systems. Furthermore, our results suggest that in fact tau=L/c, and in the special case of maximum velocity 1 (corresponding to the totally asymmetric simple exclusion process) we can identify the exact dependence of c on the input, output and hopping rates. We also emphasize that the parameter tau corresponds to the integrated autocorrelation time, which plays a fundamental role in quantifying the statistical errors in Monte Carlo simulations of these models.Comment: 7 pages, 6 figure

Bandt-Pompe symbolization dynamics for time series with tied values: A data-driven approach

In 2002, Bandt and Pompe [Phys. Rev. Lett. 88, 174102 (2002)] introduced a successfully symbolic encoding scheme based on the ordinal relation between the amplitude of neighboring values of a given data sequence, from which the permutation entropy can be evaluated. Equalities in the analyzed sequence, for example, repeated equal values, deserve special attention and treatment as was shown recently by Zunino and co-workers [Phys. Lett. A 381, 1883 (2017)]. A significant number of equal values can give rise to false conclusions regarding the underlying temporal structures in practical contexts. In the present contribution, we review the different existing methodologies for treating time series with tied values by classifying them according to their different strategies. In addition, a novel data-driven imputation is presented that proves to outperform the existing methodologies and avoid the false conclusions pointed by Zunino and co-workers.Fil: Traversaro Varela, Francisco. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Lanús; ArgentinaFil: Redelico, Francisco Oscar. Hospital Italiano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Quilmes; ArgentinaFil: Risk, Marcelo. Hospital Italiano; Argentina. Instituto Tecnológico de Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Frery, Alejandro César. Universidade Federal de Alagoas; BrasilFil: Rosso, Osvaldo Aníbal. Hospital Italiano; Argentina. Universidade Federal de Alagoas; Brasil. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de Los Andes; Chil

High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model

Motivated by the empirical evidence of high-frequency lead-lag effects and cross-asset linkages, we introduce a multi-asset price formation model which generalizes standard univariate microstructure models of lagged price adjustment. Econometric inference on such model provides: (i) a unified statistical test for the presence of lead-lag correlations in the latent price process and for the existence of a multi-asset price formation mechanism; (ii) separate estimation of contemporaneous and lagged dependencies; (iii) an unbiased estimator of the integrated covariance of the efficient martingale price process that is robust to microstructure noise, asynchronous trading, and lead-lag dependencies. Through an extensive simulation study, we compare the proposed estimator to alternative approaches and show its advantages in recovering the true lead-lag structure of the latent price process. Our application to a set of NYSE stocks provides empirical evidence for the existence of a multi-asset price formation mechanism and sheds light on its market microstructure determinants. Supplementary materials for this article are available online

Phonon anomalies due to strong electronic correlations in layered organic metals

We show how the coupling between the phonons and electrons in a strongly correlated metal can result in phonon frequencies which have a non-monotonic temperature dependence. Dynamical mean-field theory is used to study the Hubbard-Holstein model that describes the \kappa-(BEDT-TTF)_2 X family of superconducting molecular crystals. The crossover with increasing temperature from a Fermi liquid to a bad metal produces phonon anomalies that are consistent with recent Raman scattering and acoustic experiments.Comment: 6 pages, 3 eps figure

Clustering and forecasting of dissolved oxygen concentration on a river basin

The aim of this contribution is to combine statistical methodologies to geographically classify homogeneous groups of water quality monitoring sites based on similarities in the temporal dynamics of the dissolved oxygen (DO) concentration, in order to obtain accurate forecasts of this quality variable. Our methodology intends to classify the water quality monitoring sites into spatial homogeneous groups, based on the DO concentration, which has been selected and considered relevant to characterize the water quality. We apply clustering techniques based on Kullback Information, measures that are obtained in the state space modelling process. For each homogeneous group of water quality monitoring sites we model the DO concentration using linear and state space models, which incorporate tendency and seasonality components in different ways. Both approaches are compared by the mean squared error (MSE) of forecasts

Correlation property of length sequences based on global structure of complete genome

This paper considers three kinds of length sequences of the complete genome. Detrended fluctuation analysis, spectral analysis, and the mean distance spanned within time $L$ are used to discuss the correlation property of these sequences. The values of the exponents from these methods of these three kinds of length sequences of bacteria indicate that the long-range correlations exist in most of these sequences. The correlation have a rich variety of behaviours including the presence of anti-correlations. Further more, using the exponent $\gamma$, it is found that these correlations are all linear ($\gamma=1.0\pm 0.03$). It is also found that these sequences exhibit $1/f$ noise in some interval of frequency ($f>1$). The length of this interval of frequency depends on the length of the sequence. The shape of the periodogram in $f>1$ exhibits some periodicity. The period seems to depend on the length and the complexity of the length sequence.Comment: RevTex, 9 pages with 5 figures and 3 tables. Phys. Rev. E Jan. 1,2001 (to appear