COMPARING THE PERFORMANCES OF THE PARTIAL EQUILIBRIUM AND TIME-SERIES APPROACHES TO HEDGING

This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using a simple derivative with a linear payoff function (a futures contract). For various methods of parameter estimation and inference, we find that the partial equilibrium models cannot out-perform the time series model. The partial equilibrium models unpalatable assumptions of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted option-implied volatility term structures are employed.Marketing,

Estimating Actual Bid-Ask Spreads in Commodity Futures Markets

Various bid-ask spread estimators are applied to transaction data from LIFFE cocoa and coffee futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, which are not reported by most open-outcry futures markets, can be reasonably estimated using readily available transaction data. This is especially important since recent research seems to indicate that efforts to estimate effective spreads using data commonly available from futures markets have not been successful. Thus estimates of actual spreads can give market participants and researchers some idea of potential transaction costs. Accurate estimates of bid-ask spreads will also be needed to assess the relative efficiency of electronic versus open-outcry trading. Results indicate that estimators using averages of absolute price changes perform significantly better at estimating actual bid-ask spreads in futures markets than estimators using the covariance of successive price changes.Marketing,

PRICE AND PRICE RISK DYNAMICS IN BARGE AND OCEAN FREIGHT MARKETS AND THE EFFECTS ON COMMODITY TRADING

The effects of volatility of barge and ocean freight prices on prices throughout the international grain-marketing channel are analyzed using a Multivariate GARCH-M model. The model is used to infer the extent to which transportation price risk affects the level of international grain prices. Results indicate that both barge and ocean price volatility influence grain prices, but barge price volatility tends to have a greater impact on grain prices than that arising from ocean price volatility. The lack of a futures contract for barge rates may be partially responsible for its significant influence on grain price levels.Barge and ocean freight prices, futures contracts, Multivariate GARCH-Models, Price volatility, International Relations/Trade,

The CARE 3 Phase 3 Report: Test and Evaluation

CARE 3 (Computer-Aided Reliability Estimation, version three) is a computer program designed to help estimate the reliability of complex, redundant systems; although the program can model a wide variety of redundant structures, it was developed specifically for fault-tolerant avionics systems, systems distinguished by the need for extremely reliable performance since a system failure could well result in the loss of human life. CARE 3 further generalizes the class of system structures that can be modeled and greatly expands the coverage model to take into account such effects as intermittent and transient faults, latent faults, error propagation, etc. The initial test and evaluation of CARE 3 are reported

Calibrated Sub-Bundles in Non-Compact Manifolds of Special Holonomy

This paper is a continuation of math.DG/0408005. We first construct special Lagrangian submanifolds of the Ricci-flat Stenzel metric (of holonomy SU(n)) on the cotangent bundle of S^n by looking at the conormal bundle of appropriate submanifolds of S^n. We find that the condition for the conormal bundle to be special Lagrangian is the same as that discovered by Harvey-Lawson for submanifolds in R^n in their pioneering paper. We also construct calibrated submanifolds in complete metrics with special holonomy G_2 and Spin(7) discovered by Bryant and Salamon on the total spaces of appropriate bundles over self-dual Einstein four manifolds. The submanifolds are constructed as certain subbundles over immersed surfaces. We show that this construction requires the surface to be minimal in the associative and Cayley cases, and to be (properly oriented) real isotropic in the coassociative case. We also make some remarks about using these constructions as a possible local model for the intersection of compact calibrated submanifolds in a compact manifold with special holonomy.Comment: 20 pages; for Revised Version: Minor cosmetic changes, some paragraphs rewritten for improved clarit

Closed trajectories of a particle model on null curves in anti-de Sitter 3-space

We study the existence of closed trajectories of a particle model on null curves in anti-de Sitter 3-space defined by a functional which is linear in the curvature of the particle path. Explicit expressions for the trajectories are found and the existence of infinitely many closed trajectories is proved.Comment: 12 pages, 1 figur

Urban solar photovoltaics potential: An inventory and modelling study applied to the San Fernando Valley region of Los Angeles

Procedures for analyzing the potential of solar photovoltaic collectors to meet energy requirements in a metropolitan region are described and a modeling effort is applied to the San Fernando Valley region of Los Angeles. The procedure involves a series of steps designed to produce maps and tabulations revealing the amount of rooftop area available for establishing solar collectors and the proportion of energy requirement that could be potentially supplied by solar photovoltaics within each of the 533 mainline feeder service areas in the study area. For the sixty five square mile study area, the results showed that, with half the available flat and south facing roofs used and assuming the availability of energy storage, 52.7 percent of the actual kWh energy requirements could have been met in 1978 using photovoltaic collectors. Hourly, daily, weekly, and monthly fluctuations in potential supply and actual loads and recommendations of avenues for further research are discussed. Some further potential applications of the modeling technique are suggested

Two universal results for Wilson loops at strong coupling

We present results for Wilson loops in strongly coupled gauge theories. The loops may be taken around an arbitrarily shaped contour and in any field theory with a dual IIB geometry of the form M x S^5. No assumptions about supersymmetry are made. The first result uses D5 branes to show how the loop in any antisymmetric representation is computed in terms of the loop in the fundamental representation. The second result uses D3 branes to observe that each loop defines a rich sequence of operators associated with minimal surfaces in S^5. The action of these configurations are all computable. Both results have features suggesting a connection with integrability.Comment: 1+12 pages. LaTeX. No figure