RP92-217 #2 Producer Marketing Mangement: Deferred Pricing Alternatives for Grain

Grain producers must make marketing decisions every day. First they must decide whether to price or hold grain. If they decide to price grain, they must then choose the most appropriate method of pricing: cash sale, forward contract, or hedging. If they decide to hold grain (not to price), they must choose the most appropriate method of retaining ownership. This fact sheet presents some guidelines to help producers choose the least costly method of owning grain or speculating on price level changes.

Stochastic models and dynamic measures for the characterization of bistable circuits

During the last few years, a great deal of interest has risen concerning the applications of stochastic methods to several biochemical and biological phenomena. Phenomena like gene expression, cellular memory, bet-hedging strategy in bacterial growth and many others, cannot be described by continuous stochastic models due to their intrinsic discreteness and randomness. In this thesis I have used the Chemical Master Equation (CME) technique to modelize some feedback cycles and analyzing their properties, including experimental data. In the first part of this work, the effect of stochastic stability is discussed on a toy model of the genetic switch that triggers the cellular division, which malfunctioning is known to be one of the hallmarks of cancer. The second system I have worked on is the so-called futile cycle, a closed cycle of two enzymatic reactions that adds and removes a chemical compound, called phosphate group, to a specific substrate. I have thus investigated how adding noise to the enzyme (that is usually in the order of few hundred molecules) modifies the probability of observing a specific number of phosphorylated substrate molecules, and confirmed theoretical predictions with numerical simulations. In the third part the results of the study of a chain of multiple phosphorylation-dephosphorylation cycles will be presented. We will discuss an approximation method for the exact solution in the bidimensional case and the relationship that this method has with the thermodynamic properties of the system, which is an open system far from equilibrium.In the last section the agreement between the theoretical prediction of the total protein quantity in a mouse cells population and the observed quantity will be shown, measured via fluorescence microscopy.

Flexibility and firm value: the role of inventories

In the present thesis I study the contribution to firm value of inventories management from a risk management perspective. I find a significant contribution of inventories to the value of risk management especially through the operating flexibility channel. In contrast, I do not find evidence supporting the view of inventories a reserve of liquidity. Inventories substitute, albeit not perfectly, derivatives or cash holdings. The substitution between hedging with derivatives and inventory is moderated by the correlation between cash flow and the underlying asset in the derivative contract. Hedge ratios increase with the effectiveness of derivatives. The decision to hedge with cash holdings or inventories is strongly influenced by the degree of complementarity between production factors and by cash flow volatility. In addition, I provide a risk management based explanation of the secular substitution between inventories and cash holdings documented, among others, in Bates et al. (2009), Journal of Finance. In a sample of U.S. firms between 1980 and 2006, I empirically confirm the negative relation between inventories and cash and provide evidence on the poor performance of investment cash flow sensitivities as a measure of financial constraints also in the case of inventories investment. This result can be explained by firms' scarce reliance on inventories as a reserve of liquidity. Finally, as an extension of my study, I contrast with empirical data the theoretical predictions of a model on the integrated management of inventories, trade credit and cash holdings.

Intermittent spike-wave dynamics in a heterogeneous, spatially extended neural mass model

Generalised epileptic seizures are frequently accompanied by sudden, reversible transitions from low amplitude, irregular background activity to high amplitude, regular spike-wave discharges (SWD) in the EEG. The underlying mechanisms responsible for SWD generation and for the apparently spontaneous transitions to SWD and back again are still not fully understood. Specifically, the role of spatial cortico-cortical interactions in ictogenesis is not well studied. We present a macroscopic, neural mass model of a cortical column which includes two distinct time scales of inhibition. This model can produce both an oscillatory background and a pathological SWD rhythm. We demonstrate that coupling two of these cortical columns can lead to a bistability between out-of-phase, low amplitude background dynamics and in-phase, high amplitude SWD activity. Stimuli can cause state-dependent transitions from background into SWD. In an extended local area of cortex, spatial heterogeneities in a model parameter can lead to spontaneous reversible transitions from a desynchronised background to synchronous SWD due to intermittency. The deterministic model is therefore capable of producing absence seizure-like events without any time dependent adjustment of model parameters. The emergence of such mechanisms due to spatial coupling demonstrates the importance of spatial interactions in modelling ictal dynamics, and in the study of ictogenesis.

Benefits of Induced Host Responses against an Ectoparasite

As a consequence of the deleterious effects of parasites on host fitness, hosts have evolved responses to minimize the negative impact of parasite infection. Facultative parasite-induced responses are favoured when the risk of infection is unpredictable and host responses are costly. In vertebrates, induced responses are generally viewed as being adaptive, although evidence for fitness benefits arising from these responses in natural host populations is lacking. Here we provide experimental evidence for direct reproductive benefits in flea-infested great tit nests arising from exposure during egg production to fleas. In the experiment we exposed a group of birds to fleas during egg laying (the exposed group), thereby allowing for induced responses, and kept another group free of parasites (the unexposed group) over the same time period. At the start of incubation, we killed the parasites in both groups and all nests were reinfested with fleas. If induced responses occur and are adaptive, we expect that birds of the exposed group mount earlier responses and achieve higher current reproductive success than birds in the unexposed group. In agreement with this prediction, our results show that birds with nests infested during egg-laying have (i) fewer breeding failures and raise a higher proportion of hatchlings to hedging age; () offspring that reach greater body mass, grow longer feathers, and hedge earlier, and (iii) a higher number of recruits and first-year grandchildren than unexposed birds. Flea reproduction and survival did not differ significantly between the two treatments. These results provide the first evidence for the occurrence and the adaptiveness of induced responses against a common ectoparasite in a wild population of vertebrates. [References: 50]

Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

Game-theoretic view on intermediated exchange

Intermediaries permeate modern economic exchange. Most classical models on intermediated exchange are driven by information asymmetry and inventory management. These two factors are of reduced significance in modern economies. This makes it necessary to develop models that correspond more closely to modern financial marketplaces. The goal of this dissertation is to propose and examine such models in a game theoretical context. The proposed models are driven by asymmetries in the goals of different market participants. Hedging pressure as one of the most critical aspects in the behavior of commercial entities plays a crucial role. The first market model shows that no equilibrium solution can exist in a market consisting of a commercial buyer, a commercial seller and a non-commercial intermediary. This indicates a clear economic need for non-commercial trading intermediaries: a direct trade from seller to buyer does not result in an equilibrium solution. The second market model has two distinct intermediaries between buyer and seller: a spread trader/market maker and a risk-neutral intermediary. In this model a unique, natural equilibrium solution is identified in which the supply-demand surplus is traded by the risk-neutral intermediary, whilst the market maker trades the remainder from seller to buyer. Since the market maker’s payoff for trading at the identified equilibrium price is zero, this second model does not provide any motivation for the market maker to enter the market. The third market model introduces an explicit transaction fee that enables the market maker to secure a positive payoff. Under certain assumptions on this transaction fee the equilibrium solution of the previous model applies and now also provides a financial motivation for the market maker to enter the market. If the transaction fee violates an upper bound that depends on supply, demand and riskaversity of buyer and seller, the market will be in disequilibrium.

Cortical local and long-range synchronization interplay in human absence seizure initiation

Brain activity relies on transient, fluctuating interactions between segregated neuronal populations. Synchronization within a single and between distributed neuronal clusters reflects the dynamics of these cooperative patterns. Thus absence epilepsy can be used as a model for integrated, large-scale investigation of the emergence of pathological collective dynamics in the brain. Indeed, spike-wave discharges (SWD) of an absence seizure are thought to reflect abnormal cortical hypersynchronization. In this paper, we address two questions: how and where do SWD arise in the human brain? Therefore, we explored the spatio-temporal dynamics of interactions within and between widely distributed cortical sites using magneto-encephalographic recordings of spontaneous absence seizures. We then extracted, from their time-frequency analysis, local synchronization of cortical sources and long-range synchronization linking distant sites. Our analyses revealed a reproducible sequence of 1) long-range desynchronization, 2) increased local synchronization and 3) increased long-range synchronization. Although both local and long-range synchronization displayed different spatio-temporal profiles, their cortical projection within an initiation time window overlap and reveal a multifocal fronto-central network. These observations contradict the classical view of sudden generalized synchronous activities in absence epilepsy. Furthermore, they suggest that brain states transition may rely on multi-scale processes involving both local and distant interactions.

Why Death Matters: Understanding Gameworld Experience

This article presents a study of the staging and implementation of death and the death penalty in a number of popular MMOGs and relates it to players general experience of gameworlds. Game mechanics, writings and stories by designers and players, and the results of an online survey are analysed and discussed. The study shows that the death penalty is implemented much in the same way across worlds; that death can be both trivial and non-trivial, part of the grind of everyday life, or essential in the creation of heroes, depending on context. In whatever function death may serves, it is argued that death plays an important part in the shaping and emergence of the social culture of a world, and in the individual players experience of life within it.