NCCC-134
Home Paper Archive What's new Submissions Program Executive Committee Contact Subscribe

Simulating the Value of Directional Information in Futures Markets
Jeffrey H. Dorfman and Christopher S. McIntosh
Year: 1992
 

Abstract

Forecasts are often evaluated by either quantitative precision or qualitative reliability. However, consumers purchase forecasts for the potential utility gains from utilizing the forecasts, not for their accuracy. This is analogous to household production theory where goods are purchased for their derivative consumption services. Using Monte Carlo techniques to incorporate the temporal heteroscedasticity inherent in asset returns, the expected utility of qualitative forecasts are simulated. The associated monetary values for directional forecasts of various reliability levels are then derived. The method goes beyond normal forecast evaluation and allows forecast consumers to price the information value of a set of forecasts given their own utility function and trading system.

 
Click here for a copy of the paper in Adobe's PDF format.



Testing Market Efficiency in a Controlled Environment: The Case of Parimutuel Gambling
Leonardo R. Corral and Barry K. Goodwin
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Optimal Hedging in the Presence of Estimation Risk
Sergio H. Lence and Dermot J. Hayes
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



The Effect of Market Information on Corn and Soybean Markets
Philip Garcia and Raymond M. Leuthold
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Evaluation and Performance of the Frozen Pork Belly Futures Markets
Raymond M. Leuthold
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Estimating the Implicit Value of Management and Production Technology for Contractually Transferred Feeder Pigs
Roger Dahlgran, Dennis DiPietre, Roderick Tubbs, and Bill Greenley
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



An Integrated Model of Variability in Live Cattle Futures Prices
Kevin J. Evans, Deborah H. Streeter, and Michael A. Hudson
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Simultaneously Derived Optimal Hedge Ratios for East Central Illinois Corn and Soybean Producers
Jonathan M. Norvell and Raymond M. Leuthold
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Prequential Approach to Turning Point Prediction
Heon Kook and David A. Besler
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



A Dynamic Minimum Variance Hedge
Sergio H. Lence, Kevin L. Kimle, and Marvin L. Hayenga
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Testing for Switching Market Conduct
Timothy Park and Azzeddine Azzam
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Price Transmission Processes: An Empirical Analysis of the Apple Industry
Michelle R. Hansmire and Lois Schertz Willett
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



The Response of Wheat, Corn and Soybeans Futures Prices to the USDA Export Inspection Report
Phil L. Colling, Scott H. Irwin, and Carl R. Zulauf
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Speculative Activity and Price Volatility in the Live Cattle Futures Market
John B. Rowsell and Wayne D. Purcell
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Output Uncertainty in Fed Cattle Hedging
Brian D. Adam, Stephen R. Koontz, and James N. Trapp
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Forecasting the Nearby Basis of Live Beef Cattle
Shi-Miin Liu, B. Wade Brorsen, Charles Oellermann, and Paul Farris
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Modelling Risk Response in the Marketing Channel for Beef: A Multivariate Generalized Arch-M Approach
Matthew T. Holt
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Considering Hedgers' Basis Risk in Designing Agricultural Futures Contracts
Richard G. Heifner, Gerald E. Plato, and Bruce H. Wright
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Simultaneity and Structural Change in U.S. Meat Demand
James Eales and Laurian J. Unnevehr
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Price Volatility and Futures Market Reactions to USDA Hogs and Pigs Report
Satheesh V. Aradhyula, T. Kesavan, and Matthew T. Holt
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



An Examination of Cointegration in Storable Commodities
T. Randall Fortenbery and Hector O. Zapata
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Cash Settlement for Corn and Soybeans: A Preliminary Analysis
Robert Hauser, Nabil Chaherli, and Sarahelen Thompson
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Are Outlook Price Forecasts Rational?
Scott H. Irwin, Mary E. Gerlow, and Te-Ru Liu
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



To Invert or Not To Invert: The Case of Direct and Inverse AIDS Meat Demand Systems
Thomas I. Wahl, Ron C. Mittelhammer, and Dermot J. Hayes
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Forecasting Volatility for Commodity Option Prices: Incorporation of Volume and Open Interest
Albert A. Williams and Jack E. Houston
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Forecasting Short-Run Fed Cattle Slaughter
Kevin J. Bacon, James N. Trapp, and Stephen R. Koontz
Year: 1992
 

Abstract

The USDA seven states Cattle on Feed report provides significant market information to all stages of the cattle industry. Considerable effort has been spent both by public agencies and private industry to improve on the accuracy and timing of this information. Because this information has an impact on the market, many efforts have been made to forecast it prior to its release. A key question is if a more comprehensive data set were available, could more accurate forecasts of the information in the USDA report be completed in a timely manner. This effort uses traditional time series forecasting methods to examine models using both public and private information to forecast monthly fed cattle marketings. The public information model uses data for current and past releases of the USDA seven state Cattle on Feed report. The private information model consists of daily pen level transactions for over eighty-five feedlots covering eight states. Based on physical data in the private data set describing animal placement weight and date, the expected slaughter dates of current cattle inventories are forecasted and used to project future slaughter. This projected slaughter data is then used to forecast information in the USDA report beyond the current report. Preliminary results indicate that the public model augmented with private data provides marginally improved marketing forecasts for the current period.

 
Click here for a copy of the paper in Adobe's PDF format.



An Examination of Spatial and Intertemporal Aspects of Basis Determination
Maximilian Strobl, T. Randall Fortenbery, and Paul Fackler
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



An Application of Neural Networks: Predicting Corn Yields
J. William Uhrig, Bernard A. Engle, and W. Lance Baker
Year: 1992
 

Abstract

Neural networks consist of highly parallel, interconnected, simple processing units. These systems differ radically from conventional computing systems; no programming is required, and knowledge is stored in the topology of the net and in the connection matrix, rather than explicitly coded in defined data structures. They offer an alternative to rule-based expert systems for developing intelligent applications. Computer algorithms allow these systems to learn from examples and generalize this learned knowledge for '''each unique situation. They provide an extremely powerful method for storing and recovering relational information in symbolic and numeric domains. Neural network software was used on weather data, Modeling corn yields allows an alternative to yield projections made by other methods, and can provide an early forecast of corn yields.

 
Click here for a copy of the paper in Adobe's PDF format.



Analysis of the Changing Structure of U.S. Feed Demand
Robert E. Young II, and Gary M. Adams
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



A Flexible Dynamic Inverse Demand System for Meat Products in U.S.
T. Kesavan and Brian Buhr
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.



Formula Pricing of Feeder Pigs
John D. Lawrence and Jennifer Schmidt
Year: 1992
 
No Abstract Available

 
Click here for a copy of the paper in Adobe's PDF format.


Home | Paper Archive | What's New | Submissions | Program | Executive Committee | Contact Us | Subscribe