Miracle-dz/UniFAR-FTUs huggingface dataset:
Intertemporal Commodity Futures Hedging and the Production Decision

This paper deals with the producer's optimal use of commodity futures in hedging. The framework for analysis is an intertemporal consumption and investment model. The producer makes his production decisions at the beginning of the period and realizes his return at the end of the time interval. During the period, he faces both price and output uncertainties. In applying stochastic dynamic programming methods, this paper shows the effect of these risks on his consumption behavior. Further, the paper investigates his optimal hedging positions in the futures market over time and his optimal production decisions. Finally, implications of these results on the futures markets are discussed. THIS PAPER STUDIES a normative model of the farmer's optimal hedging strategy and consumption behavior in a continuous-time framework. Recent papers (for example, Berck [3], Rolfo [18], Stoll [21]) have analyzed the farmer's hedging strategies in a one-period context. These papers have provided interesting insights into the farmer's production decisions and the optimal design of futures contracts and markets. However, in a one-period model some rather restrictive conditions are imposed on the individual's behavior. For example, in these models an individual is assumed to ignore any information arrival process. As a result, the individual is assumed to adjust neither consumption behavior nor hedging positions to the changing state of the world during the production period. These conditions can be relaxed in a continuous-time framework. In an intertemporal context, the farmer's hedging problem may be viewed as follows. Since the farm income (at harvest) depends on both the spot price and the output (in bushels), the farmer is subject to both price and output uncertainties during the production period.1 When the farmer can hedge only in the commodity futures market, he cannot eliminate both the price and output uncertainties by any hedging strategy.2 As the farm income represents a significant portion of his wealth, he must necessarily hold an undiversified portfolio during the production period. Therefore, in essence, the farmer must solve for his investment/consumption behavior and his hedging strategy, facing the nonmarketable asset problem (Mayers [14]) in a multiperiod framework. In this context, one can see intuitively the major difference between a one
Portfolio optimization using a new probabilistic risk measure

In this paper, we introduce a new portfolio selection method. Our method is innovative and flexible. An explicit solution is obtained, and the selection method allows for investors with different degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization problem which maximizes the expected portfolio return and minimizes the maximum individual risk of the assets in the portfolio. The efficient frontier using our method is compared with various efficient frontiers in the literature and found to be superior to others in the mean-variance space.
Optimizing the fluorometric β-glucuronidase assay in ruminant milk for a more precise determination of mastitis

Activity of the enzyme β-glucuronidase (EC 3.2.1.31) is found in milk from ruminants with mastitis. However, the use of this enzymic activity as an indicator of mastitis has gained little attention possibly because of its low activity when compared with other mastitis indicators. The determination may therefore be less precise and the analytical procedure very time consuming and labour intensive. The present study optimized the fluorometric determination of the β-glucuronidase activity with respect to substrate concentration, pH, incubation time etc., validated the assay, and developed it into large scale analyses. The assay performance is satisfactory regarding precision, linearity etc., and it appears comparable to analogous fluorometric assays for mastitis indicators in milk. From a local dairy herd, 825 milk samples were analysed for potential mastitis indicators, i.e. β-glucuronidase, lactate dehydrogenase (LDH), alkaline phosphatase (AP), and N-acetyl-β-d-glucosaminidase (NAGase) activity, and for somatic cell counts (SCC) and the variables were compared. Activity of β-glucuronidase was moderately but significantly correlated to SCC (r=0·21; n=768) as well as the other mentioned variables (r=0·25–0·43; n=825). Simple indices based on β-glucuronidase and LDH or NAGase activity were tested as indicators of mastitis (SCC), but were not found to improve the diagnostic value. Future studies may further verify whether β-glucuronidase can compete with well-established indicators of mastitis in cows such as LDH or NAGase as well as determine whether β-glucuronidase activity, in combination with other indicators of mastitis, has an advantage. Nineteen milk samples from subclinical and latent cases of mastitis (individual quarters) were identified for specific pathogens (PCR method) and measured for β-glucuronidase activity. The activity was tested at four different pH levels (5·5, 6·0, 6·5 and 7·0) in order to investigate the possibility of discrimination between pathogens. However, all milk samples (strains of pathogens) had the same pH optimum for β-glucuronidase activity; this may indicate that enzymic activity from mammary tissue and leucocytes dominates over enzyme activity from bacterial cells.
Good and bad judgment in forecasting: lessons from four companies

In their ongoing investigation into corporate forecasting practices, Robert Fildes and Paul Goodwin have uncovered evidence of excessive use of judgmental adjustment to statistical forecasts. In this report, they document the extent of the problem within four large companies, explore the motivations that lead business forecasters to this sometimes counter-productive behavior, and offer a series of recommendations to ensure that forecast adjustments are made for the right reasons. Copyright International Institute of Forecasters, 2007
DYNAMIC TRAFFIC ASSIGNMENT: PROPERTIES AND EXTENSIONS

Dynamic Traffic Assignment (DTA) is long recognized as a key component for network planning and transport policy evaluations as well as for real-time traffic operation and management. How traffic is encapsulated in a DTA model has important implications on the accuracy and fidelity of the model results. This study compares and contrasts the properties of DTA modelled with point queues versus those with physical queues, and discusses their implications. One important finding is that with the more accurate physical queue paradigm, under certain congested conditions, solutions for the commonly adopted dynamic user optimal (DUO) route choice principle just do not exist. To provide some initial thinking to accommodate this finding, this study introduces the tolerance-based DUO principle. This paper also discusses its solution existence and uniqueness, develops a solution heuristic, and demonstrates its properties through numerical examples. Finally, we conclude by presenting some prospective future research directions.
Homes and Cars: Why are the Cycles in Homes and Consumer Durables so Similar?

Abstract This paper reports three sets of facts: 1) Declines in housing are very good predictors of oncoming recessions in the U.S.; 2) Housing and consumer durables are the most important components of GDP that are soft prior to the official beginnings of recessions, and these two contribute substantially to weakness during recessions; and 3) The cycles in homes and consumer durables are very close, raising the prospect that a monetary rule that targeted housing would alleviate the cycle in consumer durables as well; this is confirmed in an econometric exercise with rates set to stabilize housing starts.These facts are used to argue in favor of monetary policy that prevents excessive building of homes and cars with preemptive rate increases in the middle of expansions when housing starts are above normal and growing higher. This contrasts with the traditional approach which is to raise rates late in expansions when inflation is apparent, but when the markets for homes and durables are very fragile because of excessive building earlier.
Beyond Education and Fairness: A Labor Market Taxation Model for the Great Gatsby Curve

type="main" xml:id="ecin12185-abs-0001"> Applied researchers have been drawn to models that attribute the demonstrated cross-country differences in intergenerational income transmission to government failures to invest in the human capital of poor children. To highlight another potential mechanism, the disincentive effects of labor market taxation and redistribution, we present a simple model that can explain cross-country differences in intergenerational mobility and other previously observed empirical patterns. Empirical tests using data on income mobility, tax rates, and public expenditures largely support the model predictions. We conclude that the common presumption that intergenerational mobility largely measures fairness or opportunity, and the resultant policy recommendations, are premature . ( JEL D31, J24, J62)
Tariffs, Entry Regulation and Markups: Country Size Matters

Abstract Actual and potential competition is a powerful source of discipline on the pricing behavior of firms. This paper extends the empirical literature on the pro-competitive impact of policy reforms by investigating the effects on price markups of barriers to both domestic and foreign entry in a sample of developed and developing countries. While both are found to be important determinants of industry markups, we find that country size affects the impact of tariffs and domestic entry regulation. Country size dampens the impact of the former and strengthens the effect of the latter.
Interregional migration and housing structure in an East European transition country: A view of Lithuania 2001–2008

Abstract This paper explores the relationship between interregional mobility at the municipal level and the local housing structure in a country where the housing sector is characterised by a relatively high private ownership rate, a small private rental sector, and persistent undersupply of new residential housing. Panel data for Lithuania – an East European transition country – for the years 2001–2008 are used to analyse internal migration inflows and outflows. Besides the usual migration determinants such as unemployment and wage differences, housing sector characteristics are also included in the empirical analysis. The results show that internal migration flows are quite responsive to variations in housing market characteristics, especially to the supply of new dwellings, indicating that housing shortage is the key factor hampering interregional migration.
The Small Company Audit Qualification: A Preliminary Investigation

Abstract In recent years there has been much debate in the UK regarding the value and feasibility of the small company audit. The lack of formal internal control systems and the application of universal auditing standards has given rise to the use of a special ‘Small Company (Example 6) Audit Qualification’. However, doubts concerning the uniformity of practice between auditors has created difficulties for users in interpreting its meaning. This paper examines the extent to which a number of financial, organisational and auditor variables are able to explain the receipt of a ‘Small Company Audit Qualification’. The main empirical findings, using multivariate logistic analysis on a sample of 540 small company reports, are that companies audited by large audit practices, companies which had a prior year qualification, a secured loan, declining earnings, large audit lags and few non-director shareholders were more likely to receive an audit qualification than other companies.
Isolation and Characterization of a Cyanophage Infecting the Toxic Cyanobacterium Microcystis aeruginosa

ABSTRACT We isolated a cyanophage (Ma-LMM01) that specifically infects a toxic strain of the bloom-forming cyanobacterium Microcystis aeruginosa. Transmission electron microscopy showed that the virion is composed of anisometric head and a tail complex consisting of a central tube and a contractile sheath with helical symmetry. The morphological features and the host specificity suggest that Ma-LMM01 is a member of the cyanomyovirus group. Using semi-one-step growth experiments, the latent period and burst size were estimated to be 6 to 12 h and 50 to 120 infectious units per cell, respectively. The size of the phage genome was estimated to be ca. 160 kbp using pulse-field gel electrophoresis; the nucleic acid was sensitive to DNase I, Bal31, and all 14 restriction enzymes tested, suggesting that it is a linear double-stranded DNA having a low level of methylation. Phylogenetic analyses based on the deduced amino acid sequences of two open reading frames coding for ribonucleotide reductase alpha- and beta-subunits showed that Ma-LMM01 forms a sister group with marine and freshwater cyanobacteria and is apparently distinct from T4-like phages. Phylogenetic analysis of the deduced amino acid sequence of the putative sheath protein showed that Ma-LMM01 does not form a monophyletic group with either the T4-like phages or prophages, suggesting that Ma-LMM01 is distinct from other T4-like phages that have been described despite morphological similarity. The host-phage system which we studied is expected to contribute to our understanding of the ecology of Microcystis blooms and the genetics of cyanophages, and our results suggest the phages could be used to control toxic cyanobacterial blooms.
Measurement Error in Schooling: Evidence from Samples of Siblings and Identical Twins

Abstract The value of sibling data for identifying the causal effect of schooling on wages hinges on our ability to eliminate biases due to the mismeasurement of schooling. Analysts typically assume errors in schooling reports are "classical. " In this study, we use generalized method of moments to estimate the parameters of a range of measurement error models, including forms of both classical and mean-reverting error models; we estimate the models using a sample of identical twins and a sample of non-twin siblings. The results of likelihood ratio-type tests reveal that variants of classical measurement error models fit both datasets about as well as more flexible models.
Reducing Poverty through Growth and Social Policy Reform in Russia

Following the 1998 financial crisis, four out of every ten people slipped into poverty, not able to meet basic needs. Luckily, post-crisis economic rebound was impressive and broad-based, albeit uneven across sectors and regions. This title explores the nature of poverty, both nationally and regionally, to identify the groups with a high poverty risk. It then examines growth-poverty linkages through the labor market, as well as the contribution of growth and inequality to the recent poverty reduction. It also considers the expected impact of WTO accession on overall growth and poverty. Finally, it focuses on the scope for improving social policy in ways that will have a direct impact on the poor.
Genome sequencing reveals complex speciation in the Drosophila simulans clade

The three species of the Drosophila simulans clade—the cosmopolitan species, D. simulans, and the two island endemic species, D. mauritiana and D. sechellia—are important models in speciation genetics, but some details of their phylogenetic and speciation history remain unresolved. The order and timing of speciation are disputed, and the existence, magnitude, and timing of gene flow among the three species remain unclear. Here we report on the analysis of a whole-genome four-species sequence alignment that includes all three D. simulans clade species as well as the D. melanogaster reference sequence. The alignment comprises novel, paired short-read sequence data from a single highly inbred line each from D. simulans, D. mauritiana, and D. sechellia. We are unable to reject a species phylogeny with a basal polytomy; the estimated age of the polytomy is 242,000 yr before the present. However, we also find that up to 4.6% of autosomal and 2.2% of X-linked regions have evolutionary histories consistent with recent gene flow between the mainland species (D. simulans) and the two island endemic species (D. mauritiana and D. sechellia). Our findings thus show that gene flow has occurred throughout the genomes of the D. simulans clade species despite considerable geographic, ecological, and intrinsic reproductive isolation. Last, our analysis of lineage-specific changes confirms that the D. sechellia genome has experienced a significant excess of slightly deleterious changes and a dearth of presumed favorable changes. The relatively reduced efficacy of natural selection in D. sechellia is consistent with its derived, persistently reduced historical effective population size.
Employment and the Creation of an Active Citizenry

This study examines the link between employment and political participation, using US household survey data. It finds that being employed increases an individual's political activities by more than one-third, primarily through increased income, civic skills, political efficacy and recruitment at work. Union membership and skill-building tasks are strong positive predictors of political participation. In exploring issue-oriented activism, disability activism is found to be lower among employed people with disabilities, but higher among those who report job discrimination. The likely effects of declining unionization, changes in job structures and other workplace and employment trends on overall political participation are discussed.
External Costs of Domestic Container Transportation: Short‐Sea Shipping versus Trucking in Taiwan

Abstract This paper explores the external costs of domestic container transportation in Taiwan by analysing the origin and destination of current container cargoes. After reviewing an extensive literature survey of methods of external cost, a comparison of external costs between trucking and short sea shipping (SSS) by corridor is made by using a model developed in this paper. Based on the findings that external costs of SSS are considerably lower than truck transport and can be a viable alternative to current domestic container cargo transportation, we discuss the significance and managerial implications of SSS from the perspective of green logistics. In so doing, a top‐down approach is employed for developing government policies, which aim to not only reduce the external costs of domestic container transportation but also promote SSS in Taiwan.
Gold Pricing Model During the Financial Crisis

As a special commodity, gold possesses multiple features: as commodity, currency and hedging instrument. Its currency and hedging features are well manifested during the first stage of this financial crisis since 2007. However, the hedging feature of gold was hardly discussed before. The above three features decompose gold’s value into three parts: the commodity value, the currency value and the risk premium value. In this paper, the CRB index, the USDX index and the U.S. Treasury CDS spread are selected as variables in our VAR model. As a result, we find that the USDX index is negatively correlated with the gold price, while the CRB index and the U.S. Treasury CDS spreads are positively correlated with the gold price. In particular, it is found that the one-lagged CRB index, one-lagged USDX index, and two-lagged U.S. Treasury CDS spreads have significant impact on the gold price.
Plea bargaining and prosecutorial discretion

A model of plea bargaining with asymmetric information is presented. The prosecutor's private information consists of the strength of the case, while the defendant's private information consists of h is guilt or innocence. In equilibrium, a fraction of cases are dismis sed because they are too likely to involve an innocent defendant; in the remaining cases, the prosecutor's offer of a sentence in exchange for a plea of guilty reveals the strength of the case. It is shown t hat unlimited prosecutorial discretion may be socially disadvantageou s since it carries with it the requirement of sequential rationality. Copyright 1988 by American Economic Association.
Convergence of the major parties and the emergence of minor parties: a response to Lavelle

Lavelle (2004) takes me to task on three matters: one, that I neglect ‘some evidence of convergence’; two, that data ‘purporting to show voters’ belief in the distinctiveness of the parties, actually reveal increasing numbers of voters unable to see much difference between the Australian Labor Party (ALP) and the Coalition’; and three, that I ignore the success in recent years of minor parties and Independents. Since his claim about the minor parties, though only briefly elaborated, is the most substantial of these—indeed, the first two matters help establish the premises for the third—I shall respond to the other matters and then focus on it.
Bayesian Functional Optimization

Bayesian optimization (BayesOpt) is a derivative-free approach for sequentially optimizing stochastic black-box functions. Standard BayesOpt, which has shown many successes in machine learning applications, assumes a finite dimensional domain which often is a parametric space. The parameter space is defined by the features used in the function approximations which are often selected manually. Therefore, the performance of BayesOpt inevitably depends on the quality of chosen features. This paper proposes a new Bayesian optimization framework that is able to optimize directly on the domain of function spaces. The resulting framework, Bayesian Functional Optimization (BFO), not only extends the application domains of BayesOpt to functional optimization problems but also relaxes the performance dependency on the chosen parameter space. We model the domain of functions as a reproducing kernel Hilbert space (RKHS), and use the notion of Gaussian processes on a real separable Hilbert space. As a result, we are able to define traditional improvement-based (PI and EI) and optimistic acquisition functions (UCB) as functionals. We propose to optimize the acquisition functionals using analytic functional gradients that are also proved to be functions in a RKHS. We evaluate BFO in three typical functional optimization tasks: i) a synthetic functional optimization problem, ii) optimizing activation functions for a multi-layer perceptron neural network, and iii) a reinforcement learning task whose policies are modeled in RKHS.
The Impact of Macroeconomic Policies on the Level of Taxation (and on the Fiscal Balance) in Developing Countries

In recent years the taxation level in many developing countries has changed dramatically over relatively short periods. These changes are too large and too sudden to be attributed fully to a deterioration in tax administration or to changes in the traditional determinants of tax levels. They can be attributed, to a considerable extent, to the connection between tax levels and macroeconomic policies--in particular, exchange rate, import substitution, trade liberalization, inflation, public debt, and financial policies. Thus, more attention should be paid to these relationships, and tax reform should aim to neutralize some of their effects.