pinecone/core-2020-05-10-deduplication huggingface dataset:
Ambiguity and the Value of Hedging

This paper examines the optimal production and hedging decisions of the competitive firm under price uncertainty when the firm's preferences exhibit smooth ambiguity aversion and an unbiased forward hedging opportunity is available. Ambiguity is modeled by a second-order probability distribution that captures the firm's uncertainty about which of the subjective beliefs govern the price risk. Ambiguity preferences are modeled by the (second-order) expectation of a concave transformation of the (first-order) expected utility of profit conditional on each plausible subjective distribution of the price risk. Within this framework, the separation and full-hedging theorems remain intact. Banning the firm from trading its output forward at the unbiased forward price has adverse effect on the firm's production decision. The firm finds the unbiased forward hedging opportunity more valuable in the presence than in the absence of ambiguity. Furthermore, the value of hedging increases when the firm's beliefs are more ambiguous, or when the firm becomes more ambiguity averse.postprin
Information flow, trading activity and commodity futures volatility

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross-correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions
The Impact of a Premium-Based Tick Size on Equity Option Liquidity

On June 2, 2009, NYSE LIFFE Amsterdam reduced the tick size for options trading at prices below € 0.20 from € 0.05 to € 0.01 and on April 1, 2010, the exchange increased the price threshold to € 0.50. We study the effect of that tick size reduction on the liquidity of individual equity options. In this respect, this study is uniquely positioned in the options context where moneyness is a clear additional factor in the implementation of the tick size changes. We show that, in general, quoted and traded option liquidity increased but at a rate decreasing with option moneyness. Real costs fell more for the lower priced contracts. Importantly, we show that the ability of the market to absorb larger trades has potentially diminished after the change in the tick size. We document a substantial increase in quote revisions which implies an increase in price competition and, as a result, an improvement in market quality. Finally, the decrease in the tick size led to an increase in hedging activity using deep‐out‐of‐the‐money puts
The Impact of a Premium Based Tick Size on Equity Option Liquidity

On June 2, 2009, NYSE LIFFE Amsterdam reduced the tick size for options trading at prices below 0.20 from 0.05 to 0.01 and on April 1, 2010, the exchange increased the price threshold to 0.50. We study the effect of that tick size reduction on the liquidity of individual equity options. In this respect, this study is uniquely positioned in the options context where moneyness is a clear additional factor in the implementation of the tick size changes. We show that, in general, quoted and traded option liquidity increased but at a rate decreasing with option moneyness. Real costs fell more for the lower priced contracts. Importantly, we show that the ability of the market to absorb larger trades has potentially diminished after the change in the tick size. We document a substantial increase in quote revisions which implies an increase in price competition and, as a result, an improvement in market quality. Finally, the decrease in the tick size led to an increase in hedging activity using deep-out-of-the-money puts
Corridor Volatility Risk and Expected Returns

© 2015 Wiley Periodicals, Inc. This paper examines the pricing of volatility risk using SPX corridor implied volatility. We decompose model-free implied volatility into various components using different segments of the cross-section of out-of-the money put and call option prices. We find that only model-free volatility computed from the cross-section of out-of-the-money call option prices carries a significant negative risk premium in the cross-section of stock returns and subsumes all relevant information for forecasting future volatility. Our empirical results provide strong evidence that SPX out-of-the money put option prices do not contain useful information for pricing aggregate volatility risk in the cross-section of stock returns
Production and Hedging under Smooth Ambiguity Preferences

This paper examines the optimal production and hedging decisions of the competitive firm facing ambiguous price and background risk. Ambiguity is modeled by a second-order probability distribution that captures the firm's uncertainty about which of the subjective beliefs govern the price and background risk. Ambiguity preferences are modeled by the (second-order) expectation of a concave transformation of the (first-order) expected utility of profit conditional on each plausible subjective joint distribution of the price and background risk. When the background risk is additive in nature, we show that the separation theorem holds in that the firm's optimal production decision depends neither on the firm's attitude towards ambiguity nor on the incident of the underlying ambiguity. We derive necessary and sufficient conditions under which the firm's optimal forward position is completely characterized. When the background risk is multiplicative in nature, we derive sufficient conditions under which the firm reduces its optimal output level and opts for an under-hedge. Contrary to the conventional wisdom, we show that the behavior of the firm is affected by the introduction of ambiguity even when the firm is ambiguity neutral.postprin
Who sets the price of gold: London or new York?

We investigate which of the two main centers of gold trading—the London spot market and the New York futures market—plays a more important role in setting the price of gold. Using intraday data during a 17-year period we find that although both markets contribute to price discovery, the New York futures play a larger role on average. This is striking given the volume of gold traded in New York is less than a tenth of the London spot volume, and illustrates the importance of market structure on the process of price discovery. We find considerable variation in price discovery shares both intraday and across years. The variation is related to the structure and liquidity of the markets, daylight hours, and macroeconomic announcements that affect the price of gold. We find that a major upgrade in the New York trading platform reduces the relative amount of noise in New York futures prices, reduces the impact of daylight hours on the location of price discovery, but does not greatly increase the speed with which information is reflected in prices
Computational homogenization of nano-materials accounting for size effects via surface elasticity

The objective of this contribution is to establish a first-order computational homogenization framework for micro-to-macro transitions of porous media that accounts for the size effects through the consideration of surface elasticity at the microscale. Although the classical (first-order) homogenization schemes are well established, they are not capable of capturing the well-known size effects in nano-porous materials. In this contribution we introduce surface elasticity as a remedy to account for size effects within a first-order homogenization scheme.
This proposition is based on the fact that surfaces are no longer negligible at small scales. Following a standard first-order homogenization ansatz on the microscopic motion in terms of the macroscopic motion, a Hill-type averaging condition is used to link the two scales. The averaging theorems are revisited and generalized to account for surfaces. In the absence of surface energy this generalized framework reduces to classical homogenization. The influence of the length scale is elucidated via a series of numerical examples performed using the finite element method. The numerical results are compared against the analytical ones at small strains for tetragonal and hexagonal microstructures. Furthermore, numerical results at small strains are compared with those at finite strains for both microstructures. Finally, it is shown that there exists an upper bound for the material response of nano-porous media. This finding surprisingly restricts the notion of “smaller is stronger”.ERC Advanced Grant MOCOPOLY, 
National Research Foundation of South Africa,
Samsung Electronics
Phosphorus fertilization by active dust deposition in a super-humid, temperate environment – Soil phosphorus fractionation and accession processes

The inventory of soil phosphorus (P) is subject to significant changes over time. The main primary form, bedrock-derived apatite P, becomes progressively lost through leaching, or transformed into more immobile and less plant-accessible, secondary organic and mineral forms. Here we studied the rejuvenating effect of dust deposition on soil P along an active dust flux gradient downwind of a braided river. Along the gradient, we measured soil P fractions to 50 cm depth of six Spodosols and one Inceptisol, supplemented by tree foliage P concentrations. While an increasing dust flux correlates with a twofold increase of foliar P and soil organic P along the gradient, apatite P declines from ~50 to 3 g m⁻² and total P shows no response. Compared to dust-unaffected Spodosols, depth distribution of total P becomes increasingly uniform and organic P propagates deeper into the soil under dust flux. Further, the effect of topsoil P eluviation attenuates due to higher organic P content and the zone of high apatite P concentrations associated with un-weathered subsoil becomes progressively removed from the upper 50 cm. We interpret these patterns as being consistent with upbuilding pedogenesi and conclude that dust-derived mineral P is assimilated in the organic surface horizon and does not reach the mineral soil. Dust-derived mineral P is temporarily stored in the living biomass and returns to the soil with plant and microbial detritus as organic P, which is subsequently buried by further dust increments. We further conclude that (1) the efficiency of P fertilization of the ecosystem by dust accession is higher than through P advection in dust-unaffected Spodosols and (2) organic P may serve as an important source of labile P in a high-leaching environment. ©2013. American Geophysical Union. All Rights Reserved
Atmospheric CO₂ response to volcanic eruptions: The role of ENSO, season, and variability

Tropical explosive volcanism is one of the most important natural factors that significantly impact the climate system and the carbon cycle on annual to multi-decadal time scales. The three largest explosive eruptions in the last 50 years—Agung, El Chichón, and Pinatubo—occurred in spring/summer in conjunction with El Niño events and left distinct negative signals in the observational temperature and CO2 records. However, confounding factors such as seasonal variability and El Niño-Southern Oscillation (ENSO) may obscure the forcing-response relationship. We determine for the first time the extent to which initial conditions, i.e., season and phase of the ENSO, and internal variability influence the coupled climate and carbon cycle response to volcanic forcing and how this affects estimates of the terrestrial and oceanic carbon sinks. Ensemble simulations with the Earth System Model (Climate System Model 1.4-carbon) predict that the atmospheric CO2 response is ˜60% larger when a volcanic eruption occurs during El Niño and in winter than during La Niña conditions. Our simulations suggest that the Pinatubo eruption contributed 11 ± 6% to the 25 Pg terrestrial carbon sink inferred over the decade 1990–1999 and −2 ± 1% to the 22 Pg oceanic carbon sink. In contrast to recent claims, trends in the airborne fraction of anthropogenic carbon cannot be detected when accounting for the decadal-scale influence of explosive volcanism and related uncertainties. Our results highlight the importance of considering the role of natural variability in the carbon cycle for interpretation of observations and for data-model intercomparison
Revisiting "nutrient trapping" in global coupled biogeochemical ocean circulation models

We analyze an extensive set of global coupled biogeochemical ocean circulation models. The focus is on the equatorial Pacific. In all simulations, which are consistent with observed standing stocks of relevant biogeochemical species at the surface, we find spuriously enhanced (reduced) macronutrient (oxygen) concentrations in the deep eastern equatorial Pacific. This modeling problem, apparently endemic to global coupled biogeochemical ocean circulation models, was coined “nutrient trapping” by Najjar et al. (1992). In contrast to Aumont et al. (1999), we argue that “nutrient trapping” is still a persistent problem, even in eddy-permitting models and, further, that the scale of the problem retards model projections of nitrogen cycling. In line with previous work, our results indicate that a deficient circulation is at the core of the problem rather than an admittedly poor quantitative understanding of biogeochemical cycles. More specifically, we present indications that “nutrient trapping” in models is a result of a spuriously damped Equatorial Intermediate (zonal) Current System and Equatorial Deep Jets—phenomenon which await a comprehensive understanding and have, to date, not been successfully simulated
Legacy Impacts of All-Time Anthropogenic Emissions on the Global Mercury Cycle

Elevated mercury (Hg) in marine and terrestrial ecosystems is a global health concern because of the formation of toxic methylmercury. Humans have emitted Hg to the atmosphere for millennia, and this Hg has deposited and accumulated into ecosystems globally. Here we present a global biogeochemical model with fully coupled atmospheric, terrestrial, and oceanic Hg reservoirs to better understand human influence on Hg cycling and timescales for responses. We drive the model with a historical inventory of anthropogenic emissions from 2000 BC to present. Results show that anthropogenic perturbations introduced to surface reservoirs (atmosphere, ocean, or terrestrial) accumulate and persist in the subsurface ocean for decades to centuries. The simulated present-day atmosphere is enriched by a factor of 2.6 relative to 1840 levels, consistent with sediment archives, and by a factor of 7.5 relative to natural levels (2000 BC). Legacy anthropogenic Hg re-emitted from surface reservoirs accounts for 60% of present-day atmospheric deposition, compared to 27% from primary anthropogenic emissions, and 13% from natural sources. We find that only 17% of the present-day Hg in the surface ocean is natural and that half of its anthropogenic enrichment originates from pre-1950 emissions. Although Asia is presently the dominant contributor to primary anthropogenic emissions, only 17% of the surface ocean reservoir is of Asian anthropogenic origin, as compared to 30% of North American and European origin. The accumulated burden of legacy anthropogenic Hg means that future deposition will increase even if primary anthropogenic emissions are held constant. Aggressive global Hg emission reductions will be necessary just to maintain oceanic Hg concentrations at present levels.Engineering and Applied Science
Winners and losers: Ecological and biogeochemical changes in a warming ocean

We employ a marine ecosystem model, with diverse and flexible phytoplankton communities, coupled to an Earth system model of intermediate complexity to explore mechanisms that will alter the biogeography and productivity of phytoplankton populations in a warming world. Simple theoretical frameworks and sensitivity experiments reveal that ecological and biogeochemical changes are driven by a balance between two impacts of a warming climate: higher metabolic rates (the “direct” effect), and changes in the supply of limiting nutrients and altered light environments (the “indirect” effect). On globally integrated productivity, the two effects compensate to a large degree. Regionally, the competition between effects is more complicated; patterns of productivity changes are different between high and low latitudes and are also regulated by how the supply of the limiting nutrient changes. These complex regional patterns are also found in the changes to broad phytoplankton functional groups. On the finer ecological scale of diversity within functional groups, we find that ranges of some phytoplankton types are reduced, while those of others (potentially minor players in the present ocean) expand. Combined change in areal extent of range and in regionally available nutrients leads to global “winners and losers.” The model suggests that the strongest and most robust signal of the warming ocean is likely to be the large turnover in local phytoplankton community composition.United States. Dept. of Energy. Office of Science (Grant DE-FG02-94ER61937)United States. National Oceanic and Atmospheric AdministrationGordon and Betty Moore Foundatio
Future Arctic Ocean primary productivity from CMIP5 simulations: Uncertain outcome, but consistent mechanisms

Net Arctic Ocean primary production (PP) is expected to increase over this century, due to less perennial sea ice and more available light, but could decrease depending on changes in nitrate (NO3) supply. Here Coupled Model Intercomparison Project Phase 5 simulations performed with 11 Earth System Models are analyzed in terms of PP, surface NO3, and sea ice coverage over 1900–2100. Whereas the mean model simulates reasonably well Arctic-integrated PP (511 TgC/yr, 1998–2005) and projects a mild 58 TgC/yr increase by 2080–2099 for the strongest climate change scenario, models do not agree on the sign of future PP change. However, similar mechanisms operate in all models. The perennial ice loss-driven increase in PP is in most models NO3-limited. The Arctic surface NO3 is decreasing over the 21st century (−2.3 ± 1 mmol/m3), associated with shoaling mixed layer and with decreasing NO3 in the nearby North Atlantic and Pacific waters. However, the intermodel spread in the degree of NO3 limitation is initially high, resulting from >1000 year spin-up simulations. This initial NO3 spread, combined with the trend, causes a large variation in the timing of oligotrophy onset—which directly controls the sign of future PP change. Virtually all models agree in the open ocean zones on more spatially integrated PP and less PP per unit area. The source of model uncertainty is located in the sea ice zone, where a subtle balance between light and nutrient limitations determines the PP change. Hence, it is argued that reducing uncertainty on present Arctic NO3 in the sea ice zone would render Arctic PP projections much more consistent
Impact of atmospheric deposition on the contrasting iron biogeochemistry of the North and South Atlantic Ocean

Dissolved iron (dFe) distributions, atmospheric and vertical subduction fluxes of dFe were determined in the upper water column for two meridional transects of the Atlantic Ocean. The data demonstrate the disparity between the iron biogeochemistry of the North and South Atlantic Ocean and show well defined gradients of size fractionated iron species in surface waters between geographic provinces. The highest dFe and lowest mixed layer residence times (0.4-2.7 y) were found in the northern tropical and subtropical regions. In contrast, the South Atlantic Gyre had lower dFe concentrations (<0.4 nM) and much longer residence times (> 5 y), presumably due to lower atmospheric inputs and more efficient biological recycling of iron in this region. Vertical input fluxes of dFe to surface waters ranged from 20 - 170?nmol?m-2 d-1 in the North Atlantic and tropical provinces, whereas average fluxes of 6 - 13?nmol?m-2 d-1 were estimated for the South Atlantic. Our estimates showed that the variable dFe distribution over the surface Atlantic (<0.1 – 2.0 nM) predominantly reflected atmospheric Fe deposition fluxes (>50% of total vertical Fe flux to surface waters) rather than upwelling or vertical mixing. This demonstrates the strength of the connection between land-derived atmospheric Fe fluxes and the biological cycling of carbon and nitrogen in the Atlantic Ocean
Hysteresis conditions the vertical position of deep chlorophyll maximum in the temperate ocean

Deep chlorophyll maxima (DCMs) are widespread features of oceans. In temperate regions, DCMs are commonly associated with isopycnal surfaces that frequently move over a wide vertical range. This general association between DCMs and isopycnals remains unexplained by present theories, and we show here that it emerges from the seasonal history of the water column. Analysis of the formation of more than 9000 seasonal DCMs throughout the world's oceans consistently locates the vertical position of spring/summer DCMs in temperate seas at the density of the previous winter mixed layer, independently of this density value and future depth. These results indicate that DCM formation cannot be understood without hysteresis by solely considering the instantaneous response of phytoplankton to vertical gradients in physical and chemical fields. Present theories for DCM formation cannot explain why spring and summer DCMs are systematically found at a density equal to that of the previous mixed layer where a bloom has occurred. Rather than reacting to instantaneous physical forcing, the results indicate that DCMs operate as self-preserving biological structures that are associated with particular isopycnals because of their capacity to modify the physicochemical environment. Combined with remote sensors to measure salinity and temperature in the surface ocean, this new understanding of DCM dynamics has the potential to improve the quantification of three-dimensional primary production via satellites. This significant enhancement of the representation of oceanic biological processes can also allow increasingly realistic predictions of future biogeochemical scenarios in a warming ocean. Key Points Deep chlorophyll maxima operate as shelf-preserving structures The vertical position of DCM cannot be fully explained without hysteresis Deep chlorophyll maxima hysteresis is ubiquitous in the temperate ocean ©2013. American Geophysical Union. All Rights Reserved.The analysis presented here was supported by research programs including SESAME (FP6-036949), MedEX (CTM2008-04036-E/MAR), PR11-RNM-7722, and CTM2008-05680-C02/MAR. We also thank GODAS, GlobColour, and the databases whose public data made it possible to pose the hypothesis presented here.Peer Reviewe