Stereoscopic computer graphics display system

Handbook was published on study which describes relative merits of two general-purpose, steroscopic display systems. Both systems are adaptable to most small data processing facilities and, with minimal hardware development, greatly enhance user ability to interact with computer and to interpret data output. Section also describes digital-to-analog converters designed for use with system

IMPROVING THE RELEVANCE OF RESEARCH ON PRICE FORECASTING AND MARKETING STRATEGIES

Agricultural economists' research on price forecasting and marketing strategies has been used little by those in the real world. We argue that fresh approaches to research are needed. First, we argue that we need to adopt a new theoretical paradigm, noisy rational expectations. This paradigm suggests that gains from using price forecasting models with public data or from using a marketing strategy are not impossible, but any gains are likely to be small. We need to conduct falsification tests; to perform confirmation and replication; to adjust research to reflect structural changes, such as increased contracting; and always to conduct statistical tests. We also provide a modest agenda for changing our research and extension programs.Demand and Price Analysis, Marketing,

Has the Performance of the Hog Options Market Changed?

The hog option contract has served as a risk management tool for the pork industry for more than 20 years. However, very limited information exists about how this market behaves and how it was affected by the contract redesign of 1996. This paper evaluates the efficiency of hog options markets comparing its pricing function during the live hog contract period to the lean hog contract period. Trading returns are computed and adjusted for risk using the Sharpe ratio and the Capital Asset Pricing Model. When the whole sample period is analyzed, results indicate that no profits can be made by taking either side of the hog options markets. However, analyzing the live and the lean hog contracts separately, some evidence suggest that opportunities for speculative profits existed during the live hog contract period. These conclusions are not driven by the extreme price movements in the futures price occurred during late 1998. Further research should investigate whether general futures price movements are responsible for these large returns.Marketing,

THE EFFECTS OF FUTURES TRADING BY LARGE HEDGE FUNDS AND CTAS ON MARKET VOLATILITY

This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are conducted to distinguish between the private information hypothesis and the noise trader hypothesis. The first test consisted of identifying the noise component exhibited in return variances over different holding periods. The variance ratio tests provide little support for the noise trader hypothesis. The second test examined whether positive feedback trading characterized large hedge fund and CTA trading behavior. These results suggest that trading decisions by large hedge funds and CTAs, although influenced in small part by past price changes, are not driven by past price changes. The third test consists of estimating the profits and losses associated with the open interest positions of large hedge funds and CTAs. This test is based on the argument that speculative trading can only be destabilizing if speculators buy when prices are high and sell when prices are low, which in turn, implies that destabilizing speculators lose money. Across all thirteen markets, the profit for large hedge funds and CTAs is estimated to be just under $400 million. This implies that the trading decisions are likely based on valuable private information. Overall, the evidence presented in this study suggests trading by large hedge funds and CTAs is based on private fundamental information. These findings imply large hedge funds and CTAs benefit market efficiency by bringing valuable, fundamental information to the market through their trading.hedge fund, commodity trading advisor, volatility, market efficiency, futures markets, Marketing,

Understanding USDA Corn and Soybean Production Forecasts: An Overview of Methods, Performance and Market Impacts

Agricultural Finance,

To What Surprises Do Hog Futures Markets Respond?

We re-assess the effect of new information contained in the Hogs and Pigs Reports (HPR) focusing on the rationality of the announcements. We find that HPR preliminary numbers are irrational estimates of the final numbers and market expectations before the announcements are also irrational estimates of HPR numbers. Based on these results we modify the conventional measure of new information entering into the market (i.e., announcement - market expectation), and incorporate final estimates and the market’s best forecast into the analysis. Results show modest statistical differences between the conventional and modified measures of surprise; however some economic differences, as large as 27 cents/cwt, emerged. We also find that, as expected, marketings information has a larger effect on short-term price changes and breedings information has a larger effect on long-term price changes.USDA announcements, HPR, rationality, new information, two-limit tobit,

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most prominent in live cattle. While significant returns exist holding several market positions, most strategies are strongly affected by a drift in futures market prices. However, the returns from selling live cattle puts are persistent, and evidence from straddle returns identifies that the market overprices volatility. This overpricing is consistent with a short-term risk premium whose effect is magnified by extreme changes in market conditions.live cattle, feeder cattle, options, returns, risk, volatility forecasting, Agribusiness, Agricultural and Food Policy, Agricultural Finance, Community/Rural/Urban Development, Farm Management, Financial Economics, Livestock Production/Industries, Marketing, Research Methods/ Statistical Methods,

The Value of USDA Situation and Outlook Information in Hog and Cattle Markets

The economic value of public situation and outlook information has long been a subject of debate. The purpose of this study is to investigate the economic value of USDA reports in hog and cattle markets. The investigation is based on event study analysis, with the "events" consisting of the release of six major USDA situation and outlook reports for hogs and cattle from 1985 through 2003. These include Cattle, Cattle on Feed, Cold Storage, Hogs and Pigs, Livestock, Dairy and Poultry Outlook (LDPO), and World Agricultural Supply and Demand Estimates (WASDE) reports. As a result of the process of modeling volatility of hog and cattle prices, a TARCH-in-mean model was specified that closely followed the distribution of these price movements. The effects of external information were evaluated within this model using dummy variables in the variance equation. The analysis revealed a statistically significant impact of all but Cattle and Cold Storage reports on live/lean hog returns and all but LDPO reports on live cattle returns. Hogs and Pigs reports had the highest impact on live/lean hog returns by increasing average conditional standard deviation by 118.6% following the release of these reports. Cattle and Hogs and Pigs reports had the highest impact on live cattle returns by increasing average conditional standard deviation in both cases 44.8%. These results suggest that the information contained in USDA situation and outlook reports provides economically valuable information to livestock market participants.Livestock Production/Industries, Marketing,

DOES THE MARKET ANTICIPATE SMOOTHING IN USDA CROP PRODUCTION FORECASTS?

This study examines whether market participants anticipate the predictable component in USDA revisions of corn and soybean production forecasts during 1970/71 through 2003/04 marketing years. The analysis revealed that markets consistently under-predicted October corn production revisions and over-predicted September soybean production revisions. These biases may be attributable to inefficient use of information about smoothing in USDA revisions. In all other cases market analysts seemed to be aware of USDA smoothing practices and generally efficiently incorporated this information into their own forecasts.Marketing,