A Stochastic Frontier Production Function with Flexible Risk Properties

This paper considers a stochastic frontier production function which has additive, heteroscedastic error structure. The model allows for negative or positive marginal production risks of inputs, as originally proposed by Just and Pope (1978). The technical efficiencies of individual firms in the sample are a function of the levels of the input variables in the stochastic frontier, in addition to the technical inefficiency effects. These are two features of the model which are not exhibited by the commonly used stochastic frontiers with multiplicative error structures.An empirical application is presented using cross-sectional data on Ethiopian peasant farmers. The null hypothesis of no technical inefficiencies of production among these farmers is accepted. Further, the flexible risk models do not fit the data on peasant farmers as well as the traditional stochastic frontier model with multiplicative error structure.     

Response to price and production risk: The case of Australian wheat

A model of Australian wheat grower supply response was specified under the constrainsts of price and yield uncertainty, risk aversion, partial adjustment, and quadratic costs. The model was solved to obtain area planted. The results of estimation indicate that risk arising from prices and climate have had a significant influence on producer decision making. The coefficient of relative risk aversion and short‐run and long‐run elasticities of supply with respect to price were calculated. Wheat growers' risk premium, expected at the start of the season for exposed price and yield risk, was 2.8 percent of revenue or 10.4 percent of profit as measured by producer surplus. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 345–359, 2000.     

Disentangling and quantifying market participant volatility contributions

Thanks to the access to labeled orders on the CAC 40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result, we leverage the branching properties of Hawkes point processes. We find that fast intermediaries (e.g. market maker type agents) have a smaller footprint on the volatility than slower, directional agents. The branching structure of Hawkes processes allows us to examine also the degree of endogeneity of each agent behavior, and we find that high-frequency traders are more endogenously driven than other types of agents.     

The physics of the city: pedestrians dynamics and crowding panic equation in Venezia

In this paper we present the physics of the city, a new approach in order to investigate the urban dynamics. In particular we focus on the citizens’ mobility observation and modeling. Being in principle the social dynamics not directly observable, our main idea is that observing the human mobility processes we can deduce some features and characteristics of social dynamics. We define the automata gas paradigm and we write a crowding equation able to predict, in a statistical sense, the threshold between a selforganized crowd and a chaotic one, which we interpret as the emergence of a possible panic scenario. We show also some specific results obtained on the Venezia pedestrian network. Firstly, analyzing the network we estimate the Venice complexity, secondly measuring the pedestrian flow on some bridges we find significant statistical correlations, and by the experimental data we design two different bridges flow profiles depending from the pedestrian populations. Furthermore considering a reduced portion of the city, i.e. Punta della Dogana, we build up a theoretical model via a Markov approach, with a stationary state solution. Finally implementing some individual characteristics of pedestrians, we simulate the flows finding a good agreement with the empirical distributions. We underline that these results can be the basis to construct an E-governance mobility system.     

Is the Australian wool futures market efficient as a predictor of spot prices?

Giles and Goss (1980) have suggested that, if a futures market provides a forward pricing function, then it is an efficient market. In this article a simple test for whether the Australian Wool Futures market is efficient is proposed. The test is based on applying cointegration techniques to test the Law of One Price over a three, six, nine, and twelve month spread of futures prices. We found that the futures market is efficient for up to a six-month spread, but no further into the future. Because futures market prices can be used to predict spot prices up to six months in advance, woolgrowers can use the futures price to assess when they market their clip, but not for longer-term production planning decisions. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 565–582, 1999     

Potential demand for hedging by Australian wheat producers

The potential for hedging Australian wheat with the new Sydney Futures Exchange wheat contract is examined using a theoretical hedging model parametised from previous studies. The optimal hedging ratio for an ‘average’ wheat farmer was found to be zero under reasonable assumptions about transaction costs and based on previously published measures of risk aversion. The estimated optimal hedging ratios were found by simulation to be quite sensitive to assumptions about the degree of risk aversion. If farmers are significantly more risk averse than is currently believed, then there is likely to be an active interest in the new futures market.     

The role of volume in order book dynamics: a multivariate Hawkes process analysis

We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy [IEEE Trans. Inform. Theory, 2016, 62, 2184–2202] can be successfully used to study complex interactions between the time of arrival of orders and their size observed in a limit order book market. We apply this methodology to high-frequency order book data of futures traded at EUREX. Specifically, we demonstrate how this approach is amenable not only to analyse interplay between different order types (market orders, limit orders, cancellations) but also to include other relevant quantities, such as the order size, into the analysis, showing also that simple models assuming the independence between volume and time are not suitable to describe the data.     

Analysis of order book flows using a non-parametric estimation of the branching ratio matrix

We introduce a new non-parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this method by applying it to high-frequency order book data from the EUREX exchange. We show that it is able to uncover (or recover) various relationships between all the first-level order book events associated with some asset when mapped to a 12-dimensional process. We then scale up the model so as to account for events on two assets simultaneously and we discuss the joint high-frequency dynamics.     

Efficiency externalities of trade and alternative forms of foreign investment in OECD countries

The literature on the spillover effects of trade and inflows of foreign direct investment (FDI) has concentrated on technological externalities. Little effort has been directed towards identifying their efficiency externalities. This paper measures the efficiency externalities of trade and various forms of foreign investment for a sample of 20 OECD countries between 1982 and 2000 using a stochastic frontier approach. Trade and all foreign investment inflows are found to enhance efficiency, whereas outflows of FDI are found to exacerbate inefficiency. The efficiency externalities from foreign investment are contingent on the absorptive capacity of the host economies. Copyright © 2008 John Wiley & Sons, Ltd.     

Estimating economic relationships subject to firm‐ and time‐varying equality and inequality constraints

Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods can be used to rigorously impose time‐ and firm‐varying equality and inequality constraints. To illustrate the technique we estimate a system of translog input demand functions subject to all the constraints implied by economic theory, including observation‐varying symmetry and concavity constraints. Results are presented in the form of characteristics of the estimated posterior distributions of functions of the parameters. Copyright © 2001 John Wiley & Sons, Ltd.