The feeder cattle futures contract has been criticized in recent years as not providing an effective hedging instrument. Following historically volatile cattle markets in 2014–2015, feeder cattle basis risk escalated, fueling futures contract concerns. This study assesses these concerns, utilizing weekly auction data from 32 feeder cattle markets from 1992 to 2021. Examined for the first known time, feeder cattle market variation had a statistically and economically significant influence on basis risk. Basis variation differed across regions and marketing periods. Feeder cattle basis risk was historically high in 2014–2015 but declined to levels similar to 2011 by 2018.

We provide a finite basis for the class of Borel functions that are not in the first Baire class, as well as the class of Borel functions that are not $\sigma $ -continuous with closed witnesses.

We present an example of an isometric subspace of a metric space that has a greater metric dimension. We also show that the metric spaces of vector groups over the integers, defined by the generating set of unit vectors, cannot be resolved by a finite set. Bisectors in the spaces of vector groups, defined by the generating set consisting of unit vectors, are completely determined.

Basis forecasting is important for producers and consumers of agricultural commodities in their risk management decisions. However, the best performing forecasting model found in previous studies varies substantially. Given this inconsistency, we take a Bayesian approach, which addresses model uncertainty by combining forecasts from different models. Results show model performance differs by location and forecast horizon, but the forecast from the Bayesian approach often performs favorably. In some cases, however, the simple moving averages have lower forecast errors. Besides the nearby basis, we also examine basis in a specific month and find that regression-based models outperform others in longer horizons.

The CIF NOLA “river market” represents an important but opaque forward market that serves Gulf exporters and elevators. CIF NOLA bids function similarly to traditional forward contracts; however, like a futures market, firms can offset their forward contractual obligations by offsetting positions in a liquid off-exchange paper market. Analysis shows grain sellers pay a risk premium for fall harvest delivery contracts. However, outside of fall harvest, contract liquidity, coupled with a good institutional balance of long and short market participants, mostly removes the pricing bias commonly found in farmer forward contracting in corn and soybeans.

Three families of examples are given of sets of $(0,1)$-matrices whose pairwise products form a basis for the underlying full matrix algebra. In the first two families, the elements have rank at most two and some of the products can have multiple entries. In the third example, the matrices have equal rank $\!\sqrt{n}$ and all of the pairwise products are single-entried $(0,1)$-matrices.

Fock and Goncharov conjectured that the indecomposable universally positive (i.e. atomic) elements of a cluster algebra should form a basis for the algebra. This was shown to be false by Lee, Li and Zelevinsky. However, we find that the theta bases of Gross, Hacking, Keel and Kontsevich do satisfy this conjecture for a slightly modified definition of universal positivity in which one replaces the positive atlas consisting of the clusters by an enlargement we call the scattering atlas. In particular, this uniquely characterizes the theta functions.

This paper compares hedging risk for various weights of feeder cattle hedged with a traditional cross hedge and a ratio cross hedge. A traditional hedge calls for the purchase/sale of one pound of futures for each pound of cash feeder cattle. By contrast, a ratio hedge requires estimation of a hedge ratio to determine the number of pounds of futures needed to hedge one pound of cash feeder cattle. Hedge ratios were found to be larger than 1.0 for light-weight feeder cattle. By using the estimated hedge ratios, it was shown that hedging risk could be reduced 20-50 percent compared to that achieved by using a hedge ratio of 1.0.

Cattle producers and beef packers need to understand basis determinants as they develop price expectations and make pricing, hedging, and forward contracting decisions. This study empirically estimated factors explaining variability in monthly fed cattle basis. The five main results regarding live cattle basis are 1) corn price is an important determinant, 2) a change in the value of the Choice-to-Select spread positively affects basis, 3) changes in the levels of captive supplies have no significant statistical or economic impact on basis, 4) the June 1995 live cattle futures contract did not impact basis, and 5) both market fundamentals and seasonal components are important basis determinants.

We construct two bases for each cluster algebra coming from a triangulated surface without punctures. We work in the context of a coefficient system coming from a full-rank exchange matrix, such as principal coefficients.

This paper was written by the Derivatives Working Party, a permanent working party of the Life Research Committee of the Institute and Faculty of Actuaries. Our aim is to consider how life assurers may use, or may wish to use, derivatives, and if their use is unduly constrained, e.g. by regulation. This paper focuses on credit derivatives. We provide an overview of the credit derivatives market, and the strong growth in this market over recent years. We then focus on the two main traded credit derivative instruments — Credit Default Swaps (CDSs) and Collateralised Debt Obligations (CDOs). We explain how these instruments work and are priced, and clarify some of the more complex topics involved, such as the settlement of CDSs, basis risk and the relevance of implied correlation in pricing CDOs. We then consider how life insurers could make use of credit derivatives, for example to provide more efficient investment management in taking exposure to credit risk, or to hedge credit exposures, and consider the regulatory implications of so doing. Finally, in the Appendix, we discuss the credit spread puzzle, and the existence or otherwise of a liquidity premium in corporate bond spreads, with implications for the valuation of illiquid liabilities.

We show that if A is a stable basis algebra satisfying the distributivity condition, then B is a reduct of an independence algebra A having the same rank. If this rank is finite, then the endomorphism monoid of B is a left order in the endomorphism monoid of A.

Let σA(n)=∣{(a,a′)∈A2:a+a′=n}∣, where n∈ℕ and A is a subset of ℕ. Erdős and Turán con-jectured that for any basis A of ℕ, σA(n) is unbounded. In 1990, Ruzsa constructed a basis A⊂ℕ for which σA(n) is bounded in square mean. Based on Ruzsa’s method, we proved that there exists a basis A of ℕ satisfying ∑ n≤Nσ2A(n)≤1449757928N for large enough N. In this paper, we give a quantitative result for the existence of N, that is, we show that there exists a basis A of ℕ satisfying ∑ n≤Nσ2A(n)≤1069693154N for N≥7.628 517 798×1027, which improves earlier results of the author [‘A note on a result of Ruzsa’, Bull. Aust. Math. Soc.77 (2008), 91–98].

We derive bivariate polynomial formulae for cocycles and coboundaries in Z2(ℤpn,ℤpn), and a basis for the (pn−1−n)-dimensional GF(pn)-space of coboundaries. When p=2 we determine a basis for the -dimensional GF(2n)-space of cocycles and show that each cocycle has a unique decomposition as a direct sum of a coboundary and a multiplicative cocycle of restricted form.