Anderson, Kim B.

December, 2012

Effective Bid-Ask Spreads in Futures versus Futures Options

By: Shah, Samarth; Brorsen, B. Wade; Anderson, Kim B.
While considerable research has estimated liquidity costs of futures trading, little comparable research is available about options markets. This study determines effective bid-ask spreads in options and futures markets for Kansas City Board of Trade (KCBT) wheat. Effective bid-ask spreads are estimates of the actual liquidity cost of a round-trip order. Option liquidity costs are estimated using a new measure of effective spreads developed for options markets. Futures effective spreads are estimated using eight different measures developed in previous studies. Estimated effective bid-ask spreads of options contracts are at least double the effective bid-ask spreads of open-outcry futures contracts.
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April, 2010

Optimal Length of Moving Average to Forecast Futures Basis

By: Hatchett, Robert B.; Brorsen, B. Wade; Anderson, Kim B.
The question addressed in this study is which length of historical moving average provides the best forecast of futures basis. Differences in observed forecast accuracy among the different moving averages are usually less than a cent per bushel, and most are not statistically significant. Further, the search for an optimal length of moving average may be futile since the optimal length depends on how much structural change has occurred. Our recommendation is to use moving averages when there has been no structural change and to use last year’s basis or an alternative approach if the forecaster perceives that a structural change has occurred.
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July, 1996

RISK MANAGEMENT PROGRAMS IN EXTENSION

By: Anderson, Kim B.; Mapp, Harry P., Jr.
The evolution of Cooperative Extension Service techniques used to teach decision making in a risk environment is examined. Interviews of selected Cooperative Extension economists indicate that research methods used to evaluate and describe risk are more complex than those used in extension programs. Research is an essential component of the development and implementation of extension programs. Because most producers have some understanding of risk, and many use financial strategies to manage risk, and important product of risk research has been educating extension economists and researchers. When developing risk management programs, it is stressed that "simplicity is powerful."
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December, 1994

THE ECONOMICS OF CLEANING WINTER WHEAT FOR EXPORT: AN EVALUATION OF PROPOSED FEDERAL “CLEAN GRAIN” STANDARDS

By: Adam, Brian D.; Kenkel, Philip L.; Anderson, Kim B.
Buyer complaints about poor quality U.S. wheat have led to proposals to enforce minimum dockage standards for exports. An economic-engineering approach is used to evaluate costs and benefits of cleaning wheat in order to meet these standards for 13 possible cleaning configurations. These results are used in an optimization framework to estimate costs and benefits of cleaning all U.S. export wheat. The estimates indicate that cleaning U.S. export winter wheat to .35% dockage would cost an average of 1 cent/bu., requiring an initial capital investment of $28 million. Value of wheat lost in cleaning is a significant cost that previously has been overlooked.
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