Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.

Effect of different jump distributions on the dynamics of jump processes

The paper investigates stochastic processes forced by independent and identically distributed jumps occurring according to a Poisson process. The impact of different distributions of the jump amplitudes are analyzed for processes with linear drift. Exact expressions of the probability density functions are derived when jump amplitudes are distributed as exponential, gamma, and mixture of exponential distributions for both natural and reflecting boundary conditions. The mean level-crossing properties are studied in relation to the different jump amplitudes. As an example of application of the previous theoretical derivations, the role of different rainfall-depth distributions on an existing stochastic soil water balance model is analyzed. It is shown how the shape of distribution of daily rainfall depths plays a more relevant role on the soil moisture probability distribution as the rainfall frequency decreases, as predicted by future climatic scenarios. © 2010 The American Physical Society.

Later Life Consequences of Subteratogenic Exposure to a Complex PAH Mixture in the Atlantic Killifish (Fundulus heteroclitus)

Subteratogenic and other low-level chronic exposures to toxicant mixtures are an understudied threat to environmental and human health. It is especially important to understand the effects of these exposures for contaminants, such as polycyclic aromatic hydrocarbons (PAHs) a large group of more than 100 individual compounds, which are important environmental (including aquatic) contaminants. Aquatic sediments constitute a major sink for hydrophobic pollutants, and studies show PAHs can persist in sediments over time. Furthermore, estuarine systems (namely breeding grounds) are of particular concern, as they are highly impacted by a wide variety of pollutants, and estuarine fishes are often exposed to some of the highest levels of contaminants of any vertebrate taxon. Acute embryonic exposure to PAHs results in cardiac teratogenesis in fish, and early life exposure to certain individual PAHs and PAH mixtures cause heart alterations with decreased swimming capacity in adult fish. Consequently, the heart and cardiorespiratory system are thought to be targets of PAH mixture exposure. While many studies have investigated acute, teratogenic PAH exposures, few studies have longitudinally examined the impacts of subtle, subteratogenic PAH mixture exposures, which are arguably more broadly applicable to environmental contamination scenarios. The goal of this dissertation was to highlight the later-life consequences of early-life exposure to subteratogenic concentrations of a complex, environmentally relevant PAH mixture.

A unique population of Fundulus heteroclitus (the Atlantic killifish or mummichog, hereafter referred to as killifish), has adapted to creosote-based polycyclic aromatic hydrocarbons (PAHs) found at the Atlantic Wood Industries (AW) Superfund site in the southern branch of the Elizabeth River, VA, USA. This killifish population survives in a site heavily contaminated with a mixture of PAHs from former creosote operations. They have developed resistance to the acute toxicity and teratogenic effects caused by the mixture of PAHs in sediment from the site. The primary goal of this dissertation was to compare and contrast later-life outcomes of early-life, subteratogenic PAH mixture exposure in both the Atlantic Wood killifish (AW) and a naïve reference population of killifish from King’s Creek (KC; a relatively uncontaminated tributary of the Severn River, VA). Killifish from both populations were exposed to subteratogenic concentrations of a complex PAH-sediment extract, Elizabeth River Sediment Extract (ERSE), made by collecting sediment from the AW site. Fish were reared over a 5-month period in the laboratory, during which they were examined for a variety of molecular, physiological and behavioral responses.

The central aims of my dissertation were to determine alterations to embryonic gene expression, larval swimming activity, adult behavior, heart structure, enzyme activity, and swimming/cardiorespiratory performance following subteratogenic exposure to ERSE. I hypothesized that subteratogenic exposure to ERSE would impair cardiac ontogenic processes in a way that would be detectable via gene expression in embryos, and that the misregulation of cardiac genes would help to explain activity changes, behavioral deficits, and later-life swimming deficiencies. I also hypothesized that fish heart structure would be altered. In addition, I hypothesized that the AW killifish population would be resistant to developmental exposures and perform normally in later life challenges. To investigate these hypotheses, a series of experiments were carried out in PAH-adapted killifish from Elizabeth River and in reference killifish. As an ancillary project to the primary aims of the dissertation, I examined the toxicity of weaker aryl hydrocarbon receptor (AHR) agonists in combination with fluoranthene (FL), an inhibitor of cytochrome P4501A1 (CYP1A1). This side project was conducted in both Danio rerio (zebrafish) and the KC and AW killifish.

Embryonic gene expression was measured in both killifish populations over an ERSE dose response with multiple time points (12, 24, 48, and 144 hours post exposure). Genes known to play critical roles in cardiac structure/development, cardiac function, and angiogenesis were elevated, indicating cardiac damage and activation of cardiovascular repair mechanisms. These data helped to inform later-life swimming performance and cardiac histology studies. Behavior was assessed during light and dark cycles in larvae of both populations following developmental exposure to ERSE. While KC killifish showed activity differences following exposure, AW killifish showed no significant changes even at concentrations that would cause overt cardiac toxicity in KC killifish. Juvenile behavior experiments demonstrated hyperactivity following ERSE exposure in KC killifish, but no significant behavioral changes in AW killifish. Adult swimming performance via prolonged critical swimming capacity (Ucrit) demonstrated performance costs in the AW killifish. Furthermore, swimming performance decline was observed in KC killifish following exposure to increasing dilutions of ERSE. Lastly, cardiac histology suggested that early-life exposure to ERSE could result in cardiac structural alteration and extravasation of blood into the pericardial cavity.

Responses to AHR agonists resulted in a ranking of relative potency for agonists, and determined which agonists, when combined with FL, caused cardiac teratogenesis. These experiments showed interesting species differences for zebrafish and killifish. To probe mechanisms responsible for cardiotoxicity, a CYP1A-morpholino and a AHR2-morpholino were used to mimic FL effects or attempt to rescue cardiac deformities respectively. Findings suggested that the cardiac toxicity elicited by weak agonist + FL exposure was likely driven by AHR-independent mechanisms. These studies stand in contrast to previous research from our lab showing that moderate AHR agonist + FL caused cardiac toxicity that can be partially rescued by AHR-morpholino knockdown.

My findings will form better characterization of mechanisms of PAH toxicity, and advance our understanding of how subteratogenic mixtures of PAHs exert their toxic action in naïve killifish. Furthermore, these studies will provide a framework for investigating how subteratogenic exposures to PAH mixtures can impact aquatic organismal health and performance. Most importantly, these experiments have the potential to help inform risk assessment in fish, mammals, and potentially humans. Ultimately, this research will help protect populations exposed to subtle PAH-contamination.