Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

Heterogeneity, convergence, and autocorrelations

This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial market behaviour such as market dominance, convergence to the fundamental price and under- and over-reaction. We use the dynamics of the underlying deterministic system to characterize these features and statistical properties, including convergence of the limiting distribution and autocorrelation structure. We confirm these properties using Monte Carlo simulations.

Heterogeneity in the granulomatous response to mycobacterial infection in patients with defined genetic mutations in the interleukin 12-dependent interferon-gamma production pathway

Granulomatous Diseases Review Heterogeneity in the granulomatous response to mycobacterial infection in patients with defined genetic mutations in the interleukin 12-dependent interferon-gamma production pathway

Predatory nature of the littoral amphipod Echinogammarus marinus: gut content analysis and effects of alternative food and substrate heterogeneity

Interspecific interactions are major structuring forces in marine littoral communities; however, it is unclear which of these interactions are exhibited by many key-component species. Gut content analysis showed that the ubiquitous rocky/cobble shore amphipod Echinogammarus marinas, often ascribed as a mesograzer, consumes both algae and macroinvertebrates. Further, laboratory experiments showed that E. marinus is an active predator of such macroinvertebrates, killing and consuming the isopod Jaera nordmanni and the oligochaete Tubificoides benedii. Predatory impacts of E. marinus were not alleviated by the presence of alternative food in the form of alga discs. However, in the presence of prey, consumption of alga by E. marinus was significantly reduced. Further, survival of prey was significantly higher when substrate was provided, but predation remained significant and did not decline with further increases in substrate heterogeneity. We conclude that such amphipods can have pervasive predatory impacts on a range of species, with implications for community structure, diversity and functioning.

Response variability in Attention Deficit Hyperactivity Disorder: Evidence for neuropsychological heterogeneity

Response time (RT) variability is a common finding in ADHD research. RT variability may reflect frontal cortex function and may be related to deficits in sustained attention. The existence of a sustained attention deficit in ADHD has been debated, largely because of inconsistent evidence of time-on-task effects. A fixed-sequence Sustained Attention to Response Task (SART) was given to 29 control, 39 unimpaired and 24 impaired-ADHD children (impairment defined by the number of commission errors). The response time data were analysed using the Fast Fourier Transform, to define the fast-frequency and slow-frequency contributions to overall response variability. The impaired-ADHD group progressively slowed in RT over the course of the 5.5 min task, as reflected in this group's greater slow-frequency variability. The fast-frequency trial-to-trial variability was also significantly greater, but did not differentially worsen over the course of the task. The higher error rates of the impaired-ADHD group did not become differentially greater over the length of the task. The progressive slowing in mean RT over the course of the task may relate to a deficit in arousal in the impaired-ADHD group. The consistently poor performance in fast-frequency variability and error rates may be due to difficulties in sustained attention that fluctuate on a trial-to-trial basis. (c) 2006 Elsevier Ltd. All rights reserved.

Invader-invader interactions in relation to environmental heterogeneity leads to zonation of two invasive amphipods, Dikerogammarus villosus (Sowinsky) and Gammarus tigrinus Sexton: amphipod pilot species project (AMPIS) report 6

As biological invasions continue, interactions occur not only between invaders and natives, but increasingly new invaders come into contact with previous invaders. Whilst this can lead to species replacements, co-existence may occur, but we lack knowledge of processes driving such patterns. Since environmental heterogeneity can determine species richness and co-existence, the present study examines habitat use and its mediation of the predatory interaction between invasive aquatic amphipods, the Ponto-Caspian Dikerogammarus villosus and the N. American Gammarus tigrinus. In the Dutch Lake IJsselmeer, we found broad segregation of D. villosus and G. tigrinus by habitat type, the former predominating in the boulder zone and the latter in the soft sediment. However, the two species co-exist in the boulder zone, both on the short and longer terms. We used an experimental simulation of habitat heterogeneity and show that both species utilize crevices, different sized holes in a plastic grid, non-randomly. These amphipods appear to optimise the use of holes with respect to their 'C-shape' body size. When placed together, D. villosus adults preyed on G. tigrinus adults and juveniles, while G. tigrinus adults preyed on D. villosus juveniles. Juveniles were also predators and both species were cannibalistic. However, the impact on G. tigrinus of the superior intraguild predator, D. villosus, was significantly reduced where experimental grids were present as compared to absent. This mitigation of intraguild predation between the two species in complex habitats may explain the co-existence of these two invasive species.

Impact of Sample Heterogeneity on Methylation Analysis

The recent emergence of high-throughput arrays for methylation analysis has made the influence of tumor content on the interpretation of methylation levels increasingly pertinent. However, to what degree does tumor content have an influence, and what degree of tumor content makes a specimen acceptable for accurate analysis remains unclear. Taking a systematic approach, we analyzed 98 unselected formalin-fixed and paraffin-embedded gastric tumors and matched normal tissue samples using the Illumina GoldenGate methylation assay. Unsupervised hierarchical clustering showed 2 separate clusters with a significant difference in average tumor content levels. The probes identified to be significantly differentially methylated between the tumors and normals also differed according to the tumor content of the samples included, with the sensitivity of identifying the

Social support, network heterogeneity, and smoking behavior in women: The 10-town study

Purpose. Examine the associations among social support, network heterogeneity, and smoking behavior in a large sample of Finnish female municipal employees.