Evidence of the heterogeneous market hypothesis using wavelet multi -resolution analysis

In finance literature many economic theories and models have been proposed to explain and estimate the relationship between risk and return. Assuming risk averseness and rational behavior on part of the investor, the models are developed which are supposed to help in forming efficient portfolios that either maximize (minimize) the expected rate of return (risk) for a given level of risk (rates of return). One of the most used models to form these efficient portfolios is the Sharpe's Capital Asset Pricing Model (CAPM). In the development of this model it is assumed that the investors have homogeneous expectations about the future probability distribution of the rates of return. That is, every investor assumes the same values of the parameters of the probability distribution. Likewise financial volatility homogeneity is commonly assumed, where volatility is taken as investment risk which is usually measured by the variance of the rates of return. Typically the square root of the variance is used to define financial volatility, furthermore it is also often assumed that the data generating process is made of independent and identically distributed random variables. This again implies that financial volatility is measured from homogeneous time series with stationary parameters. In this dissertation, we investigate the assumptions of homogeneity of market agents and provide evidence for the case of heterogeneity in market participants' information, objectives, and expectations about the parameters of the probability distribution of prices as given by the differences in the empirical distributions corresponding to different time scales, which in this study are associated with different classes of investors, as well as demonstrate that statistical properties of the underlying data generating processes including the volatility in the rates of return are quite heterogeneous. In other words, we provide empirical evidence against the traditional views about homogeneity using non-parametric wavelet analysis on trading data, The results show heterogeneity of financial volatility at different time scales, and time-scale is one of the most important aspects in which trading behavior differs. In fact we conclude that heterogeneity as posited by the Heterogeneous Markets Hypothesis is the norm and not the exception.

Ocean Acidification Outweighs Nutrient Effects in Structuring Seagrass Epiphyte Communities

Developing a framework for assessing interactions between multiple anthropogenic stressors remains an important goal in environmental research. In coastal ecosystems, the relative effects of aspects of global climate change (e.g. CO2 concentrations) and localized stressors (e.g. eutrophication), in combination, have received limited attention. Using a long-term (11 month) field experiment, we examine how epiphyte assemblages in a tropical seagrass meadow respond to factorial manipulations of dissolved carbon dioxide (CO2(aq)) and nutrient enrichment. In situ CO2(aq) manipulations were conducted using clear, open-top chambers, which replicated carbonate parameter forecasts for the year 2100. Nutrient enrichment consisted of monthly additions of slow-release fertilizer, nitrogen (N) and phosphorus (P), to the sediments at rates equivalent to theoretical maximum rates of anthropogenic loading within the region (1.54 g N m−2 d−1 and 0.24 g P m−2 d−1). Epiphyte community structure was assessed on a seasonal basis and revealed declines in the abundance of coralline algae, along with increases in filamentous algae under elevated CO2(aq). Surprisingly, nutrient enrichment had no effect on epiphyte community structure or overall epiphyte loading. Interactions between CO2(aq) and nutrient enrichment were not detected. Furthermore, CO2(aq)-mediated responses in the epiphyte community displayed strong seasonality, suggesting that climate change studies in variable environments should be conducted over extended time-scales. Synthesis. The observed responses indicate that for certain locations, global stressors such as ocean acidification may take precedence over local eutrophication in altering the community structure of seagrass epiphyte assemblages. Given that nutrient-driven algal overgrowth is commonly cited as a widespread cause of seagrass decline, our findings highlight that alternate climate change forces may exert proximate control over epiphyte community structure.

Dissolved Black Carbon in Grassland Streams: Is There an Effect of Recent Fire History?

While the existence of black carbon as part of dissolved organic matter (DOM) has been confirmed, quantitative determinations of dissolved black carbon (DBC) in freshwater ecosystem and information on factors controlling its concentration are scarce. In this study, stream surface water samples from a series of watersheds subject to different burn frequencies in Konza Prairie (Kansas, USA) were collected in order to determine if recent fire history has a noticeable effect on DBC concentration. The DBC levels detected ranged from 0.04 to 0.11 mg L−1, accounting for ca. 3.32 ± 0.51% of dissolved organic carbon (DOC). No correlation was found between DBC concentration and neither fire frequency nor time since last burn. We suggest that limited DBC flux is related to high burning efficiency, possibly greater export during periods of high discharge and/or the continuous export of DBC over long time scales. A linear correlation between DOC and DBC concentrations was observed, suggesting the export mechanisms determining DOC and DBC concentrations are likely coupled. The potential influence of fire history was less than the influence of other factors controlling the DOC and DBC dynamics in this ecosystem. Assuming similar conditions and processes apply in grasslands elsewhere, extrapolation to a global scale would suggest a global grasslands flux of DBC on the order of 0.14 Mt carbon year−1.

Effects of an extreme temperature event on the behavior and age structure of an estuarine top predator, Carcharhinus leucas

The frequency of extreme environmental events is predicted to increase in the future. Understanding the short- and long-term impacts of these extreme events on large-bodied predators will provide insight into the spatial and temporal scales at which acute environmental disturbances in top-down processes may persist within and across ecosystems. Here, we use long-term studies of movements and age structure of an estuarine top predator—juvenile bull sharks Carcharhinus leucas—to identify the effects of an extreme ‘cold snap’ from 2 to 13 January 2010 over short (weeks) to intermediate (months) time scales. Juvenile bull sharks are typically year-round residents of the Shark River Estuary until they reach 3 to 5 yr of age. However, acoustic telemetry revealed that almost all sharks either permanently left the system or died during the cold snap. For 116 d after the cold snap, no sharks were detected in the system with telemetry or captured during longline sampling. Once sharks returned, both the size structure and abundance of the individuals present in the nursery had changed considerably. During 2010, individual longlines were 70% less likely to capture any sharks, and catch rates on successful longlines were 40% lower than during 2006−2009. Also, all sharks caught after the cold snap were young-of-the-year or neonates, suggesting that the majority of sharks in the estuary were new recruits and several cohorts had been largely lost from the nursery. The longer-term impacts of this change in bull shark abundance to the trophic dynamics of the estuary and the importance of episodic disturbances to bull shark population dynamics will require continued monitoring, but are of considerable interest because of the ecological roles of bull sharks within coastal estuaries and oceans.