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.

Development of effective approaches to the large-scale aerodynamic testing of low-rise buildings

Low-rise buildings are often subjected to high wind loads during hurricanes that lead to severe damage and cause water intrusion. It is therefore important to estimate accurate wind pressures for design purposes to reduce losses. Wind loads on low-rise buildings can differ significantly depending upon the laboratory in which they were measured. The differences are due in large part to inadequate simulations of the low-frequency content of atmospheric velocity fluctuations in the laboratory and to the small scale of the models used for the measurements. A new partial turbulence simulation methodology was developed for simulating the effect of low-frequency flow fluctuations on low-rise buildings more effectively from the point of view of testing accuracy and repeatability than is currently the case. The methodology was validated by comparing aerodynamic pressure data for building models obtained in the open-jet 12-Fan Wall of Wind (WOW) facility against their counterparts in a boundary-layer wind tunnel. Field measurements of pressures on Texas Tech University building and Silsoe building were also used for validation purposes. The tests in partial simulation are freed of integral length scale constraints, meaning that model length scales in such testing are only limited by blockage considerations. Thus the partial simulation methodology can be used to produce aerodynamic data for low-rise buildings by using large-scale models in wind tunnels and WOW-like facilities. This is a major advantage, because large-scale models allow for accurate modeling of architectural details, testing at higher Reynolds number, using greater spatial resolution of the pressure taps in high pressure zones, and assessing the performance of aerodynamic devices to reduce wind effects. The technique eliminates a major cause of discrepancies among measurements conducted in different laboratories and can help to standardize flow simulations for testing residential homes as well as significantly improving testing accuracy and repeatability. Partial turbulence simulation was used in the WOW to determine the performance of discontinuous perforated parapets in mitigating roof pressures. The comparisons of pressures with and without parapets showed significant reductions in pressure coefficients in the zones with high suctions. This demonstrated the potential of such aerodynamic add-on devices to reduce uplift forces.

Modeling Light Use Efficiency in a Subtropical Mangrove Forest Equipped with CO2 Eddy Covariance °C

Despite the importance of mangrove ecosystems in the global carbon budget, the relationships between environmental drivers and carbon dynamics in these forests remain poorly understood. This limited understanding is partly a result of the challenges associated with in situ flux studies. Tower-based CO2 eddy covariance (EC) systems are installed in only a few mangrove forests worldwide, and the longest EC record from the Florida Everglades contains less than 9 years of observations. A primary goal of the present study was to develop a methodology to estimate canopy-scale photosynthetic light use efficiency in this forest. These tower-based observations represent a basis for associating CO2 fluxes with canopy light use properties, and thus provide the means for utilizing satellite-based reflectance data for larger scale investigations. We present a model for mangrove canopy light use efficiency utilizing the enhanced green vegetation index (EVI) derived from the Moderate Resolution Imaging Spectroradiometer (MODIS) that is capable of predicting changes in mangrove forest CO2 fluxes caused by a hurricane disturbance and changes in regional environmental conditions, including temperature and salinity. Model parameters are solved for in a Bayesian framework. The model structure requires estimates of ecosystem respiration (RE), and we present the first ever tower-based estimates of mangrove forest RE derived from nighttime CO2 fluxes. Our investigation is also the first to show the effects of salinity on mangrove forest CO2 uptake, which declines 5% per each 10 parts per thousand (ppt) increase in salinity. Light use efficiency in this forest declines with increasing daily photosynthetic active radiation, which is an important departure from the assumption of constant light use efficiency typically applied in satellite-driven models. The model developed here provides a framework for estimating CO2 uptake by these forests from reflectance data and information about environmental conditions.

Physics-based modeling of power system components for the evaluation of low-frequency radiated electromagnetic fields

The low-frequency electromagnetic compatibility (EMC) is an increasingly important aspect in the design of practical systems to ensure the functional safety and reliability of complex products. The opportunities for using numerical techniques to predict and analyze system's EMC are therefore of considerable interest in many industries. As the first phase of study, a proper model, including all the details of the component, was required. Therefore, the advances in EMC modeling were studied with classifying analytical and numerical models. The selected model was finite element (FE) modeling, coupled with the distributed network method, to generate the model of the converter's components and obtain the frequency behavioral model of the converter. The method has the ability to reveal the behavior of parasitic elements and higher resonances, which have critical impacts in studying EMI problems. For the EMC and signature studies of the machine drives, the equivalent source modeling was studied. Considering the details of the multi-machine environment, including actual models, some innovation in equivalent source modeling was performed to decrease the simulation time dramatically. Several models were designed in this study and the voltage current cube model and wire model have the best result. The GA-based PSO method is used as the optimization process. Superposition and suppression of the fields in coupling the components were also studied and verified. The simulation time of the equivalent model is 80-100 times lower than the detailed model. All tests were verified experimentally. As the application of EMC and signature study, the fault diagnosis and condition monitoring of an induction motor drive was developed using radiated fields. In addition to experimental tests, the 3DFE analysis was coupled with circuit-based software to implement the incipient fault cases. The identification was implemented using ANN for seventy various faulty cases. The simulation results were verified experimentally. Finally, the identification of the types of power components were implemented. The results show that it is possible to identify the type of components, as well as the faulty components, by comparing the amplitudes of their stray field harmonics. The identification using the stray fields is nondestructive and can be used for the setups that cannot go offline and be dismantled

Real-time scheduling of embedded applications on multi-core platforms

For the past several decades, we have experienced the tremendous growth, in both scale and scope, of real-time embedded systems, thanks largely to the advances in IC technology. However, the traditional approach to get performance boost by increasing CPU frequency has been a way of past. Researchers from both industry and academia are turning their focus to multi-core architectures for continuous improvement of computing performance. In our research, we seek to develop efficient scheduling algorithms and analysis methods in the design of real-time embedded systems on multi-core platforms. Real-time systems are the ones with the response time as critical as the logical correctness of computational results. In addition, a variety of stringent constraints such as power/energy consumption, peak temperature and reliability are also imposed to these systems. Therefore, real-time scheduling plays a critical role in design of such computing systems at the system level. We started our research by addressing timing constraints for real-time applications on multi-core platforms, and developed both partitioned and semi-partitioned scheduling algorithms to schedule fixed priority, periodic, and hard real-time tasks on multi-core platforms. Then we extended our research by taking temperature constraints into consideration. We developed a closed-form solution to capture temperature dynamics for a given periodic voltage schedule on multi-core platforms, and also developed three methods to check the feasibility of a periodic real-time schedule under peak temperature constraint. We further extended our research by incorporating the power/energy constraint with thermal awareness into our research problem. We investigated the energy estimation problem on multi-core platforms, and developed a computation efficient method to calculate the energy consumption for a given voltage schedule on a multi-core platform. In this dissertation, we present our research in details and demonstrate the effectiveness and efficiency of our approaches with extensive experimental results.

Experimental and Analytical Methodologies for Predicting Peak Loads on Building Envelopes and Roofing Systems

The performance of building envelopes and roofing systems significantly depends on accurate knowledge of wind loads and the response of envelope components under realistic wind conditions. Wind tunnel testing is a well-established practice to determine wind loads on structures. For small structures much larger model scales are needed than for large structures, to maintain modeling accuracy and minimize Reynolds number effects. In these circumstances the ability to obtain a large enough turbulence integral scale is usually compromised by the limited dimensions of the wind tunnel meaning that it is not possible to simulate the low frequency end of the turbulence spectrum. Such flows are called flows with Partial Turbulence Simulation. In this dissertation, the test procedure and scaling requirements for tests in partial turbulence simulation are discussed. A theoretical method is proposed for including the effects of low-frequency turbulences in the post-test analysis. In this theory the turbulence spectrum is divided into two distinct statistical processes, one at high frequencies which can be simulated in the wind tunnel, and one at low frequencies which can be treated in a quasi-steady manner. The joint probability of load resulting from the two processes is derived from which full-scale equivalent peak pressure coefficients can be obtained. The efficacy of the method is proved by comparing predicted data derived from tests on large-scale models of the Silsoe Cube and Texas-Tech University buildings in Wall of Wind facility at Florida International University with the available full-scale data. For multi-layer building envelopes such as rain-screen walls, roof pavers, and vented energy efficient walls not only peak wind loads but also their spatial gradients are important. Wind permeable roof claddings like roof pavers are not well dealt with in many existing building codes and standards. Large-scale experiments were carried out to investigate the wind loading on concrete pavers including wind blow-off tests and pressure measurements. Simplified guidelines were developed for design of loose-laid roof pavers against wind uplift. The guidelines are formatted so that use can be made of the existing information in codes and standards such as ASCE 7-10 on pressure coefficients on components and cladding.

Development of the Sphere Overlap Scale (SOS) : compartmentalization and the spillover hypothesis

The purpose of this study was to create a scale that could measure compartmentalization. In the first of two studies 311 working undergraduates were asked to indicate agreement with 119 items that measured compartmentalization. The resulting scale's reliability and validity were evaluated by having a second sample of 312 working students complete the items that comprise a sphere overlap scale, two measures of spillover, and a measure of personality, coping, and demoralization. Although the study's original goal was not realized, its procedures were successful in developing a short (10-item) measure of work-to-home spillover whose items loaded on a single factor. Structural equation modeling indicated that SOS items were correlated with existing measures of spillover and could be discriminated from related concepts of personality and coping. The SOS was also more highly correlated with demoralization than existing measures of spillover in hierarchical analyses that controlled for demographic factors, personality characteristics, and coping style. It is concluded that the SOS shows enough promise to warrant the cost of its appraisal as an alternative measure of spillover in a longitudinal study.

Lattice Boltzmann Modeling of Fluid Flow and Solute Transport in Karst Aquifers

A novel modeling approach is applied to karst hydrology. Long-standing problems in karst hydrology and solute transport are addressed using Lattice Boltzmann methods (LBMs). These methods contrast with other modeling approaches that have been applied to karst hydrology. The motivation of this dissertation is to develop new computational models for solving ground water hydraulics and transport problems in karst aquifers, which are widespread around the globe. This research tests the viability of the LBM as a robust alternative numerical technique for solving large-scale hydrological problems. The LB models applied in this research are briefly reviewed and there is a discussion of implementation issues. The dissertation focuses on testing the LB models. The LBM is tested for two different types of inlet boundary conditions for solute transport in finite and effectively semi-infinite domains. The LBM solutions are verified against analytical solutions. Zero-diffusion transport and Taylor dispersion in slits are also simulated and compared against analytical solutions. These results demonstrate the LBM’s flexibility as a solute transport solver. The LBM is applied to simulate solute transport and fluid flow in porous media traversed by larger conduits. A LBM-based macroscopic flow solver (Darcy’s law-based) is linked with an anisotropic dispersion solver. Spatial breakthrough curves in one and two dimensions are fitted against the available analytical solutions. This provides a steady flow model with capabilities routinely found in ground water flow and transport models (e.g., the combination of MODFLOW and MT3D). However the new LBM-based model retains the ability to solve inertial flows that are characteristic of karst aquifer conduits. Transient flows in a confined aquifer are solved using two different LBM approaches. The analogy between Fick’s second law (diffusion equation) and the transient ground water flow equation is used to solve the transient head distribution. An altered-velocity flow solver with source/sink term is applied to simulate a drawdown curve. Hydraulic parameters like transmissivity and storage coefficient are linked with LB parameters. These capabilities complete the LBM’s effective treatment of the types of processes that are simulated by standard ground water models. The LB model is verified against field data for drawdown in a confined aquifer.

Multi-media filtration for removal of petroleum contamination

A pilot scale multi-media filtration system was used to evaluate the effectiveness of filtration in removing petroleum hydrocarbons from a source water contaminated with diesel fuel. Source water was artificially prepared by mixing bentonite clay and tap water to produce a turbidity range of 10-15 NTU. Diesel fuel concentrations of 150 ppm or 750 ppm were used to contaminate the source water. The coagulants used included Cat Floc K-10 and Cat Floc T-2. The experimental phase was conducted under direct filtration conditions at constant head and constant rate filtration at 8.0 gpm. Filtration experiments were run until the filter reached its clogging point as noted by a measured peak pressure loss of 10 psi. The experimental variables include type of coagulant, oil concentration and source water. Filtration results were evaluated based on turbidity removal and petroleum hydrocarbon (PHC) removal efficiency as measured by gas chromatography. Experiments indicated that clogging was controlled by the clay loading on the filter and that inadequate destabilization of the contaminated water by the coagulant limited the PHC removal. ^

Examination of Personality, Social and Cognitive Factors on the Co-Occurrence of Health Risk Behaviors among Multi-Problem Youth: The Utility of An Integrative Framework

Research has identified a number of putative risk factors that places adolescents at incrementally higher risk for involvement in alcohol and other drug (AOD) use and sexual risk behaviors (SRBs). Such factors include personality characteristics such as sensation-seeking, cognitive factors such as positive expectancies and inhibition conflict as well as peer norm processes. The current study was guided by a conceptual perspective that support the notion that an integrative framework that includes multi-level factors has significant explanatory value for understanding processes associated with the co-occurrence of AOD use and sexual risk behavior outcomes. This study evaluated simultaneously the mediating role of AOD-sex related expectancies and inhibition conflict on antecedents of AOD use and SRBs including sexual sensation-seeking and peer norms for condom use. The sample was drawn from the Enhancing My Personal Options While Evaluating Risk (EMPOWER: Jonathan Tubman, PI), data set (N = 396; aged 12-18 years). Measures used in the study included Sexual Sensation-Seeking Scale, Inhibition Conflict for Condom Use, Risky Sex Scale. All relevant measures had well-documented psychometric properties. A global assessment of alcohol, drug use and sexual risk behaviors was used. Results demonstrated that AOD-sex related expectancies mediated the influence of sexual sensation-seeking on the co-occurrence of alcohol and other drug use and sexual risk behaviors. The evaluation of the integrative model also revealed that sexual sensation-seeking was positively associated with peer norms for condom use. Also, peer norms predicted inhibition conflict among this sample of multi-problem youth. This dissertation research identified mechanisms of risk and protection associated with the co-occurrence of AOD use and SRBs among a multi-problem sample of adolescents receiving treatment for alcohol or drug use and related problems. This study is informative for adolescent-serving programs that address those individual and contextual characteristics that enhance treatment efficacy and effectiveness among adolescents receiving substance use and related problems services.

A Modeling Approach to Determine the Impacts of Land Use and Climate Change Scenarios on the Water Flux of the Upper Mara River

With the flow of the Mara River becoming increasingly erratic especially in the upper reaches, attention has been directed to land use change as the major cause of this problem. The semi-distributed hydrological model Soil and Water Assessment Tool 5 (SWAT) and Landsat imagery were utilized in the upper Mara River Basin in order to 1) map existing field scale land use practices in order to determine their impact 2) determine the impacts of land use change on water flux; and 3) determine the impacts of rainfall (0%, ±10% and ±20%) and air temperature variations (0% and +5%) based on the Intergovernmental Panel on Climate Change projections on the water flux of the 10 upper Mara River. This study found that the different scenarios impacted on the water balance components differently. Land use changes resulted in a slightly more erratic discharge while rainfall and air temperature changes had a more predictable impact on the discharge and water balance components. These findings demonstrate that the model results 15 show the flow was more sensitive to the rainfall changes than land use changes. It was also shown that land use changes can reduce dry season flow which is the most important problem in the basin. The model shows also deforestation in the Mau Forest increased the peak flows which can also lead to high sediment loading in the Mara River. The effect of the land use and climate change scenarios on the sediment and 20 water quality of the river needs a thorough understanding of the sediment transport processes in addition to observed sediment and water quality data for validation of modeling results.

3D Navigation with Six Degrees-of-Freedom using a Multi-Touch Display

With the introduction of new input devices, such as multi-touch surface displays, the Nintendo WiiMote, the Microsoft Kinect, and the Leap Motion sensor, among others, the field of Human-Computer Interaction (HCI) finds itself at an important crossroads that requires solving new challenges. Given the amount of three-dimensional (3D) data available today, 3D navigation plays an important role in 3D User Interfaces (3DUI). This dissertation deals with multi-touch, 3D navigation, and how users can explore 3D virtual worlds using a multi-touch, non-stereo, desktop display. The contributions of this dissertation include a feature-extraction algorithm for multi-touch displays (FETOUCH), a multi-touch and gyroscope interaction technique (GyroTouch), a theoretical model for multi-touch interaction using high-level Petri Nets (PeNTa), an algorithm to resolve ambiguities in the multi-touch gesture classification process (Yield), a proposed technique for navigational experiments (FaNS), a proposed gesture (Hold-and-Roll), and an experiment prototype for 3D navigation (3DNav). The verification experiment for 3DNav was conducted with 30 human-subjects of both genders. The experiment used the 3DNav prototype to present a pseudo-universe, where each user was required to find five objects using the multi-touch display and five objects using a game controller (GamePad). For the multi-touch display, 3DNav used a commercial library called GestureWorks in conjunction with Yield to resolve the ambiguity posed by the multiplicity of gestures reported by the initial classification. The experiment compared both devices. The task completion time with multi-touch was slightly shorter, but the difference was not statistically significant. The design of experiment also included an equation that determined the level of video game console expertise of the subjects, which was used to break down users into two groups: casual users and experienced users. The study found that experienced gamers performed significantly faster with the GamePad than casual users. When looking at the groups separately, casual gamers performed significantly better using the multi-touch display, compared to the GamePad. Additional results are found in this dissertation.

A Comparison of the Effects of Classroom and Multi-User Virtual Environments on the Perceived Speaking Anxiety of Adult Post-Secondary English Language Learners

The population of English Language Learners (ELLs) globally has been increasing substantially every year. In the United States alone, adult ELLs are the fastest growing portion of learners in adult education programs (Yang, 2005). There is a significant need to improve the teaching of English to ELLs in the United States and other English-speaking dominant countries. However, for many ELLs, speaking, especially to Native English Speakers (NESs), causes considerable language anxiety, which in turn plays a vital role in hindering their language development and academic progress (Pichette, 2009; Woodrow, 2006). Task-based Language Teaching (TBLT), such as simulation activities, has long been viewed as an effective approach for second-language development. The current advances in technology and rapid emergence of Multi-User Virtual Environments (MUVEs) have provided an opportunity for educators to consider conducting simulations online for ELLs to practice speaking English to NESs. Yet to date, empirical research on the effects of MUVEs on ELLs’ language development and speaking is limited (Garcia-Ruiz, Edwards, & Aquino-Santos, 2007). This study used a true experimental treatment control group repeated measures design to compare the perceived speaking anxiety levels (as measured by an anxiety scale administered per simulation activity) of 11 ELLs (5 in the control group, 6 in the experimental group) when speaking to Native English Speakers (NESs) during 10 simulation activities. Simulations in the control group were done face-to-face, while those in the experimental group were done in the MUVE of Second Life. The results of the repeated measures ANOVA revealed after the Huynh-Feldt epsilon correction, demonstrated for both groups a significant decrease in anxiety levels over time from the first simulation to the tenth and final simulation. When comparing the two groups, the results revealed a statistically significant difference, with the experimental group demonstrating a greater anxiety reduction. These results suggests that language instructors should consider including face-to-face and MUVE simulations with ELLs paired with NESs as part of their language instruction. Future investigations should investigate the use of other multi-user virtual environments and/or measure other dimensions of the ELL/NES interactions.

Experimental and analytical methodologies for predicting peak loads on building envelopes and roofing systems

The performance of building envelopes and roofing systems significantly depends on accurate knowledge of wind loads and the response of envelope components under realistic wind conditions. Wind tunnel testing is a well-established practice to determine wind loads on structures. For small structures much larger model scales are needed than for large structures, to maintain modeling accuracy and minimize Reynolds number effects. In these circumstances the ability to obtain a large enough turbulence integral scale is usually compromised by the limited dimensions of the wind tunnel meaning that it is not possible to simulate the low frequency end of the turbulence spectrum. Such flows are called flows with Partial Turbulence Simulation.^ In this dissertation, the test procedure and scaling requirements for tests in partial turbulence simulation are discussed. A theoretical method is proposed for including the effects of low-frequency turbulences in the post-test analysis. In this theory the turbulence spectrum is divided into two distinct statistical processes, one at high frequencies which can be simulated in the wind tunnel, and one at low frequencies which can be treated in a quasi-steady manner. The joint probability of load resulting from the two processes is derived from which full-scale equivalent peak pressure coefficients can be obtained. The efficacy of the method is proved by comparing predicted data derived from tests on large-scale models of the Silsoe Cube and Texas-Tech University buildings in Wall of Wind facility at Florida International University with the available full-scale data.^ For multi-layer building envelopes such as rain-screen walls, roof pavers, and vented energy efficient walls not only peak wind loads but also their spatial gradients are important. Wind permeable roof claddings like roof pavers are not well dealt with in many existing building codes and standards. Large-scale experiments were carried out to investigate the wind loading on concrete pavers including wind blow-off tests and pressure measurements. Simplified guidelines were developed for design of loose-laid roof pavers against wind uplift. The guidelines are formatted so that use can be made of the existing information in codes and standards such as ASCE 7-10 on pressure coefficients on components and cladding.^

Life Cycle of Deccan Trap Magma Chambers: A Crystal Scale Elemental and Strontium Isotopic Investigation

The Deccan Trap basalts are the remnants of a massive series of lava flows that erupted at the K/T boundary and covered 1-2 million km2 of west-central India. This eruptive event is of global interest because of its possible link to the major mass extinction event, and there is much debate about the duration of this massive volcanic event. In contrast to isotopic or paleomagnetic dating methods, I explore an alternative approach to determine the lifecycle of the magma chambers that supplied the lavas, and extend the concept to obtain a tighter constraint on Deccan’s duration. My method relies on extracting time information from elemental and isotopic diffusion across zone boundary in an individual crystal. I determined elemental and Sr-isotopic variations across abnormally large (2-5 cm) plagioclase crystals from the Thalghat and Kashele “Giant Plagioclase Basalts” from the lowermost Jawhar and Igatpuri Formations respectively in the thickest Western Ghats section near Mumbai. I also obtained bulk rock major, trace and rare earth element chemistry of each lava flow from the two formations. Thalghat flows contain only 12% zoned crystals, with 87Sr/86Sr ratios of 0.7096 in the core and 0.7106 in the rim, separated by a sharp boundary. In contrast, all Kashele crystals have a wider range of 87Sr/86Sr values, with multiple zones. Geochemical modeling of the data suggests that the two types of crystals grew in distinct magmatic environments. Modeling intracrystalline diffusive equilibration between the core and rim of Thalghat crystals led me to obtain a crystal growth rate of 2.03x10-10 cm/s and a residence time of 780 years for the crystals in the magma chamber(s). Employing some assumptions based on field and geochronologic evidence, I extrapolated this residence time to the entire Western Ghats and obtained an estimate of 25,000 – 35,000 years for the duration of Western Ghats volcanism. This gave an eruptive rate of 30 – 40 km3/yr, which is much higher than any presently erupting volcano. This result will remain speculative until a similarly detailed analytical-modeling study is performed for the rest of the Western Ghats formations.