Principal component and second generation wavelet analysis of Treasury yield curve evolution

Prices of U.S. Treasury securities vary over time and across maturities. When the market in Treasurys is sufficiently complete and frictionless, these prices may be modeled by a function time and maturity. A cross-section of this function for time held fixed is called the yield curve; the aggregate of these sections is the evolution of the yield curve. This dissertation studies aspects of this evolution. ^ There are two complementary approaches to the study of yield curve evolution here. The first is principal components analysis; the second is wavelet analysis. In both approaches both the time and maturity variables are discretized. In principal components analysis the vectors of yield curve shifts are viewed as observations of a multivariate normal distribution. The resulting covariance matrix is diagonalized; the resulting eigenvalues and eigenvectors (the principal components) are used to draw inferences about the yield curve evolution. ^ In wavelet analysis, the vectors of shifts are resolved into hierarchies of localized fundamental shifts (wavelets) that leave specified global properties invariant (average change and duration change). The hierarchies relate to the degree of localization with movements restricted to a single maturity at the base and general movements at the apex. Second generation wavelet techniques allow better adaptation of the model to economic observables. Statistically, the wavelet approach is inherently nonparametric while the wavelets themselves are better adapted to describing a complete market. ^ Principal components analysis provides information on the dimension of the yield curve process. While there is no clear demarkation between operative factors and noise, the top six principal components pick up 99% of total interest rate variation 95% of the time. An economically justified basis of this process is hard to find; for example a simple linear model will not suffice for the first principal component and the shape of this component is nonstationary. ^ Wavelet analysis works more directly with yield curve observations than principal components analysis. In fact the complete process from bond data to multiresolution is presented, including the dedicated Perl programs and the details of the portfolio metrics and specially adapted wavelet construction. The result is more robust statistics which provide balance to the more fragile principal components analysis. ^

Deconstructing the Religious Archive and its Secular Component and its Relationship to Violence

The thesis argues for the inclusion of the study of religion within the public school curriculum. It argues that the whole division between “religious” and “secular” spaces and institutions is itself rooted in a specific religious tradition. Using the theories of Jacques Derrida, I argue that, unless the present process of globalization is tempered with alternative models of organizing that don’t include this secular/sacred division, the very process of Western globalization acts as a moral religion. Derrida calls this process “globalatinization,” the imposition of Western defined institutions upon other cultures. The process creates a type of religious violence through act of imposing notions of “secular/public” and “sacred/private.” Drawing from Mark Juergensmeyer’s theory of religious violence, and Derrida’s and Foucault’s understanding of discursive formations, I argue that religious studies should enter this “secular/public” space in the form of educating about the world’s religions. Such education would go a long way in preventing the demonization of the “other” through promoting empathy, understanding, and respect for “other” traditions. Finally, education would provide a needed self-critique of the dividing of “secular/sacred” in contemporary Western life.

Social and cultural influences in the formation of identity: A cross-national/cultural study

This multi-site, multi-ethnic/cultural study examined the effects of variation between ethnic/cultural groups and the effects of institutional variation within ethnic/cultural groups on identity formation. The participants were 892 late adolescent college students from six sites in 5 countries (Brazil, China, Costa Rica, US, and Sweden) representing different linguistic and ethnic/cultural traditions living in the context of varied social conditions. As hypothesized, there were significant differences in the proportion of identity statuses between sites in the Personal domain, $\chi\sp2$(20, N = 858) = 164.78, $p<.001,$ the Interpersonal domain, $\chi\sp2$(20, N = 858) = 145.69, $p<.001,$ and the World View domain, $\chi\sp2$(20, N = 858) = 120.89, $p<.001,$ but the distribution of the differences was more complex than expected. In addition, there were significant differences in Identity Satisfaction among sites, F(15, 2325) = 12.65, $p<.001.$ Further univariate analyses revealed that differences among sites were found on Identity Satisfaction in the personal, interpersonal and world view domain. The direction of the differences, however, were more complex than hypothesized.^ The second hypothesis was confirmed but only with the world view identity status and not for each of the six sites. Stepwise discriminant analyses showed that Identity status in the world view domain was predicted by Institutional Support in Nebraska, gender and Institutional Change in Brazil, and Institutional Access in China. Lastly and as hypothesized, some Institutional Attributes significantly predicted Overall Identity Satisfaction in all sites as revealed by multivariate regression analyses, except in Sweden, F (5, 79) =.660, p =.65. These findings extend the literature on identity formation not only by having investigated how culture influences the process of identity formation with samples representing different ethnic/cultural and linguistically different populations but also by empirically testing the role that social processes play in identity formation at the cross-cultural level. ^

Heterogeneity in Residential Yard Care: Evidence from Boston, Miami, and Phoenix

The management of residential landscapes occurs within a complex socio-ecological system linking household decision-making with ecological properties, multi-scalar human drivers, and the legacy effects of past management. Conventional wisdom suggests that resource-intensive turf grass yards are the most common landscaping outcome, resulting in a presumed homogeneous set of residential landscaping practices throughout North America. We examine this homogenization thesis through an interview-based, cross-site study of residential landscape management in Boston, Phoenix, and Miami. Counter to the homogeneity thesis, we find that yard management practices often exhibit heterogeneity, for example, in groundcover choice or use of chemical inputs. The degree of heterogeneity in management practices varies according to the scale of analysis, and is the outcome of a range of constraints and opportunities to which households respond differently depending on their existing yard and landscaping preferences. This study highlights the importance of multi-scalar and cross-site analyses of decision-making in socio-ecological systems, and presents opportunities for longitudinal and cross-site research to examine the extent to which homogeneity is actually present in the management of residential landscapes over time and in diverse places.

Social and cultural influences in the formation of identity: a cross-national/cultural study.

This multi-site, multi-ethnic/cultural study examined the effects of variation between ethnic/cultural groups and the effects of institutional variation within ethnic/cultural groups on identity formation. The participants were 892 late adolescent college students from six sites in 5 countries (Brazil, China, Costa Rica, US, and Sweden) representing different linguistic and ethnic/cultural traditions living in the context of varied social conditions. As hypothesized, there were significant differences in the proportion of identity statuses between sites in the Personal domain, X2(20, N=858)= 164.78, p2(20, N=858)= 145.69, p2(20, N=858)= 120.89, p

Human impacts on pig frog (Rana grylio) populations in south Florida wetlands: Harvest, water management and mercury contamination

This study investigated how harvest and water management affected the ecology of the Pig Frog, Rana grylio. It also examined how mercury levels in leg muscle tissue vary spatially across the Everglades. Rana grylio is an intermediate link in the Everglades food web. Although common, this inconspicuous species can be affected by three forms of anthropogenic disturbance: harvest, water management and mercury contamination. This frog is harvested both commercially and recreationally for its legs, is aquatic and thus may be susceptible to water management practices, and can transfer mercury throughout the Everglades food web. ^ This two-year study took place in three major regions: Everglades National Park (ENP), Water Conservation Areas 3A (A), and Water Conservation Area 3B (B). The study categorized the three sites by their relative harvest level and hydroperiod. During the spring of 2001, areas of the Everglades dried completely. On a regional and local scale Pig Frog abundance was highest in Site A, the longest hydroperiod, heavily harvested site, followed by ENP and B. More frogs were found along survey transects and in capture-recapture plots before the dry-down than after the dry-down in Sites ENP and B. Individual growth patterns were similar across all sites, suggesting differences in body size may be due to selective harvest. Frogs from Site A, the flooded and harvested site, had no differences in survival rates between adults and juveniles. Site B populations shifted from a juvenile to adult dominated population after the dry-down. Dry-downs appeared to affect survival rates more than harvest. ^ Total mercury in frog leg tissue was highest in protected areas of Everglades National Park with a maximum concentration of 2.3 mg/kg wet mass where harvesting is prohibited. Similar spatial patterns in mercury levels were found among pig frogs and other wildlife throughout parts of the Everglades. Pig Frogs may be transferring substantial levels of mercury to other wildlife species in ENP. ^ In summary, although it was found that abundance and survival were reduced by dry-down, lack of adult size classes in Site A, suggest harvest also plays a role in regulating population structure. ^

An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Headspace analysis of smokeless powders: Development of mass calibration methods using microdrop printing for chromatographic and ion mobility spectrometric detection

Smokeless powder additives are usually detected by their extraction from post-blast residues or unburned powder particles followed by analysis using chromatographic techniques. This work presents the first comprehensive study of the detection of the volatile and semi-volatile additives of smokeless powders using solid phase microextraction (SPME) as a sampling and pre-concentration technique. Seventy smokeless powders were studied using laboratory based chromatography techniques and a field deployable ion mobility spectrometer (IMS). The detection of diphenylamine, ethyl and methyl centralite, 2,4-dinitrotoluene, diethyl and dibutyl phthalate by IMS to associate the presence of these compounds to smokeless powders is also reported for the first time. A previously reported SPME-IMS analytical approach facilitates rapid sub-nanogram detection of the vapor phase components of smokeless powders. A mass calibration procedure for the analytical techniques used in this study was developed. Precise and accurate mass delivery of analytes in picoliter volumes was achieved using a drop-on-demand inkjet printing method. Absolute mass detection limits determined using this method for the various analytes of interest ranged between 0.03–0.8 ng for the GC-MS and between 0.03–2 ng for the IMS. Mass response graphs generated for different detection techniques help in the determination of mass extracted from the headspace of each smokeless powder. The analyte mass present in the vapor phase was sufficient for a SPME fiber to extract most analytes at amounts above the detection limits of both chromatographic techniques and the ion mobility spectrometer. Analysis of the large number of smokeless powders revealed that diphenylamine was present in the headspace of 96% of the powders. Ethyl centralite was detected in 47% of the powders and 8% of the powders had methyl centralite available for detection from the headspace sampling of the powders by SPME. Nitroglycerin was the dominant peak present in the headspace of the double-based powders. 2,4-dinitrotoluene which is another important headspace component was detected in 44% of the powders. The powders therefore have more than one headspace component and the detection of a combination of these compounds is achievable by SPME-IMS leading to an association to the presence of smokeless powders.

The effect of iron oxide nanoparticles on the fate and transformation of arsenic in aquatic environments

Iron oxides and arsenic are prevalent in the environment. With the increase interest in the use of iron oxide nanoparticles (IONPs) for contaminant remediation and the high toxicity of arsenic, it is crucial that we evaluate the interactions between IONPs and arsenic. The goal was to understand the environmental behavior of IONPs in regards to their particle size, aggregation and stability, and to determine how this behavior influences IONPs-arsenic interactions. ^ A variety of dispersion techniques were investigated to disperse bare commercial IONPs. Vortex was able to disperse commercial hematite nanoparticles into unstable dispersions with particles in the micrometer size range while probe ultrasonication dispersed the particles into stable dispersions of nanometer size ranges for a prolonged period of time. Using probe ultrasonication and vortex to prepare IONPs suspensions of different particle sizes, the adsorption of arsenite and arsenate to bare hematite nanoparticles and hematite aggregates were investigated. To understand the difference in the adsorptive behavior, adsorption kinetics and isotherm parameters were determined. Both arsenite and arsenate were capable of adsorbing to hematite nanoparticles and hematite aggregates but the rate and capacity of adsorption is dependent upon the hematite particle size, the stability of the dispersion and the type of sorbed arsenic species. Once arsenic was adsorbed onto the hematite surface, both iron and arsenic can undergo redox transformation both microbially and photochemically and these processes can be intertwined. Arsenic speciation studies in the presence of hematite particles were performed and the effect of light on the redox process was preliminary quantified. The redox behavior of arsenite and arsenate were different depending on the hematite particle size, the stability of the suspension and the presence of environmental factors such as microbes and light. The results from this study are important and have significant environmental implications as arsenic mobility and bioavailability can be affected by its adsorption to hematite particles and by its surface mediated redox transformation. Moreover, this study furthers our understanding on how the particle size influences the interactions between IONPs and arsenic thereby clarifying the role of IONPs in the biogeochemical cycling of arsenic.^

Headspace Analysis of Smokeless Powders: Development of Mass Calibration Methods using Microdrop Printing for Chromatographic and Ion Mobility Spectrometric Detection

Smokeless powder additives are usually detected by their extraction from post-blast residues or unburned powder particles followed by analysis using chromatographic techniques. This work presents the first comprehensive study of the detection of the volatile and semi-volatile additives of smokeless powders using solid phase microextraction (SPME) as a sampling and pre-concentration technique. Seventy smokeless powders were studied using laboratory based chromatography techniques and a field deployable ion mobility spectrometer (IMS). The detection of diphenylamine, ethyl and methyl centralite, 2,4-dinitrotoluene, diethyl and dibutyl phthalate by IMS to associate the presence of these compounds to smokeless powders is also reported for the first time. A previously reported SPME-IMS analytical approach facilitates rapid sub-nanogram detection of the vapor phase components of smokeless powders. A mass calibration procedure for the analytical techniques used in this study was developed. Precise and accurate mass delivery of analytes in picoliter volumes was achieved using a drop-on-demand inkjet printing method. Absolute mass detection limits determined using this method for the various analytes of interest ranged between 0.03 - 0.8 ng for the GC-MS and between 0.03 - 2 ng for the IMS. Mass response graphs generated for different detection techniques help in the determination of mass extracted from the headspace of each smokeless powder. The analyte mass present in the vapor phase was sufficient for a SPME fiber to extract most analytes at amounts above the detection limits of both chromatographic techniques and the ion mobility spectrometer. Analysis of the large number of smokeless powders revealed that diphenylamine was present in the headspace of 96% of the powders. Ethyl centralite was detected in 47% of the powders and 8% of the powders had methyl centralite available for detection from the headspace sampling of the powders by SPME. Nitroglycerin was the dominant peak present in the headspace of the double-based powders. 2,4-dinitrotoluene which is another important headspace component was detected in 44% of the powders. The powders therefore have more than one headspace component and the detection of a combination of these compounds is achievable by SPME-IMS leading to an association to the presence of smokeless powders.

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

The Effect of Iron Oxide Nanoparticles on the Fate and Transformation of Arsenic in Aquatic Environments

Iron oxides and arsenic are prevalent in the environment. With the increase interest in the use of iron oxide nanoparticles (IONPs) for contaminant remediation and the high toxicity of arsenic, it is crucial that we evaluate the interactions between IONPs and arsenic. The goal was to understand the environmental behavior of IONPs in regards to their particle size, aggregation and stability, and to determine how this behavior influences IONPs-arsenic interactions. A variety of dispersion techniques were investigated to disperse bare commercial IONPs. Vortex was able to disperse commercial hematite nanoparticles into unstable dispersions with particles in the micrometer size range while probe ultrasonication dispersed the particles into stable dispersions of nanometer size ranges for a prolonged period of time. Using probe ultrasonication and vortex to prepare IONPs suspensions of different particle sizes, the adsorption of arsenite and arsenate to bare hematite nanoparticles and hematite aggregates were investigated. To understand the difference in the adsorptive behavior, adsorption kinetics and isotherm parameters were determined. Both arsenite and arsenate were capable of adsorbing to hematite nanoparticles and hematite aggregates but the rate and capacity of adsorption is dependent upon the hematite particle size, the stability of the dispersion and the type of sorbed arsenic species. Once arsenic was adsorbed onto the hematite surface, both iron and arsenic can undergo redox transformation both microbially and photochemically and these processes can be intertwined. Arsenic speciation studies in the presence of hematite particles were performed and the effect of light on the redox process was preliminary quantified. The redox behavior of arsenite and arsenate were different depending on the hematite particle size, the stability of the suspension and the presence of environmental factors such as microbes and light. The results from this study are important and have significant environmental implications as arsenic mobility and bioavailability can be affected by its adsorption to hematite particles and by its surface mediated redox transformation. Moreover, this study furthers our understanding on how the particle size influences the interactions between IONPs and arsenic thereby clarifying the role of IONPs in the biogeochemical cycling of arsenic.