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.

Modeling seasonal dynamics of small fish cohorts in fluctuating freshwater marsh landscapes

Small-bodied fishes constitute an important assemblage in many wetlands. In wetlands that dry periodically except for small permanent waterbodies, these fishes are quick to respond to change and can undergo large fluctuations in numbers and biomasses. An important aspect of landscapes that are mixtures of marsh and permanent waterbodies is that high rates of biomass production occur in the marshes during flooding phases, while the permanent waterbodies serve as refuges for many biotic components during the dry phases. The temporal and spatial dynamics of the small fishes are ecologically important, as these fishes provide a crucial food base for higher trophic levels, such as wading birds. We develop a simple model that is analytically tractable, describing the main processes of the spatio-temporal dynamics of a population of small-bodied fish in a seasonal wetland environment, consisting of marsh and permanent waterbodies. The population expands into newly flooded areas during the wet season and contracts during declining water levels in the dry season. If the marsh dries completely during these times (a drydown), the fish need refuge in permanent waterbodies. At least three new and general conclusions arise from the model: (1) there is an optimal rate at which fish should expand into a newly flooding area to maximize population production; (2) there is also a fluctuation amplitude of water level that maximizes fish production, and (3) there is an upper limit on the number of fish that can reach a permanent waterbody during a drydown, no matter how large the marsh surface area is that drains into the waterbody. Because water levels can be manipulated in many wetlands, it is useful to have an understanding of the role of these fluctuations.

Multi-Tissue Stable Isotope Analysis and Acoustic Telemetry Reveal Seasonal Variability in the Trophic Interactions of Juvenile Bull Sharks in a Coastal Estuary

Understanding how natural and anthropogenic drivers affect extant food webs is critical to predicting the impacts of climate change and habitat alterations on ecosystem dynamics. In the Florida Everglades, seasonal reductions in freshwater flow and precipitation lead to annual migrations of aquatic taxa from marsh habitats to deep-water refugia in estuaries. The timing and intensity of freshwater reductions, however, will be modified by ongoing ecosystem restoration and predicted climate change. Understanding the importance of seasonally pulsed resources to predators is critical to predicting the impacts of management and climate change on their populations. As with many large predators, however, it is difficult to determine to what extent predators like bull sharks (Carcharhinus leucas) in the coastal Everglades make use of prey pulses currently. We used passive acoustic telemetry to determine whether shark movements responded to the pulse of marsh prey. To investigate the possibility that sharks fed on marsh prey, we modelled the predicted dynamics of stable isotope values in bull shark blood and plasma under different assumptions of temporal variability in shark diets and physiological dynamics of tissue turnover and isotopic discrimination. Bull sharks increased their use of upstream channels during the late dry season, and although our previous work shows long-term specialization in the diets of sharks, stable isotope values suggested that some individuals adjusted their diets to take advantage of prey entering the system from the marsh, and as such this may be an important resource for the nursery. Restoration efforts are predicted to increase hydroperiods and marsh water levels, likely shifting the timing, duration and intensity of prey pulses, which could have negative consequences for the bull shark population and/or induce shifts in behaviour. Understanding the factors influencing the propensity to specialize or adopt more flexible trophic interactions will be an important step in fully understanding the ecological role of predators and how ecological roles may vary with environmental and anthropogenic changes.

Seasonal Fish Dispersal in Ephemeral Wetlands of the Florida Everglades

We hypothesized that fishes in short-hydroperiod wetlands display pulses in activity tied to seasonal flooding and drying, with relatively low activity during intervening periods. To evaluate this hypothesis, sampling devices that funnel fish into traps (drift fences) were used to investigate fish movement across the Everglades, U.S.A. Samples were collected at six sites in the Rocky Glades, a seasonally flooded karstic habitat located on the southeastern edge of the Everglades. Four species that display distinct recovery patterns following drought in long-hydroperiod wetlands were studied: eastern mosquitofish (Gambusia holbrooki) and flagfish (Jordanella floridae) (rapid recovery); and bluefin killifish (Lucania goodei) and least killifish (Heterandria formosa) (slow recovery). Consistent with our hypothesized conceptual model, fishes increased movement soon after flooding (immigration period) and just before drying (emigration period), but decreased activity in the intervening foraging period. We also found that eastern mosquitofish and flagfish arrived earlier and showed stronger responses to hydrological variation than either least killifish or bluefin killifish. We concluded that these fishes actively colonize and escape ephemeral wetlands in response to flooding and drying, and display species-specific differences related to flooding and drying that reflect differences in dispersal ability. These results have important implications for Everglades fish metacommunity dynamics.

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.