Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, fractal markets hypothesis considers financial markets as com- plex systems consisting of many heterogenous agents, which are distinguishable mainly with respect to their investment horizon. In the paper, several novel measures of trading activity at different investment horizons are introduced through scaling of variance of the underlying processes. On the three most liquid US indices - DJI, NASDAQ and S&P500 - we show that predictions of fractal markets hypothesis actually fit the observed behavior quite well.Comment: 11 pages, 3 figure

A simplified protocol for detecting two systemic bait markers (Rhodamine B and iophenoxic acid) in small mammals

We developed a method of quantifying levels of fluorescence in the whiskers of wild stoats (Mustela erminea) using fluorescence microscopy and Axiovision 3.0.6.1 software. The method allows for discrimination between natural fluorescence present in or on a whisker, and the fluorescence resulting from the ingestion of the systemic marker Rhodamine B (RB), although some visual judgement is still required. We also developed a new high performance liquid chromatography (HPLC) protocol for detecting the systemic marker iophenoxic acid (IPA) in the blood of laboratory rats (Rattus norvegicus) and wild stoats. With this method, the blood of an animal that has consumed IPA can be tested for the presence of the foreign IPA compound itself. This is a more reliable test than the previous method, which measured the raised level of natural blood protein-bound iodine correlated with IPA absorption. The quantity of blood required from animal subjects is very small (10 μl), so the testing is less intrusive and the method can be extended to smaller species. The extraction technique uses methanol, rather than acids and heavy metal salts, thereby simplifying the procedure. Recovery of IPA is quantitative, giving a highly reliable reading. In experiments on captive rats the IPA method proved successful. Of 12 positively marked carcasses, two that had not been frozen for the 24 h before blood samples were taken showed relatively lower IPA levels. The same IPA detection method, as well as the whisker analysis for RB, was applied successfully to a population of wild stoats to which both Rhodamine B and IPA were made available at bait stations. The presence of both bait markers was detectable in rats for at least 21 days and in stoats for at least 27 days

Unveiling the Structure of Pre-Transitional Disks

In the past few years, several disks with inner holes that are empty of small dust grains have been detected and are known as transitional disks. Recently, Spitzer has identified a new class of "pre-transitional disks" with gaps; these objects have an optically thick inner disk separated from an optically thick outer disk by an optically thin disk gap. A near-infrared spectrum provided the first confirmation of a gap in the pre-transitional disk of LkCa 15 by verifying that the near-infrared excess emission in this object was due to an optically thick inner disk. Here we investigate the difference between the nature of the inner regions of transitional and pre-transitional disks using the same veiling-based technique to extract the near-infrared excess emission above the stellar photosphere. We show that the near-infrared excess emission of the previously identified pre-transitional disks of LkCa 15 and UX Tau A in Taurus as well as the newly identified pre-transitional disk of ROX 44 in Ophiuchus can be fit with an inner disk wall located at the dust destruction radius. We also model the broad-band SEDs of these objects, taking into account the effect of shadowing by the inner disk on the outer disk, considering the finite size of the star. The near-infrared excess continua of these three pre-transitional disks, which can be explained by optically thick inner disks, are significantly different from that of the transitional disks of GM Aur, whose near-infrared excess continuum can be reproduced by emission from sub-micron-sized optically thin dust, and DM Tau, whose near-infrared spectrum is consistent with a disk hole that is relatively free of small dust. The structure of pre-transitional disks may be a sign of young planets forming in these disks and future studies of pre-transitional disks will provide constraints to aid in theoretical modeling of planet formation.Comment: Accepted for publication in ApJ on May 10, 2010; 29 page

Predicted Colors and Flux Densities of Protostars in the Herschel PACS and SPIRE Filters

Upcoming surveys with the Herschel Space Observatory will yield far-IR photometry of large samples of young stellar objects, which will require careful interpretation. We investigate the color and luminosity diagnostics based on Herschel broad-band filters to identify and discern the properties of low-mass protostars. We compute a grid of 2,016 protostars in various physical congurations, present the expected flux densities and flux density ratios for this grid of protostars, and compare Herschel observations of three protostars to the model results. These provide useful constraints on the range of colors and fluxes of protostar in the Herschel filters. We find that Herschel data alone is likely a useful diagnostic of the envelope properties of young starsComment: Part of HOPS KP papers to the Herschel special A&A issu

The Spitzer Infrared Spectrograph Survey of T Tauri Stars in Taurus

We present 161 Spitzer Infrared Spectrograph (IRS) spectra of T Tauri stars and young brown dwarfs in the Taurus star-forming region. All of the targets were selected based on their infrared excess and are therefore surrounded by protoplanetary disks; they form the complete sample of all available IRS spectra of T Tauri stars with infrared excesses in Taurus. We also present the IRS spectra of seven Class 0/I objects in Taurus to complete the sample of available IRS spectra of protostars in Taurus. We use spectral indices that are not significantly affected by extinction to distinguish between envelope-and disk-dominated objects. Together with data from the literature, we construct spectral energy distributions for all objects in our sample. With spectral indices derived from the IRS spectra we infer disk properties such as dust settling and the presence of inner disk holes and gaps. We find a transitional disk frequency, which is based on objects with unusually large 13-31 mu m spectral indices indicative of a wall surrounding an inner disk hole, of about 3%, and a frequency of about 20% for objects with unusually large 10 mu m features, which could indicate disk gaps. The shape and strength of the 10 mu m silicate emission feature suggests weaker 10 mu m emission and more processed dust for very low mass objects and brown dwarfs (spectral types M6-M9). These objects also display weaker infrared excess emission from their disks, but do not appear to have more settled disks than their higher-mass counterparts. We find no difference for the spectral indices and properties of the dust between single and multiple systems.NASANASA through JPL/CaltechNASA through the Spitzer Space TelescopeNational Science Foundation AST-0544588, 0901947Pennsylvania State UniversityEberly College of SciencePennsylvania Space Grant ConsortiumNSFAstronom