A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

Regime dependent changes in global precipitation

Assessment of changes in precipitation (P) as a function of percentiles of surface temperature (T) and 500 hPa vertical velocity (ω) are presented, considering present-day simulations and observational estimates from the Global Precipitation Climatology Project (GPCP) combined with the European Centre for Medium-range Weather Forecasts Interim reanalysis (ERA Interim). There is a tendency for models to overestimate P in the warm, subsiding regimes compared to GPCP, in some cases by more than 100%, while many models underestimate P in the moderate temperature regimes. Considering climate change projections between 1980–1999 and 2080–2099, responses in P are characterised by dP/dT ≥ 4%/K over the coldest 10–20% of land points and over warm, ascending ocean points while P declines over the warmest, descending regimes (dP/dT ∼ − 4%/K for model ensemble means). The reduced Walker circulation limits this contrasting dP/dT response in the tropical wet and dry regimes only marginally. Around 70% of the global surface area exhibits a consistent sign for dP/dT in at least 6 out of a 7-member model ensemble when considering P composites in terms of dynamic regime.

Manual response preparation and saccade programming are linked to attention shifts: ERP evidence for covert attentional orienting and spatially specific modulations of visual processing

The premotor theory of attention claims that attentional shifts are triggered during response programming, regardless of which response modality is involved. To investigate this claim, event-related brain potentials (ERPs) were recorded while participants covertly prepared a left or right response, as indicated by a precue presented at the beginning of each trial. Cues signalled a left or right eye movement in the saccade task, and a left or right manual response in the manual task. The cued response had to be executed or withheld following the presentation of a Go/Nogo stimulus. Although there were systematic differences between ERPs triggered during covert manual and saccade preparation, lateralised ERP components sensitive to the direction of a cued response were very similar for both tasks, and also similar to the components previously found during cued shifts of endogenous spatial attention. This is consistent with the claim that the control of attention and of covert response preparation are closely linked. N1 components triggered by task-irrelevant visual probes presented during the covert response preparation interval were enhanced when these probes were presented close to cued response hand in the manual task, and at the saccade target location in the saccade task. This demonstrates that both manual and saccade preparation result in spatially specific modulations of visual processing, in line with the predictions of the premotor theory.

Consistent phenological shifts in the making of a biodiversity hotspot: the Cape flora

Background The best documented survival responses of organisms to past climate change on short (glacial-interglacial) timescales are distributional shifts. Despite ample evidence on such timescales for local adaptations of populations at specific sites, the long-term impacts of such changes on evolutionary significant units in response to past climatic change have been little documented. Here we use phylogenies to reconstruct changes in distribution and flowering ecology of the Cape flora - South Africa's biodiversity hotspot - through a period of past (Neogene and Quaternary) changes in the seasonality of rainfall over a timescale of several million years. Results Forty-three distributional and phenological shifts consistent with past climatic change occur across the flora, and a comparable number of clades underwent adaptive changes in their flowering phenology (9 clades; half of the clades investigated) as underwent distributional shifts (12 clades; two thirds of the clades investigated). Of extant Cape angiosperm species, 14-41% have been contributed by lineages that show distributional shifts consistent with past climate change, yet a similar proportion (14-55%) arose from lineages that shifted flowering phenology. Conclusions Adaptive changes in ecology at the scale we uncover in the Cape and consistent with past climatic change have not been documented for other floras. Shifts in climate tolerance appear to have been more important in this flora than is currently appreciated, and lineages that underwent such shifts went on to contribute a high proportion of the flora's extant species diversity. That shifts in phenology, on an evolutionary timescale and on such a scale, have not yet been detected for other floras is likely a result of the method used; shifts in flowering phenology cannot be detected in the fossil record.

Shifts in metabolic scaling, production, and efficiency across major evolutionary transitions of life

The diversification of life involved enormous increases in size and complexity. The evolutionary transitions from prokaryotes to unicellular eukaryotes to metazoans were accompanied by major innovations inmetabolicdesign.Hereweshowthat thescalingsofmetabolic rate, population growth rate, and production efficiency with body size have changed across the evolutionary transitions.Metabolic rate scales with body mass superlinearly in prokaryotes, linearly in protists, and sublinearly inmetazoans, so Kleiber’s 3/4 power scaling law does not apply universally across organisms. The scaling ofmaximum population growth rate shifts from positive in prokaryotes to negative in protists and metazoans, and the efficiency of production declines across these groups.Major changes inmetabolic processes duringtheearlyevolutionof life overcameexistingconstraints, exploited new opportunities, and imposed new constraints. The 3.5 billion year history of life on earth was characterized by

Coppicing shifts CO2 stimulation of poplar productivity to above-ground pools: a synthesis of leaf to stand level results from the POP/EUROFACE experiment

A poplar short rotation coppice (SRC) grown for the production of bioenergy can combine carbon (C) storage with fossil fuel substitution. Here, we summarize the responses of a poplar (Populus) plantation to 6 yr of free air CO2 enrichment (POP/EUROFACE consisting of two rotation cycles). We show that a poplar plantation growing in nonlimiting light, nutrient and water conditions will significantly increase its productivity in elevated CO2 concentrations ([CO2]). Increased biomass yield resulted from an early growth enhancement and photosynthesis did not acclimate to elevated [CO2]. Sufficient nutrient availability, increased nitrogen use efficiency (NUE) and the large sink capacity of poplars contributed to the sustained increase in C uptake over 6 yr. Additional C taken up in high [CO2] was mainly invested into woody biomass pools. Coppicing increased yield by 66% and partly shifted the extra C uptake in elevated [CO2] to above-ground pools, as fine root biomass declined and its [CO2] stimulation disappeared. Mineral soil C increased equally in ambient and elevated [CO2] during the 6 yr experiment. However, elevated [CO2] increased the stabilization of C in the mineral soil. Increased productivity of a poplar SRC in elevated [CO2] may allow shorter rotation cycles, enhancing the viability of SRC for biofuel production.

From apotheosis to damnation: Mussolini and the Fascist regime, 1936-45

This is an essay for a catalogue of the exhibition 'Against Mussolini: art and the fall of a dictator' held at the Estorick Collection, London, September - December 2010. The essay examines shifting attitudes towards Mussolini in the years immediately preceding his fall, and suggests that the development of 'anti-fascism' was less pronounced than often suggested.

Correlation shifts and real estate portfolio management

The success of any diversification strategy depends upon the quality of the estimated correlation between assets. It is well known, however, that there is a tendency for the average correlation among assets to increase when the market falls and vice-versa. Thus, assuming that the correlation between assets is a constant over time seems unrealistic. Nonetheless, these changes in the correlation structure as a consequence of changes in the market’s return suggests that correlation shifts can be modelled as a function of the market return. This is the idea behind the model of Spurgin et al (2000), which models the beta or systematic risk, of the asset as a function of the returns in the market. This is an approach that offers particular attractions to fund managers as it suggest ways by which they can adjust their portfolios to benefit from changes in overall market conditions. In this paper the Spurgin et al (2000) model is applied to 31 real estate market segments in the UK using monthly data over the period 1987:1 to 2000:12. The results show that a number of market segments display significant negative correlation shifts, while others show significantly positive correlation shifts. Using this information fund managers can make strategic and tactical portfolio allocation decisions based on expectations of market volatility alone and so help them achieve greater portfolio performance overall and especially during different phases of the real estate cycle.

Property company performance and real interest rates: a regime-switching approach

Linear models of property market performance may be misspecified if there exist distinct states where the market drivers behave in different ways. This paper examines the applicability of non-linear regime-based models. A Self Exciting Threshold Autoregressive (SETAR) model is applied to property company share data, using the real rate of interest to define regimes. Distinct regimes appear exhibiting markedly different market behaviour. The model both casts doubt on the specification of conventional linear models and offers the possibility of developing effective trading rules for real estate equities.

Holocene settlement shifts and paleoenvironments on the Central Iranian Plateau: investigating linked systems

For thousands of years, humans have inhabited locations that are highly vulnerable to the impacts of climate change, earthquakes, and floods. In order to investigate the extent to which Holocene environmental changes may have impacted on cultural evolution, we present new geologic, geomorphic, and chronologic data from the Qazvin Plain in northwest Iran that provides a backdrop of natural environmental changes for the simultaneous cultural dynamics observed on the Central Iranian Plateau. Well-resolved archaeological data from the neighbouring settlements of Zagheh (7170—6300 yr BP), Ghabristan (6215—4950 yr BP) and Sagzabad (4050—2350 yr BP) indicate that Holocene occupation of the Hajiarab alluvial fan was interrupted by a 900 year settlement hiatus. Multiproxy climate data from nearby lakes in northwest Iran suggest a transition from arid early-Holocene conditions to more humid middle-Holocene conditions from c. 7550 to 6750 yr BP, coinciding with the settlement of Zagheh, and a peak in aridity at c. 4550 yr BP during the settlement hiatus. Palaeoseismic investigations indicate that large active fault systems in close proximity to the tell sites incurred a series of large (MW ~7.1) earthquakes with return periods of ~500—1000 years during human occupation of the tells. Mapping and optically stimulated luminescence (OSL) chronology of the alluvial sequences reveals changes in depositional style from coarse-grained unconfined sheet flow deposits to proximal channel flow and distally prograding alluvial deposits sometime after c. 8830 yr BP, possibly reflecting an increase in moisture following the early-Holocene arid phase. The coincidence of major climate changes, earthquake activity, and varying sedimentation styles with changing patterns of human occupation on the Hajiarab fan indicate links between environmental and anthropogenic systems. However, temporal coincidence does not necessitate a fundamental causative dependency.