Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

August Thienemann and Loch Lomond - an approach to the design of a system for monitoring the state of north-temperate standing waters

Limnologists had an early preoccupation with lake classification. It gave a necessary structure to the many chemical and biological observations that were beginning to form the basis of one of the earliest truly environmental sciences. August Thienemann was the doyen of such classifiers and his concept with Einar Naumann of oligotrophic and eutrophic lakes remains central to the world-view that limnologists still have. Classification fell into disrepute, however, as it became clear that there would always be lakes that deviated from the prescriptions that the classifiers made for them. Continua became the de rigeur concept and lakes were seen as varying along many chemical, biological and geographic axes. Modern limnologists are comfortable with this concept. That all lakes are different guarantees an indefinite future for limnological research. For those who manage lakes and the landscapes in which they are set, however, it is not very useful. There may be as many as 300000 standing water bodies in England and Wales alone and maybe as many again in Scotland. More than 80 000 are sizable (> 1 ha). Some classification scheme to cope with these numbers is needed and, as human impacts on them increase, a system of assessing and monitoring change must be built into such a scheme. Although ways of classifying and monitoring running waters are well developed in the UK, the same is not true of standing waters. Sufficient understanding of what determines the nature and functioning of lakes exists to create a system which has intellectual credibility as well as practical usefulness. This paper outlines the thinking behind a system which will be workable on a north European basis and presents some early results.

The water quality of the River Carnon, west Cornwall, November 1992 to March 1994: the impacts of Wheal Jane discharges

In January 1992, there was a major pollutant event for the River Canon and downstream with its confluence to the River Fal and the Fal estuary in the west Cornwall. This incident was associated with the discharge of several million gallons of highly polluted water from the abandoned Wheal Jane tin mine that also extracted Ag, Cu and Zn ore. Later that year, the Centre for Ecology and Hydrology (CBH; then Institute of Hydrology) Wallingford undertook daily monitoring of the River Canon for a range of major, minor and trace elements to assess the nature and the dynamics of the pollutant discharges. These data cover an 18-month period when there remained major water-quality problems after the initial phase of surface water contamination. Here, a summary is provided of the water quality found, as a backdrop to set against subsequent remediation. Two types of water-quality determinant grouping were observed. The first type comprises the determinants B, Cs, Ca, Li, K, Na, SO4, Rb and Sr, and their concentrations are positively correlated with each other but inversely correlated with flow. This type of water-quality determinant shows variations in concentration that broadly link to the normal hydrogeochemical processes within the catchment, with limited confounding issues associated with mine drainage. The second type of water-quality determinant comprises Al, Be, Cd, Ce, Co, Cu, Fe, La, Pb, Pr, Nd, Ni, Si, Sb, U, Y and Zn, and concentrations for all this group are positively correlated. The determinants in this second group all have concentrations that are negatively correlated with pH. This group links primarily to pollutant mine discharge. The water-quality variations in the River Camon are described in relation to these two distinct hydrogeochemical groupings. (C) 2004 Elsevier B.V All rights reserved.

Interactions between mass balance, atmospheric circulation, and recent climate change on the Djankuat Glacier, Caucasus Mountains, Russia

This paper reports recent changes in the mass balance record from the Djankuat Glacier, central greater Caucasus, Russia, and investigates possible relationships between the components of mass balance, local climate, and distant atmospheric forcing. The results clearly show that a strong warming signal has emerged in the central greater Caucasus, particularly since the 1993/1994 mass balance year, and this has led to a significant increase in the summer ablation of Djankuat. At the same time, there has been no compensating consistent increase in winter precipitation and accumulation leading to the strong net loss of mass and increase in glacier runoff. Interannual variability in ablation and accumulation is partly associated with certain major patterns of Northern Hemisphere climatic variability. The positive phase of the North Pacific (NP) teleconnection pattern forces negative geopotential height and temperature anomalies over the Caucasus in summer and results in reduced summer melt, such as in the early 1990s, when positive NP extremes resulted in a temporary decline in ablation rates. The positive phase of the NP is related to El Nino-Southern Oscillation, and it is possible that a teleconnection between the tropical Pacific sea surface temperatures and summer air temperatures in the Caucasus is bridged through the NP pattern. More recently, the NP pattern was predominantly negative, and this distant moderating forcing on summer ablation in the Caucasus was absent. Statistically significant correlations are observed between accumulation and the Scandinavian (SCA) teleconnection pattern. The frequent occurrence of the positive SCA phase at the beginning of accumulation season results in lower than average snowfall and reduced accumulation. The relationship between the North Atlantic Oscillation (NAO), Arctic Oscillation, and accumulation is weak, although positive precipitation anomalies in the winter months are associated with the negative phase of the NAO. A stronger positive correlation is observed between accumulation on Djankuat and geopotential height over the Bay of Biscay unrelated to the established modes of the Northern Hemisphere climatic variability. These results imply that the mass balance of Djankuat is sensitive to the natural variability in the climate system. Distant forcing, however, explains only 16% of the variance in the ablation record and cannot fully explain the recent increase in ablation and negative mass balance.

The formation mechanism of the Bonin high in August

The Bonin high is a subtropical anticyclone that is predominant near Japan in the summer. This anticyclone is associated with an equivalent-barotropic structure, often extending throughout the entire troposphere. Although the equivalent-barotropic structure of the Bonin high has been known for years among synopticians because of its importance to the summer climate in east Asia, there are few dynamical explanations for such a structure. The present paper attempts to provide a formation mechanism for the deep ridge near Japan. We propose a new hypothesis that this equivalent-barotropic ridge near Japan is formed as a result of the propagation of stationary Rossby waves along the Asian jet in the upper troposphere (‘the Silk Road pattern’). First, the monthly mean climatology is examined in order to demonstrate this hypothesis. It is shown that the enhanced Asian jet in August is favourable for the propagation of stationary Rossby waves and that the regions of descent over the eastern Mediterranean Sea and the Aral Sea act as two major wave sources. Second, a primitive-equation model is used to simulate the climatology of August. The model successfully simulates the Bonin high with an equivalent-barotropic structure. The upper-tropospheric ridge is found to be enhanced by a height anomaly of more than 80 m at 200 hPa, when a wave packet arrives. Sensitivity experiments are conducted to show that the removal of the diabatic cooling over the Asian jet suppresses the Silk Road pattern and formation of an equivalent-barotropic ridge near Japan, while the removal of the diabatic heating in the western Pacific does not. Copyright © 2003 Royal Meteorological Society

Modelling the lava dome extruded at Soufrière Hills Volcano, Montserrat, August 2005–May 2006. Part I: Dome shape and internal structure

Lava domes comprise core, carapace, and clastic talus components. They can grow endogenously by inflation of a core and/or exogenously with the extrusion of shear bounded lobes and whaleback lobes at the surface. Internal structure is paramount in determining the extent to which lava dome growth evolves stably, or conversely the propensity for collapse. The more core lava that exists within a dome, in both relative and absolute terms, the more explosive energy is available, both for large pyroclastic flows following collapse and in particular for lateral blast events following very rapid removal of lateral support to the dome. Knowledge of the location of the core lava within the dome is also relevant for hazard assessment purposes. A spreading toe, or lobe of core lava, over a talus substrate may be both relatively unstable and likely to accelerate to more violent activity during the early phases of a retrogressive collapse. Soufrière Hills Volcano, Montserrat has been erupting since 1995 and has produced numerous lava domes that have undergone repeated collapse events. We consider one continuous dome growth period, from August 2005 to May 2006 that resulted in a dome collapse event on 20th May 2006. The collapse event lasted 3 h, removing the whole dome plus dome remnants from a previous growth period in an unusually violent and rapid collapse event. We use an axisymmetrical computational Finite Element Method model for the growth and evolution of a lava dome. Our model comprises evolving core, carapace and talus components based on axisymmetrical endogenous dome growth, which permits us to model the interface between talus and core. Despite explicitly only modelling axisymmetrical endogenous dome growth our core–talus model simulates many of the observed growth characteristics of the 2005–2006 SHV lava dome well. Further, it is possible for our simulations to replicate large-scale exogenous characteristics when a considerable volume of talus has accumulated around the lower flanks of the dome. Model results suggest that dome core can override talus within a growing dome, potentially generating a region of significant weakness and a potential locus for collapse initiation.

Modelling the lava dome extruded at Soufrière Hills Volcano, Montserrat, August 2005–May 2006. Part II: Rockfall activity and talus deformation

During many lava dome-forming eruptions, persistent rockfalls and the concurrent development of a substantial talus apron around the foot of the dome are important aspects of the observed activity. An improved understanding of internal dome structure, including the shape and internal boundaries of the talus apron, is critical for determining when a lava dome is poised for a major collapse and how this collapse might ensue. We consider a period of lava dome growth at the Soufrière Hills Volcano, Montserrat, from August 2005 to May 2006, during which a 100 × 106 m3 lava dome developed that culminated in a major dome-collapse event on 20 May 2006. We use an axi-symmetrical Finite Element Method model to simulate the growth and evolution of the lava dome, including the development of the talus apron. We first test the generic behaviour of this continuum model, which has core lava and carapace/talus components. Our model describes the generation rate of talus, including its spatial and temporal variation, as well as its post-generation deformation, which is important for an improved understanding of the internal configuration and structure of the dome. We then use our model to simulate the 2005 to 2006 Soufrière Hills dome growth using measured dome volumes and extrusion rates to drive the model and generate the evolving configuration of the dome core and carapace/talus domains. The evolution of the model is compared with the observed rockfall seismicity using event counts and seismic energy parameters, which are used here as a measure of rockfall intensity and hence a first-order proxy for volumes. The range of model-derived volume increments of talus aggraded to the talus slope per recorded rockfall event, approximately 3 × 103–13 × 103 m3 per rockfall, is high with respect to estimates based on observed events. From this, it is inferred that some of the volumetric growth of the talus apron (perhaps up to 60–70%) might have occurred in the form of aseismic deformation of the talus, forced by an internal, laterally spreading core. Talus apron growth by this mechanism has not previously been identified, and this suggests that the core, hosting hot gas-rich lava, could have a greater lateral extent than previously considered.

The microwave spectrum of thietan-2,2,4,4-d4

The microwave spectrum for thietan-2,2,4,4-d4 is analysed in six of its lowest puckering states and up to J = 25. The close lying pairs of states of vp = 0/1, 2/3 and 4/5 are treated with a vibration-rotation hamiltonian which includes an off-diagonal coupling term in vp. Additional corrections to this coupling term in higher powers of the angular momentum operator are derived and their importance for improving the fit of calculated to observed data is tested. The variation of the centrifugal distortion constants with vp follows the model of Creswell and Mills (1974, J. molec. Spectrosc., 52, 392). A value is determined for the derivative with respect to the puckering coordinate of the ac-component of the inverse moment of inertia tensor.

Depreciation and its impact on the total return of UK commercial real estate, 1994-2003

Depreciation is a key element of understanding the returns from and price of commercial real estate. Understanding its impact is important for asset allocation models and asset management decisions. It is a key input into well-constructed pricing models and its impact on indices of commercial real estate prices needs to be recognised. There have been a number of previous studies of the impact of depreciation on real estate, particularly in the UK. Law (2004) analysed all of these studies and found that the seemingly consistent results were an illusion as they all used a variety of measurement methods and data. In addition, none of these studies examined impact on total returns; they examined either rental value depreciation alone or rental and capital value depreciation. This study seeks to rectify this omission, adopting the best practice measurement framework set out by Law (2004). Using individual property data from the UK Investment Property Databank for the 10-year period between 1994 and 2003, rental and capital depreciation, capital expenditure rates, and total return series for the data sample and for a benchmark are calculated for 10 market segments. The results are complicated by the period of analysis which started in the aftermath of the major UK real estate recession of the early 1990s, but they give important insights into the impact of depreciation in different segments of the UK real estate investment market.

Walled in: ordinary East Germans' responses to 13 August 1961

The building of the Berlin Wall on 13 August 1961 had repercussions not only on the international scene, but also for the power relationship between state and society in the German Democratic Republic. This article considers the short-, medium- and long-term reactions of the East German population to the border closure from a personal and political perspective, examining key groups such as educated elites, workers, and young people. The closed society elicited a new deference in the short term, but the author argues for considerable continuities of low-level disruptive behavior before and after 13 August. In the longer term, there was a generation born behind the Wall which by simple habituation rather than a conscious decision was forced to accept the new contours of the geopolitical landscape created by the Wall.