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.

Croig Cave: a late Bronze Age ornament deposition and 3,500 years of coastal foraging in NW Mull, Scotland

Activity within caves provides an important element of the later prehistoric and historic settlement pattern of western Scotland. This contribution reports on a small-scale excavation within Croig Cave, on the coast of north-west Mull, that exposed a 1.95m sequence of midden deposits and cave floors that dated bewteen c 1700 BC and AD 1400. Midden analysis indicated the processing of a .... 950 BC, a penannular copper bracelet a discrete ritual episode within the cycle of otherwise potentially mundane activities. Lead isotope analysis indicates an Irish origin for the copper ore. A piece of iron slag within later midden deposits, dated to c 400 BC, along with high frequencies of wood charcoal, suggest that smithing or smelting may have occurred within the cave. High zinc levels in the historic levels of the midden c AD 1200 might indicate intensive processing of seaweed.

Stability of dobutamine 500 mg in 50 ml syringes prepared using a Central Intravenous Additive Service

Objectives A pharmacy Central Intravenous Additives Service (CIVAS) provides ready to use injectable medicines. However, manipulation of a licensed injectable medicine may significantly alter the stability of drug(s) in the final product. The aim of this study was to develop a stability indicating assay for CIVAS produced dobutamine 500 mg in 50 ml dextrose 1% (w/v) prefilled syringes, and to allocate a suitable shelf life. Methods A stability indicating high performance liquid chromatography (HPLC) assay was established for dobutamine. The stability of dobutamine prefilled syringes was evaluated under storage conditions of 4°C (protected from light), room temperature (protected from light), room temperature (exposed to light) and 40°C (protected from light) at various time points (up to 42 days). Results An HPLC method employing a Hypersil column, mobile phase (pH=4.0) consisting of 82:12:6 (v/v/v) 0.05 M KH2PO4:acetonitrile:methanol plus 0.3% (v/v) triethylamine with UV detection at λ=280 nm was specific for dobutamine. Under different storage conditions only samples stored at 40°C showed greater than 5% degradation (5.08%) at 42 days and had the shortest T95% based on this criterion (44.6 days compared with 111.4 days for 4°C). Exposure to light also reduced dobutamine stability. Discolouration on storage was the limiting factor in shelf life allocation, even when dobutamine remained within 5% of the initial concentration. Conclusions A stability indicating HPLC assay for dobutamine was developed. The shelf life recommended for the CIVAS product was 42 days at 4°C and 35 days at room temperature when protected from light.

Jump and variance risk premia in the S&P 500

We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63 % of these variations.