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.

Evolutionary dynamics of Staphylococcus aureus during progression from carriage to disease

Whole-genome sequencing offers new insights into the evolution of bacterial pathogens and the etiology of bacterial disease. Staph- ylococcus aureus is a major cause of bacteria-associated mortality and invasive disease and is carried asymptomatically by 27% of adults. Eighty percent of bacteremias match the carried strain. How- ever, the role of evolutionary change in the pathogen during the progression from carriage to disease is incompletely understood. Here we use high-throughput genome sequencing to discover the genetic changes that accompany the transition from nasal carriage to fatal bloodstream infection in an individual colonized with meth- icillin-sensitive S. aureus. We found a single, cohesive population exhibiting a repertoire of 30 single-nucleotide polymorphisms and four insertion/deletion variants. Mutations accumulated at a steady rate over a 13-mo period, except for a cluster of mutations preceding the transition to disease. Although bloodstream bacteria differed by just eight mutations from the original nasally carried bacteria, half of those mutations caused truncation of proteins, including a prema- ture stop codon in an AraC-family transcriptional regulator that has been implicated in pathogenicity. Comparison with evolution in two asymptomatic carriers supported the conclusion that clusters of pro- tein-truncating mutations are highly unusual. Our results demon- strate that bacterial diversity in vivo is limited but nonetheless detectable by whole-genome sequencing, enabling the study of evolutionary dynamics within the host. Regulatory or structural changes that occur during carriage may be functionally important for pathogenesis; therefore identifying those changes is a crucial step in understanding the biological causes of invasive bacterial disease.

Four-dimensional data assimilation and balanced dynamics

The problem of spurious excitation of gravity waves in the context of four-dimensional data assimilation is investigated using a simple model of balanced dynamics. The model admits a chaotic vortical mode coupled to a comparatively fast gravity wave mode, and can be initialized such that the model evolves on a so-called slow manifold, where the fast motion is suppressed. Identical twin assimilation experiments are performed, comparing the extended and ensemble Kalman filters (EKF and EnKF, respectively). The EKF uses a tangent linear model (TLM) to estimate the evolution of forecast error statistics in time, whereas the EnKF uses the statistics of an ensemble of nonlinear model integrations. Specifically, the case is examined where the true state is balanced, but observation errors project onto all degrees of freedom, including the fast modes. It is shown that the EKF and EnKF will assimilate observations in a balanced way only if certain assumptions hold, and that, outside of ideal cases (i.e., with very frequent observations), dynamical balance can easily be lost in the assimilation. For the EKF, the repeated adjustment of the covariances by the assimilation of observations can easily unbalance the TLM, and destroy the assumptions on which balanced assimilation rests. It is shown that an important factor is the choice of initial forecast error covariance matrix. A balance-constrained EKF is described and compared to the standard EKF, and shown to offer significant improvement for observation frequencies where balance in the standard EKF is lost. The EnKF is advantageous in that balance in the error covariances relies only on a balanced forecast ensemble, and that the analysis step is an ensemble-mean operation. Numerical experiments show that the EnKF may be preferable to the EKF in terms of balance, though its validity is limited by ensemble size. It is also found that overobserving can lead to a more unbalanced forecast ensemble and thus to an unbalanced analysis.

Hamiltonian geophysical fluid dynamics

Hamiltonian dynamics describes the evolution of conservative physical systems. Originally developed as a generalization of Newtonian mechanics, describing gravitationally driven motion from the simple pendulum to celestial mechanics, it also applies to such diverse areas of physics as quantum mechanics, quantum field theory, statistical mechanics, electromagnetism, and optics – in short, to any physical system for which dissipation is negligible. Dynamical meteorology consists of the fundamental laws of physics, including Newton’s second law. For many purposes, diabatic and viscous processes can be neglected and the equations are then conservative. (For example, in idealized modeling studies, dissipation is often only present for numerical reasons and is kept as small as possible.) In such cases dynamical meteorology obeys Hamiltonian dynamics. Even when nonconservative processes are not negligible, it often turns out that separate analysis of the conservative dynamics, which fully describes the nonlinear interactions, is essential for an understanding of the complete system, and the Hamiltonian description can play a useful role in this respect. Energy budgets and momentum transfer by waves are but two examples.

Free gravity waves and balanced dynamics

It is shown how a renormalization technique, which is a variant of classical Krylov–Bogolyubov–Mitropol’skii averaging, can be used to obtain slow evolution equations for the vortical and inertia–gravity wave components of the dynamics in a rotating flow. The evolution equations for each component are obtained to second order in the Rossby number, and the nature of the coupling between the two is analyzed carefully. It is also shown how classical balance models such as quasigeostrophic dynamics and its second-order extension appear naturally as a special case of this renormalized system, thereby providing a rigorous basis for the slaving approach where only the fast variables are expanded. It is well known that these balance models correspond to a hypothetical slow manifold of the parent system; the method herein allows the determination of the dynamics in the neighborhood of such solutions. As a concrete illustration, a simple weak-wave model is used, although the method readily applies to more complex rotating fluid models such as the shallow-water, Boussinesq, primitive, and 3D Euler equations.

Wave-activity conservation laws and stability theorems for semi-geostrophic dynamics: part 2. pseudoenergy-based theory

This paper represents the second part of a study of semi-geostrophic (SG) geophysical fluid dynamics. SG dynamics shares certain attractive properties with the better known and more widely used quasi-geostrophic (QG) model, but is also a good prototype for balanced models that are more accurate than QG dynamics. The development of such balanced models is an area of great current interest. The goal of the present work is to extend a central body of QG theory, concerning the evolution of disturbances to prescribed basic states, to SG dynamics. Part 1 was based on the pseudomomentum; Part 2 is based on the pseudoenergy. A pseudoenergy invariant is a conserved quantity, of second order in disturbance amplitude relative to a prescribed steady basic state, which is related to the time symmetry of the system. We derive such an invariant for the semi-geostrophic equations, and use it to obtain: (i) a linear stability theorem analogous to Arnol'd's ‘first theorem’; and (ii) a small-amplitude local conservation law for the invariant, obeying the group-velocity property in the WKB limit. The results are analogous to their quasi-geostrophic forms, and reduce to those forms in the limit of small Rossby number. The results are derived for both the f-plane Boussinesq form of semi-geostrophic dynamics, and its extension to β-plane compressible flow by Magnusdottir & Schubert. Novel features particular to semi-geostrophic dynamics include apparently unnoticed lateral boundary stability criteria. Unlike the boundary stability criteria found in the first part of this study, however, these boundary criteria do not necessarily preclude the construction of provably stable basic states. The interior semi-geostrophic dynamics has an underlying Hamiltonian structure, which guarantees that symmetries in the system correspond naturally to the system's invariants. This is an important motivation for the theoretical approach used in this study. The connection between symmetries and conservation laws is made explicit using Noether's theorem applied to the Eulerian form of the Hamiltonian description of the interior dynamics.

Wave-activity conservation laws and stability theorems for semi-geostrophic dynamics: part 1. pseudomomentum-based theory

There exists a well-developed body of theory based on quasi-geostrophic (QG) dynamics that is central to our present understanding of large-scale atmospheric and oceanic dynamics. An important question is the extent to which this body of theory may generalize to more accurate dynamical models. As a first step in this process, we here generalize a set of theoretical results, concerning the evolution of disturbances to prescribed basic states, to semi-geostrophic (SG) dynamics. SG dynamics, like QG dynamics, is a Hamiltonian balanced model whose evolution is described by the material conservation of potential vorticity, together with an invertibility principle relating the potential vorticity to the advecting fields. SG dynamics has features that make it a good prototype for balanced models that are more accurate than QG dynamics. In the first part of this two-part study, we derive a pseudomomentum invariant for the SG equations, and use it to obtain: (i) linear and nonlinear generalized Charney–Stern theorems for disturbances to parallel flows; (ii) a finite-amplitude local conservation law for the invariant, obeying the group-velocity property in the WKB limit; and (iii) a wave-mean-flow interaction theorem consisting of generalized Eliassen–Palm flux diagnostics, an elliptic equation for the stream-function tendency, and a non-acceleration theorem. All these results are analogous to their QG forms. The pseudomomentum invariant – a conserved second-order disturbance quantity that is associated with zonal symmetry – is constructed using a variational principle in a similar manner to the QG calculations. Such an approach is possible when the equations of motion under the geostrophic momentum approximation are transformed to isentropic and geostrophic coordinates, in which the ageostrophic advection terms are no longer explicit. Symmetry-related wave-activity invariants such as the pseudomomentum then arise naturally from the Hamiltonian structure of the SG equations. We avoid use of the so-called ‘massless layer’ approach to the modelling of isentropic gradients at the lower boundary, preferring instead to incorporate explicitly those boundary contributions into the wave-activity and stability results. This makes the analogy with QG dynamics most transparent. This paper treats the f-plane Boussinesq form of SG dynamics, and its recent extension to β-plane, compressible flow by Magnusdottir & Schubert. In the limit of small Rossby number, the results reduce to their respective QG forms. Novel features particular to SG dynamics include apparently unnoticed lateral boundary stability criteria in (i), and the necessity of including additional zonal-mean eddy correlation terms besides the zonal-mean potential vorticity fluxes in the wave-mean-flow balance in (iii). In the companion paper, wave-activity conservation laws and stability theorems based on the SG form of the pseudoenergy are presented.

The effect of non-uniform radiative damping on the zonal-mean dynamics of the extratropical middle atmosphere

The effect of spatial and temporal variations in the radiative damping rate on the response to an imposed forcing or diabatic heating is examined in a zonal-mean model of the middle atmosphere. Attention is restricted to the extratropics, where a linear approach is viable. It is found that regions with weak radiative damping rates are more sensitive in terms of temperature to the remote influence of the diabatic circulation. The delay in the response in such regions can mean that ‘downward’ control is not achieved on seasonal time-scales. A seasonal variation in the radiative damping rate modulates the evolution of the response and leaves a transient-like signature in the annual mean temperature field. Several idealized examples are considered, motivated by topical questions. It is found that wave drag outside the polar vortex can significantly affect the temperatures in its interior, so that high-latitude, high-altitude gravity-wave drag is not the only mechanism for warming the southern hemisphere polar vortex. Diabatic mass transport through the 100 hPa surface is found to lag the seasonal evolution of the wave drag that drives the transport, and thus cannot be considered to be in the downward control regime. On the other hand, the seasonal variation of the radiative damping rate is found to make only a weak contribution to the annual mean temperature increase that has been observed above the ozone hole. Copyright © 2002 Royal Meteorological Society.

Within-host evolution of Staphylococcus aureus during asymptomatic carriage

Background Staphylococcus aureus is a major cause of healthcare associated mortality, but like many important bacterial pathogens, it is a common constituent of the normal human body flora. Around a third of healthy adults are carriers. Recent evidence suggests that evolution of S. aureus during nasal carriage may be associated with progression to invasive disease. However, a more detailed understanding of within-host evolution under natural conditions is required to appreciate the evolutionary and mechanistic reasons why commensal bacteria such as S. aureus cause disease. Therefore we examined in detail the evolutionary dynamics of normal, asymptomatic carriage. Sequencing a total of 131 genomes across 13 singly colonized hosts using the Illumina platform, we investigated diversity, selection, population dynamics and transmission during the short-term evolution of S. aureus. Principal Findings We characterized the processes by which the raw material for evolution is generated: micro-mutation (point mutation and small insertions/deletions), macro-mutation (large insertions/deletions) and the loss or acquisition of mobile elements (plasmids and bacteriophages). Through an analysis of synonymous, non-synonymous and intergenic mutations we discovered a fitness landscape dominated by purifying selection, with rare examples of adaptive change in genes encoding surface-anchored proteins and an enterotoxin. We found evidence for dramatic, hundred-fold fluctuations in the size of the within-host population over time, which we related to the cycle of colonization and clearance. Using a newly-developed population genetics approach to detect recent transmission among hosts, we revealed evidence for recent transmission between some of our subjects, including a husband and wife both carrying populations of methicillin-resistant S. aureus (MRSA). Significance This investigation begins to paint a picture of the within-host evolution of an important bacterial pathogen during its prevailing natural state, asymptomatic carriage. These results also have wider significance as a benchmark for future systematic studies of evolution during invasive S. aureus disease.

Anisotropic model for granulated sea ice dynamics

A continuum model describing sea ice as a layer of granulated thick ice, consisting of many rigid, brittle floes, intersected by long and narrow regions of thinner ice, known as leads, is developed. We consider the evolution of mesoscale leads, formed under extension, whose lengths span many floes, so that the surrounding ice is treated as a granular plastic. The leads are sufficiently small with respect to basin scales of sea ice deformation that they may be modelled using a continuum approach. The model includes evolution equations for the orientational distribution of leads, their thickness and width expressed through second-rank tensors and terms requiring closures. The closing assumptions are constructed for the case of negligibly small lead ice thickness and the canonical deformation types of pure and simple shear, pure divergence and pure convergence. We present a new continuum-scale sea ice rheology that depends upon the isotropic, material rheology of sea ice, the orientational distribution of lead properties and the thick ice thickness. A new model of lead and thick ice interaction is presented that successfully describes a number of effects: (i) because of its brittle nature, thick ice does not thin under extension and (ii) the consideration of the thick sea ice as a granular material determines finite lead opening under pure shear, when granular dilation is unimportant.

A continuum anisotropic model of sea-ice dynamics

We develop the essential ingredients of a new, continuum and anisotropic model of sea-ice dynamics designed for eventual use in climate simulation. These ingredients are a constitutive law for sea-ice stress, relating stress to the material properties of sea ice and to internal variables describing the sea-ice state, and equations describing the evolution of these variables. The sea-ice cover is treated as a densely flawed two-dimensional continuum consisting of a uniform field of thick ice that is uniformly permeated with narrow linear regions of thinner ice called leads. Lead orientation, thickness and width distributions are described by second-rank tensor internal variables: the structure, thickness and width tensors, whose dynamics are governed by corresponding evolution equations accounting for processes such as new lead generation and rotation as the ice cover deforms. These evolution equations contain contractions of higher-order tensor expressions that require closures. We develop a sea-ice stress constitutive law that relates sea-ice stress to the structure tensor, thickness tensor and strain rate. For the special case of empty leads (containing no ice), linear closures are adopted and we present calculations for simple shear, convergence and divergence.

Efficient fully nonlinear data assimilation for geophysical fluid dynamics

A potential problem with Ensemble Kalman Filter is the implicit Gaussian assumption at analysis times. Here we explore the performance of a recently proposed fully nonlinear particle filter on a high-dimensional but simplified ocean model, in which the Gaussian assumption is not made. The model simulates the evolution of the vorticity field in time, described by the barotropic vorticity equation, in a highly nonlinear flow regime. While common knowledge is that particle filters are inefficient and need large numbers of model runs to avoid degeneracy, the newly developed particle filter needs only of the order of 10-100 particles on large scale problems. The crucial new ingredient is that the proposal density cannot only be used to ensure all particles end up in high-probability regions of state space as defined by the observations, but also to ensure that most of the particles have similar weights. Using identical twin experiments we found that the ensemble mean follows the truth reliably, and the difference from the truth is captured by the ensemble spread. A rank histogram is used to show that the truth run is indistinguishable from any of the particles, showing statistical consistency of the method.

CASCADE: An Agent Based Framework For Modeling The Dynamics Of Smart Electricity Systems

The Complex Adaptive Systems, Cognitive Agents and Distributed Energy (CASCADE) project is developing a framework based on Agent Based Modelling (ABM). The CASCADE Framework can be used both to gain policy and industry relevant insights into the smart grid concept itself and as a platform to design and test distributed ICT solutions for smart grid based business entities. ABM is used to capture the behaviors of diff erent social, economic and technical actors, which may be defi ned at various levels of abstraction. It is applied to understanding their interactions and can be adapted to include learning processes and emergent patterns. CASCADE models ‘prosumer’ agents (i.e., producers and/or consumers of energy) and ‘aggregator’ agents (e.g., traders of energy in both wholesale and retail markets) at various scales, from large generators and Energy Service Companies down to individual people and devices. The CASCADE Framework is formed of three main subdivisions that link models of electricity supply and demand, the electricity market and power fl ow. It can also model the variability of renewable energy generation caused by the weather, which is an important issue for grid balancing and the profi tability of energy suppliers. The development of CASCADE has already yielded some interesting early fi ndings, demonstrating that it is possible for a mediating agent (aggregator) to achieve stable demandfl attening across groups of domestic households fi tted with smart energy control and communication devices, where direct wholesale price signals had previously been found to produce characteristic complex system instability. In another example, it has demonstrated how large changes in supply mix can be caused even by small changes in demand profi le. Ongoing and planned refi nements to the Framework will support investigation of demand response at various scales, the integration of the power sector with transport and heat sectors, novel technology adoption and diffusion work, evolution of new smart grid business models, and complex power grid engineering and market interactions.

Novel single trial movement classification based on temporal dynamics of EEG

Various complex oscillatory processes are involved in the generation of the motor command. The temporal dynamics of these processes were studied for movement detection from single trial electroencephalogram (EEG). Autocorrelation analysis was performed on the EEG signals to find robust markers of movement detection. The evolution of the autocorrelation function was characterised via the relaxation time of the autocorrelation by exponential curve fitting. It was observed that the decay constant of the exponential curve increased during movement, indicating that the autocorrelation function decays slowly during motor execution. Significant differences were observed between movement and no moment tasks. Additionally, a linear discriminant analysis (LDA) classifier was used to identify movement trials with a peak accuracy of 74%.

Geophysical characterization of the complex dynamics of groundwater and seawater exchange in a highly stressed aquifer system linked to a coastal lagoon (SE Spain)

Anthropogenic pressure influences the two-way interactions between shallow aquifers and coastal lagoons. Aquifer overexploitation may lead to seawater intrusion, and aquifer recharge from rainfall plus irrigation may, in turn, increase the groundwater discharge into the lagoon. We analyse the evolution, since the 1950s up to the present, of the interactions between the Campo de Cartagena Quaternary aquifer and the Mar Menor coastal lagoon (SE Spain). This is a very heterogeneous and anisotropic detrital aquifer, where aquifer–lagoon interface has a very irregular geometry. Using electrical resistivity tomography, we clearly identified the freshwater–saltwater transition zone and detected areas affected by seawater intrusion. Severity of the intrusion was spatially variable and significantly related to the density of irrigation wells in 1950s–1960s, suggesting the role of groundwater overexploitation. We distinguish two different mechanisms by which water from the sea invades the land: (a) horizontal advance of the interface due to a wide exploitation area and (b) vertical rise (upconing) caused by local intensive pumping. In general, shallow parts of the geophysical profiles show higher electrical resistivity associated with freshwater mainly coming from irrigation return flows, with water resources mostly from deep confined aquifers and imported from Tagus river, 400 km north. This indicates a likely reversal of the former seawater intrusion process.