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.

Monetary integration and real estate markets: an investigation of the impact of the introduction of a single currency on real estate performance

This paper assesses the impact of the monetary integration on different types of stock returns in Europe. In order to isolate European factors, the impact of global equity integration and small cap factors are investigated. European countries are sub-divided according to the process of monetary convergence. Analysis shows that national equity indices are strongly influenced by global market movements, with a European stock factor providing additional explanatory power. The global and European factors explain small cap and real estate stocks much less well –suggesting an increased importance of ‘local’ drivers. For real estate, there are notable differences between core and non-core countries. Core European countries exhibit convergence – a convergence to a European rather than a global factor. The non-core countries do not seem to exhibit common trends or movements. For the non-core countries, monetary integration has been associated with increased dispersion of returns, lower correlation and lower explanatory power of a European factor. It is concluded that this may be explained by divergence in underlying macro-economic drivers between core and non-core countries in the post-Euro period.

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.