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.

Observations of ice multiplication in a weakly convective cell embedded in supercooled mid-level stratus

Simultaneous observations of cloud microphysical properties were obtained by in-situ aircraft measurements and ground based Radar/Lidar. Widespread mid-level stratus cloud was present below a temperature inversion (~5 °C magnitude) at 3.6 km altitude. Localised convection (peak updraft 1.5 m s−1) was observed 20 km west of the Radar station. This was associated with convergence at 2.5 km altitude. The convection was unable to penetrate the inversion capping the mid-level stratus. The mid-level stratus cloud was vertically thin (~400 m), horizontally extensive (covering 100 s of km) and persisted for more than 24 h. The cloud consisted of supercooled water droplets and small concentrations of large (~1 mm) stellar/plate like ice which slowly precipitated out. This ice was nucleated at temperatures greater than −12.2 °C and less than −10.0 °C, (cloud top and cloud base temperatures, respectively). No ice seeding from above the cloud layer was observed. This ice was formed by primary nucleation, either through the entrainment of efficient ice nuclei from above/below cloud, or by the slow stochastic activation of immersion freezing ice nuclei contained within the supercooled drops. Above cloud top significant concentrations of sub-micron aerosol were observed and consisted of a mixture of sulphate and carbonaceous material, a potential source of ice nuclei. Particle number concentrations (in the size range 0.1

Evidence that ice forms primarily in supercooled liquid clouds at temperatures > -27C

Using 4 years of radar and lidar observations of layer clouds from the Chilbolton Observatory in the UK, we show that almost all (95%) ice particles formed at temperatures >-20°C appear to originate from supercooled liquid clouds. At colder temperatures, there is a monotonic decline in the fraction of liquid-topped ice clouds: 50% at -27°C, falling to zero at -37°C (where homogeneous freezing of water droplets occurs). This strongly suggests that deposition nucleation plays a relatively minor role in the initiation of ice in mid-level clouds. It also means that the initial growth of the ice particles occurs predominantly within a liquid cloud, a situation which promotes rapid production of precipitation via the Bergeron-Findeison mechanism.

Rational speculative bubbles: an empirical investigation of the London Stock Exchange

In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been noted. In this paper, we examine whether this divergence can be explained by reference to the existence of a speculative bubble. Three different empirical methodologies are used: variance bounds tests, bubble specification tests, and cointegration tests based on both ex post and ex ante data. We find that, stock prices diverged significantly from their fundamental values during the late 1990's, and that this divergence has all the characteristics of a bubble.

Rheology of magmas with bimodal crystal size and shape distributions: insights from analog experiments

Magmas in volcanic conduits commonly contain microlites in association with preexisting phenocrysts, as often indicated by volcanic rock textures. In this study, we present two different experiments that inves- tigate the flow behavior of these bidisperse systems. In the first experiments, rotational rheometric methods are used to determine the rheology of monodisperse and polydisperse suspensions consisting of smaller, prolate particles (microlites) and larger, equant particles (phenocrysts) in a bubble‐free Newtonian liquid (silicate melt). Our data show that increasing the relative proportion of prolate microlites to equant pheno- crysts in a magma at constant total particle content can increase the relative viscosity by up to three orders of magnitude. Consequently, the rheological effect of particles in magmas cannot be modeled by assuming a monodisperse population of particles. We propose a new model that uses interpolated parameters based on the relative proportions of small and large particles and produces a considerably improved fit to the data than earlier models. In a second series of experiments we investigate the textures produced by shearing bimodal suspensions in gradually solidifying epoxy resin in a concentric cylinder setup. The resulting textures show the prolate particles are aligned with the flow lines and spherical particles are found in well‐organized strings, with sphere‐depleted shear bands in high‐shear regions. These observations may explain the measured variation in the shear thinning and yield stress behavior with increasing solid fraction and particle aspect ratio. The implications for magma flow are discussed, and rheological results and tex- tural observations are compared with observations on natural samples.

Intrinsic and rational speculative bubbles in the U.S. housing market 1960-2011

This paper examines the dynamics of the residential property market in the United States between 1960 and 2011. Given the cyclically and apparent overvaluation of the market over this period, we determine whether deviations of real estate prices from their fundamentals were caused by the existence of two genres of bubbles: intrinsic bubbles and rational speculative bubbles. We find evidence of an intrinsic bubble in the market pre-2000, implying that overreaction to changes in rents contributed to the overvaluation of real estate prices. However, using a regime-switching model, we find evidence of periodically collapsing rational bubbles in the post-2000 market

Colloidal gas aphrons (CGA): dispersion and structural features

Colloidal gas aphrons (CGA) have previously been defined as surfactant stabilized gas microbubbles and characterized for a number of surfactants in terms of stability, gas holdup and bubble size even though there is no conclusive evidence of their structure (that is, orientation of surfactant molecules at the gas–liquid interface, thickness of gas–liquid interface, and/or number of surfactant layers). Knowledge of the structure would enable us to use these dispersions more efficiently for their diverse applications (such as for removal of dyes, recovery of proteins, and enhancement of mass transfer in bioreactors). This study investigates dispersion and structural features of CGA utilizing a range of novel predictive (for prediction of aphron size and drainage rate) and experimental (electron microscopy and X-ray diffraction) methods. Results indicate structural differences between foams and CGA, which may have been caused by a multilayer structure of the latter as suggested by the electron and X-ray diffraction analysis.

Rheology of milk foams produced by steam injection

Rheology of milk foams generated by steam injection was studied during the transient destabilization process using steady flow and dynamic oscillatory techniques: yield stress (τ_y) values were obtained from a stress ramp (0.2 to 25 Pa) and from strain amplitude sweep (0.001 to 3 at 1 Hz of frequency); elastic (G') and viscous (G") moduli were measured by frequency sweep (0.1 to 150 Hz at 0.05 of strain); and the apparent viscosity (η_a) was obtained from the flow curves generated from the stress ramp. The effect of plate roughness and the sweep time on τ_y was also assessed. Yield stress was found to increase with plate roughness whereas it decreased with the sweep time. The values of yield stress and moduli—G' and G"—increased during foam destabilization as a consequence of the changes in foam properties, especially the gas volume fraction, φ, and bubble size, R_32 (Sauter mean bubble radius). Thus, a relationship between τ_y, φ, R_32, and σ (surface tension) was established. The changes in the apparent viscosity, η, showed that the foams behaved like a shear thinning fluid beyond the yield point, fitting the modified Cross model with the relaxation time parameter (λ) also depending on the gas volume fraction. Overall, it was concluded that the viscoelastic behavior of the foam below the yield point and liquid-like behavior thereafter both vary during destabilization due to changes in the foam characteristics.

Developing skin analogues for a robotic octopus

In order to fabricate a biomimetic skin for an octopus inspired robot, a new process was developed based on mechanical properties measured from real octopus skin. Various knitted nylon textiles were tested and the one of 10-denier nylon was chosen as reinforcement. A combination of Ecoflex 0030 and 0010 silicone rubbers was used as matrix of the composite to obtain the right stiffness for the skin-analogue system. The open mould fabrication process developed allows air bubble to escape easily and the artificial skin produced was thin and waterproof. Material properties of the biomimetic skin were characterised using static tensile and instrumented scissors cutting tests. The Young’s moduli of the artificial skin are 0.08 MPa and 0.13 MPa in the longitudinal and transverse directions, which are much lower than those of the octopus skin. The strength and fracture toughness of the artificial skin, on the other hand are higher than those of real octopus skins. Conically-shaped skin prototypes to be used to cover the robotic arm unit were manufactured and tested. The biomimetic skin prototype was stiff enough to maintain it conical shape when filled with water. The driving force for elongation was reduced significantly compared with previous prototypes.

Ice formation and development in aged, wintertime cumulus over the UK: observations and modelling

In situ high resolution aircraft measurements of cloud microphysical properties were made in coordination with ground based remote sensing observations of a line of small cumulus clouds, using Radar and Lidar, as part of the Aerosol Properties, PRocesses And InfluenceS on the Earth's climate (APPRAISE) project. A narrow but extensive line (~100 km long) of shallow convective clouds over the southern UK was studied. Cloud top temperatures were observed to be higher than −8 °C, but the clouds were seen to consist of supercooled droplets and varying concentrations of ice particles. No ice particles were observed to be falling into the cloud tops from above. Current parameterisations of ice nuclei (IN) numbers predict too few particles will be active as ice nuclei to account for ice particle concentrations at the observed, near cloud top, temperatures (−7.5 °C). The role of mineral dust particles, consistent with concentrations observed near the surface, acting as high temperature IN is considered important in this case. It was found that very high concentrations of ice particles (up to 100 L−1) could be produced by secondary ice particle production providing the observed small amount of primary ice (about 0.01 L−1) was present to initiate it. This emphasises the need to understand primary ice formation in slightly supercooled clouds. It is shown using simple calculations that the Hallett-Mossop process (HM) is the likely source of the secondary ice. Model simulations of the case study were performed with the Aerosol Cloud and Precipitation Interactions Model (ACPIM). These parcel model investigations confirmed the HM process to be a very important mechanism for producing the observed high ice concentrations. A key step in generating the high concentrations was the process of collision and coalescence of rain drops, which once formed fell rapidly through the cloud, collecting ice particles which caused them to freeze and form instant large riming particles. The broadening of the droplet size-distribution by collision-coalescence was, therefore, a vital step in this process as this was required to generate the large number of ice crystals observed in the time available. Simulations were also performed with the WRF (Weather, Research and Forecasting) model. The results showed that while HM does act to increase the mass and number concentration of ice particles in these model simulations it was not found to be critical for the formation of precipitation. However, the WRF simulations produced a cloud top that was too cold and this, combined with the assumption of continual replenishing of ice nuclei removed by ice crystal formation, resulted in too many ice crystals forming by primary nucleation compared to the observations and parcel modelling.

Copper deposition on TiO2 from copper(II)hexafluoroacetylacetonate

The authors have studied the adsorption of CuII(hfac)2 on the surface of a model oxide system, TiO2(110), and probed the molecular stability with respect to thermal cycling, using atomic scale imaging by scanning tunneling microscopy supported by x-ray photoemission spectroscopy. They find that at 473 K, the adsorbed metal-organic molecules begin to dissociate and release Cu atoms which aggregate and form Cu nanoparticles. These Cu nanoparticles ripen over time and the size (height) distribution develops into a bimodal distribution. Unlike other organometallic systems, which show a bimodal distribution due to enhanced nucleation or growth at surface step edges, the nanoparticles do not preferentially form at steps. The reduced mobility of the Cu islands may be related to the co-adsorbed ligands that remain in very small clusters on the surface.

Commercial real estate and equity market bubbles: are they contagious to REITs?

This paper uses a regime-switching approach to determine whether prices in the US stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. A multivariate bubble model is then developed and implemented to evaluate whether the stock and real estate bubbles spill over into REITs. The underlying stock market bubble is found to be a stronger influence on the securitised real estate market bubble than that of the property market. Furthermore, the findings suggest a transmission of speculative bubbles from the direct real estate to the stock market, although this link is not present for the returns themselves.

The formation of ice in a long-lived supercooled layer cloud

This article focuses on the characteristics of persistent thin single-layer mixed-phase clouds. We seek to answer two important questions: (i) how does ice continually nucleate and precipitate from these clouds, without the available ice nuclei becoming depleted? (ii) how do the supercooled liquid droplets persist in spite of the net flux of water vapour to the growing ice crystals? These questions are answered quantitatively using in situ and radar observations of a long-lived mixed-phase cloud layer over the Chilbolton Observatory. Doppler radar measurements show that the top 500 m of cloud (the top 250 m of which is mixed-phase, with ice virga beneath) is turbulent and well-mixed, and the liquid water content is adiabatic. This well-mixed layer is bounded above and below by stable layers. This inhibits entrainment of fresh ice nuclei into the cloud layer, yet our in situ and radar observations show that a steady flux of ≈100 m−2s−1 ice crystals fell from the cloud over the course of ∼1 day. Comparing this flux to the concentration of conventional ice nuclei expected to be present within the well-mixed layer, we find that these nuclei would be depleted within less than 1 h. We therefore argue that nucleation in these persistent supercooled clouds is strongly time-dependent in nature, with droplets freezing slowly over many hours, significantly longer than the few seconds residence time of an ice nucleus counter. Once nucleated, the ice crystals are observed to grow primarily by vapour deposition, because of the low liquid water path (21 g m−2) yet vapour-rich environment. Evidence for this comes from high differential reflectivity in the radar observations, and in situ imaging of the crystals. The flux of vapour from liquid to ice is quantified from in situ measurements, and we show that this modest flux (3.3 g m−2h−1) can be readily offset by slow radiative cooling of the layer to space.

Potential reduction of concrete deterioration through controlled DEF in hydrated concrete

Delayed ettringite formation (DEF) is a chemical reaction with proven damaging effects on hydrated concrete. Ettringite crystals can cause cracks and their widening due to pressure on cracked walls caused by the positive volume difference in the reaction. Concrete may show improvements in strength at early ages but further growth of cracks causes widening and spreading through the concrete structure. In this study, finely dispersed crystallization nuclei achieved by adding air-entraining agent (AEA) and short vibration of specimens is presented as the main prerequisite for reducing DEF-induced deterioration of hydrated concrete. The study presents the method and mechanism for obtaining the required nucleation. Controlling long-term DEF by providing AEA-induced crystallisation nuclei, prevented excessive and rapid initial strength improvements, and resulted in a slight increase of compressive strength of fine grained concrete with only marginally lower density.

Characterization of energy flux partitioning in urban environments: links with surface seasonal properties

A better understanding of links between the properties of the urban environment and the exchange to the atmosphere is central to a wide range of applications. The numerous measurements of surface energy balance data in urban areas enable intercomparison of observed fluxes from distinct environments. This study analyzes a large database in two new ways. First, instead of normalizing fluxes using net all-wave radiation only the incoming radiative fluxes are used, to remove the surface attributes from the denominator. Second, because data are now available year-round, indices are developed to characterize the fraction of the surface (built; vegetation) actively engaged in energy exchanges. These account for shading patterns within city streets and seasonal changes in vegetation phenology; their impact on the partitioning of the incoming radiation is analyzed. Data from 19 sites in North America, Europe, Africa, and Asia (including 6-yr-long observation campaigns) are used to derive generalized surface–flux relations. The midday-period outgoing radiative fraction decreases with an increasing total active surface index, the stored energy fraction increases with an active built index, and the latent heat fraction increases with an active vegetated index. Parameterizations of these energy exchange ratios as a function of the surface indices [i.e., the Flux Ratio–Active Index Surface Exchange (FRAISE) scheme] are developed. These are used to define four urban zones that characterize energy partitioning on the basis of their active surface indices. An independent evaluation of FRAISE, using three additional sites from the Basel Urban Boundary Layer Experiment (BUBBLE), yields accurate predictions of the midday flux partitioning at each location.