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.

Pathogenicity and other genomic islands in plant pathogenic bacteria

Pathogenicity islands (PAIs) were first described in uropathogenic E. coli. They are now defined as regions of DNA that contain virulence genes and are present in the genome of pathogenic strains, but absent from or only rarely present in non-pathogenic variants of the same or related strains. Other features include a variable G+C content, distinct boundaries from the rest of the genome and the presence of genes related to mobile elements such as insertion sequences, integrases and transposases. Although PAIs have now been described in a wide range of both plant and animal pathogens it has become evident that the general features of PAIs are displayed by a number of regions of DNA with functions other than pathogenicity, such as symbiosis and antibiotic resistance, and the general term genomic islands has been adopted. This review will describe a range of genomic islands in plant pathogenic bacteria including those that carry effector genes, phytotoxins and the type III protein secretion cluster. The review will also consider some medically important bacteria in order to discuss the range, acquisition and stabilization of genomic islands.

Changes in race-specific virulence in pseudomonas syringae pv. phaseolicola are Associated with a chimeric transposable element and rare deletion events in a plasmid-borne pathogenicity island

Virulence for bean and soybean is determined by effector genes in a plasmid-borne pathogenicity island (PAI) in race 7 strain 1449B of Pseudomonas syringae pv. phaseolicola. One of the effector genes, avrPphF, confers either pathogenicity, virulence, or avirulence depending on the plant host and is absent from races 2, 3, 4, 6, and 8 of this pathogen. Analysis of cosmid clones and comparison of DNA sequences showed that the absence of avrPphF from strain 1448A is due to deletion of a continuous 9.5-kb fragment. The remainder of the PAI is well conserved in strains 1448A and 1449B. The left junction of the deleted region consists of a chimeric transposable element generated from the fusion of homologs of IS1492 from Pseudomonas putida and IS1090 from Ralstonia eutropha. The borders of the deletion were conserved in 66 P. syringae pv. phaseolicola strains isolated in different countries and representing the five races lacking avrPphF. However, six strains isolated in Spain had a 10.5-kb deletion that extended 1 kb further from the right junction. The perfect conservation of the 28-nucleotide right repeat of the IS1090 homolog in the two deletion types and in the other 47 insertions of the IS1090 homolog in the 1448A genome strongly suggests that the avrPphF deletions were mediated by the activity of the chimeric mobile element. Our data strongly support a clonal origin for the races of P. syringae pv. phaseolicola lacking avrPphF.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

Environmental evaluation of agri-environment schemes using participatory approaches: experiences of testing the Agri-Environmental Footprint Index

The Agri-Environment Footprint Index (AFI) has been developed as a generic methodology to assess changes in the overall environmental impacts from agriculture at the farm level and to assist in the evaluation of European agri-environmental schemes (AES). The methodology is based on multicriteria analysis (MCA) and involves stakeholder participation to provide a locally customised evaluation based on weighted environmental indicators. The methodology was subjected to a feasibility assessment in a series of case studies across the EU. The AFI approach was able to measure significant differences in environmental status between farms that participated in an AES and nonparticipants. Wider environmental concerns, beyond the scheme objectives, were also considered in some case studies and the benefits for identification of unintentional (and often beneficial) impacts of AESs are presented. The participatory approach to AES valuation proved efficient in different environments and administrative contexts. The approach proved to be appropriate for environmental evaluation of complex agri-environment systems and can complement any evaluation conducted under the Common Monitoring and Evaluation Framework. The applicability of the AFI in routine monitoring of AES impacts and in providing feedback to improve policy design is discussed.

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models, this study analyses whether such dynamics can be related to different regimes within which the basis can fluctuate in a predictable manner without triggering arbitrage. These findings reveal that the basis shows strong evidence of autoregressive behaviour when its value is between the two thresholds but that the extra dynamics disappear once the basis moves above the upper threshold and their persistence is reduced, although not eradicated, once the basis moves below the lower threshold. This suggests that once nonlinearity associated with transactions costs is accounted for, stock and stock index futures markets function more effectively than is suggested by linear models of the pricing relationship.

An analysis of commercial real estate returns: an anatomy of smoothing in asset and index returns

In this article, we investigate the commonly used autoregressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Many articles have been written on appraisal smoothing but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraisal-based index. To investigate this issue we analyze a large sample of appraisal data at the individual property level from the Investment Property Databank. We find that commonly used unsmoothing estimates at the index level overstate the extent of smoothing that takes place at the individual property level. There is also strong support for an ARFIMA representation of appraisal returns at the index level and an ARMA model at the individual property level.

A brief index of affective job satisfaction

This article responds to criticisms that affective job satisfaction research suffers serious measurement problems: Noncomparable measures; studies conceptualizing job satisfaction affectively but measuring it cognitively; and ad hoc measures lacking systematic development and validation, especially across populations by nationality, job level, and job type. We address these problems through a series of qualitative (total N = 28) and quantitative (total N = 901) studies to systematically develop and validate a short affective job satisfaction measure ultimately deriving from Brayfield and Rothe’s (1951) job satisfaction index. Unlike any previous job satisfaction measure, the resulting four-item Brief Index of Affective Job Satisfaction is overtly affective, minimally cognitive, and optimally brief. The new measure also differs from any previous job satisfaction measure in being comprehensively validated not just for internal consistency reliability, temporal stability, convergent and criterion-related validities, but also for cross-population invariance by nationality, job level, and job type.

Forecasting annual inflation with seasonal monthly data: using levels versus logs of the underlying price index

This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price indices are considered. Stochastic seasonality and deterministic seasonality models are used. In many cases, the forecasts based on the original variables result in substantially smaller root mean squared errors than models based on logs. In turn, if forecasts based on logs are superior, the gains are typically small. This outcome sheds doubt on the common practice in the academic literature to forecast inflation rates based on differences of logs.