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.

Integration of remote sensing and GIS for modelling flash floods in Wadi Hudain catchment, Egypt

This paper presents a new approach to modelling flash floods in dryland catchments by integrating remote sensing and digital elevation model (DEM) data in a geographical information system (GIS). The spectral reflectance of channels affected by recent flash floods exhibit a marked increase, due to the deposition of fine sediments in these channels as the flood recedes. This allows the parts of a catchment that have been affected by a recent flood event to be discriminated from unaffected parts, using a time series of Landsat images. Using images of the Wadi Hudain catchment in southern Egypt, the hillslope areas contributing flow were inferred for different flood events. The SRTM3 DEM was used to derive flow direction, flow length, active channel cross-sectional areas and slope. The Manning Equation was used to estimate the channel flow velocities, and hence the time-area zones of the catchment. A channel reach that was active during a 1985 runoff event, that does not receive any tributary flow, was used to estimate a transmission loss rate of 7·5 mm h−1, given the maximum peak discharge estimate. Runoff patterns resulting from different flood events are quite variable; however the southern part of the catchment appears to have experienced more floods during the period of study (1984–2000), perhaps because the bedrock hillslopes in this area are more effective at runoff production than other parts of the catchment which are underlain by unconsolidated Quaternary sands and gravels. Due to high transmission loss, runoff generated within the upper reaches is rarely delivered to the alluvial fan and Shalateen city situated at the catchment outlet. The synthetic GIS-based time area zones, on their own, cannot be relied on to model the hydrographs reliably; physical parameters, such as rainfall intensity, distribution, and transmission loss, must also be considered.

Measurements and modelling of airflows in houses using passive sampling and HAM software

Passive samplers have been predominantly used to monitor environmental conditions in single volumes. However, measurements using a calibrated passive sampler- Solid Phase Microextraction (SPME) fibre, in three houses with cold pitched roof, successfully demonstrated the potential of the SPME fibre as a device for monitoring air movement in two volumes. The roofs monitored were pitched at 15° - 30° with insulation thickness varying between 200-300 mm on the ceiling. For effective analysis, two constant sources of volatile organic compounds were diffused steadily in the house. Emission rates and air movement from the house to the roof was predicted using developed algorithms. The airflow rates which were calibrated against conventional tracer gas techniques were introduced into a HAM software package to predict the effects of air movement on other varying parameters. On average it was shown from the in situ measurements that about 20-30% of air entering the three houses left through gaps and cracks in the ceiling into the roof. Although these field measurements focus on the airflows, it is associated with energy benefits such that; if these flows are reduced then significantly energy losses would also be reduced (as modelled) consequently improving the energy efficiency of the house. Other results illustrated that condensation formation risks were dependent on the airtightness of the building envelopes including configurations of their roof constructions.

Modelling niches of arbitrary shape in genetic algorithms using Niche Linkage in the Dynamic Niche Clustering framework

We present some additions to a fuzzy variable radius niche technique called Dynamic Niche Clustering (DNC) (Gan and Warwick, 1999; 2000; 2001) that enable the identification and creation of niches of arbitrary shape through a mechanism called Niche Linkage. We show that by using this mechanism it is possible to attain better feature extraction from the underlying population.