Martingales, detrending data, and the efficient market hypothesis

We discuss martingales, detrending data, and the efficient market hypothesis (EMH) for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independent drift coefficients R(t) we show that martingale stochastic processes generate uncorrelated, generally non-stationary increments. Generally, a test for a martingale is therefore a test for uncorrelated increments. A detrended process with an x-dependent drift coefficient is generally not a martingale, and so we extend our analysis to include the class of (x,t)-dependent drift coefficients of interest in finance. We explain why martingales look Markovian at the level of both simple averages and 2-point correlations. And while a Markovian market has no memory to exploit and presumably cannot be beaten systematically, it has never been shown that martingale memory cannot be exploited in 3-point or higher correlations to beat the market. We generalize our Markov scaling solutions presented earlier, and also generalize the martingale formulation of the EMH to include (x,t)-dependent drift in log returns. We also use the analysis of this paper to correct a misstatement of the ‘fair game’ condition in terms of serial correlations in Fama's paper on the EMH. We end with a discussion of Levy's characterization of Brownian motion and prove that an arbitrary martingale is topologically inequivalent to a Wiener process.     

Farey Series and the Riemann Hypothesis III

In this paper we shall make a further study on the the equivalence problem, i.e., equivalent conditions to the Riemann hypothesis in terms of Farey series by developing a rather analytical (-arithmetical) method to establish unexpected short interval results, namely results, therewith simultaneously clarifying the underlying reasons for results obtained in Part I.     

Maximal resolvability of totally bounded and ℵ0-bounded groups

The maximal resolvability of totally bounded groups (and, under the assumption that the generalized continuum hypothesis holds, of ₀-bounded groups) is proved.Translated fromMatematicheskie Zametki, Vol. 63, No. 4, pp. 593–598, April, 1998.This research was supported by the Russian Foundation for Basic Research under grant No. 94-01-01374.     

Higher Order Turán Inequalities

The celebrated Turán inequalities , where denotes the Legendre polynomial of degree , are extended to inequalities for sums of products of four classical orthogonal polynomials. The proof is based on an extension of the inequalities , which hold for the Maclaurin coefficients of the real entire function in the Laguerre-Pólya class, .

     

Groups which do not admit ghosts

A ghost in the stable module category of a group is a map between representations of that is invisible to Tate cohomology. We show that the only non-trivial finite -groups whose stable module categories have no non-trivial ghosts are the cyclic groups and . We compare this to the situation in the derived category of a commutative ring. We also determine for which groups the second power of the Jacobson radical of is stably isomorphic to a suspension of .

     

Small generators of the ideal class group

Assuming the Generalized Riemann Hypothesis, Bach has shown that the ideal class group of a number field can be generated by the prime ideals of having norm smaller than . This result is essential for the computation of the class group and units of by Buchmann's algorithm, currently the fastest known. However, once has been computed, one notices that this bound could have been replaced by a much smaller value, and so much work could have been saved. We introduce here a short algorithm which allows us to reduce Bach's bound substantially, usually by a factor 20 or so. The bound produced by the algorithm is asymptotically worse than Bach's, but favorable constants make it useful in practice.

     

Sign changes in sums of the Liouville function

The Liouville function is the completely multiplicative function whose value is at each prime. We develop some algorithms for computing the sum , and use these methods to determine the smallest positive integer where . This answers a question originating in some work of Turán, who linked the behavior of to questions about the Riemann zeta function. We also study the problem of evaluating Pólya's sum , and we determine some new local extrema for this function, including some new positive values.

     

假设检验中的三个问题及其思考

讨论了假设检验的教学和实践中可能会遇到的三个问题.分析得到三个结论:理论上原假设与备择假设可以任意设定,但实践中常常按照某种规则来设定;假设检验的两个常用的决策准则中,p值准则更精确,为决策者接受原假设提供了一个"风险"的度量;假设检验理论在处理利用样本推断总体的问题中是普遍有效的.     

Large Deviation Probabilities for Square-Gaussian Stochastic Processes

We investigate properties of square-Gaussian stochastic processes. These processes are formed by quadratic forms of Gaussian processes or by limits in the mean square of quadratic forms of Gaussian processes. Special classes of these processes are determined and investigated. For processes from these classes estimates of large deviation probability are obtained. These estimates we use to estimate the probability that Gaussian vector-valued process leave some region on some interval of time. We construct asymptotic confidence regions for estimates of covariance functions of vector-valued Gaussian processes. Criterion of hypothesis testing on covariance functions of these processes is constructed.     

Non-ergodicity of Two Particles Interacting via a Smooth Potential

We examine two point particles interacting via a smooth Lennard-Jones-type potential of finite range on a two-dimensional torus. We find situations under which this system contains a stable, elliptic periodic orbit and hence is not ergodic. This result is in contrast to the case of hard spheres interacting via inelastic collision, which are always ergodic for two particles, are conjectured to be ergodic for arbitrarily many particles, and can never contain elliptic periodic orbits.