Testing for pure-jump processes for high-frequency data

Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistical tests have been proposed in the literature to check the validity of using pure-jump models. However, these tests suffer from several drawbacks, such as requiring rather stringent conditions and having slow rates of convergence. In this paper, we propose a different test to check whether the underlying process of high-frequency data can be modeled by a pure-jump process. The new test is based on the realized characteristic function, and enjoys a much faster convergence rate of order $O(n^{1/2})$ (where $n$ is the sample size) versus the usual $o(n^{1/4})$ available for existing tests; it is applicable much more generally than previous tests; for example, it is robust to jumps of infinite variation and flexible modeling of the diffusion component. Simulation studies justify our findings and the test is also applied to some real high-frequency financial data.Comment: Published at http://dx.doi.org/10.1214/14-AOS1298 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Tuning the magnetism of the top-layer FeAs on BaFe2_{2}As2_{2}(001): First-principles study

The magnetic properties of BaFe$_{2}$As$_{2}$(001) surface have been studied by using first-principles electronic structure calculations. We find that for As-terminated surface the magnetic ground state of the top-layer FeAs is in the staggered dimer antiferromagnetic (AFM) order, while for Ba-terminated surface the collinear (single stripe) AFM order is the most stable. When a certain coverage of Ba or K atoms are deposited onto the As-terminated surface, the calculated energy differences among different AFM orders for the top-layer FeAs on BaFe$_{2}$As$_{2}$(001) can be much reduced, indicating enhanced spin fluctuations. To identify the novel staggered dimer AFM order for the As termination, we have simulated the scanning tunneling microscopy (STM) image for this state, which shows a different $\sqrt{2}\times\sqrt{2}$ pattern from the case of half Ba coverage. Our results suggest: i) the magnetic properties of the top-layer FeAs on BaFe$_{2}$As$_{2}$(001) can be tuned effectively by surface doping; ii) both the surface termination and the AFM order in the top-layer FeAs can affect the STM image of BaFe$_{2}$As$_{2}$(001).Comment: 6 pages, 5 figures, 1 tabl

Saddlepoint approximation for Student's t-statistic with no moment conditions

A saddlepoint approximation of the Student's t-statistic was derived by Daniels and Young [Biometrika 78 (1991) 169-179] under the very stringent exponential moment condition that requires that the underlying density function go down at least as fast as a Normal density in the tails. This is a severe restriction on the approximation's applicability. In this paper we show that this strong exponential moment restriction can be completely dispensed with, that is, saddlepoint approximation of the Student's t-statistic remains valid without any moment condition. This confirms the folklore that the Student's t-statistic is robust against outliers. The saddlepoint approximation not only provides a very accurate approximation for the Student's t-statistic, but it also can be applied much more widely in statistical inference. As a result, saddlepoint approximations should always be used whenever possible. Some numerical work will be given to illustrate these points.Comment: Published at http://dx.doi.org/10.1214/009053604000000742 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Diffusion Actor-Critic: Formulating Constrained Policy Iteration as Diffusion Noise Regression for Offline Reinforcement Learning

In offline reinforcement learning (RL), it is necessary to manage out-of-distribution actions to prevent overestimation of value functions. Policy-regularized methods address this problem by constraining the target policy to stay close to the behavior policy. Although several approaches suggest representing the behavior policy as an expressive diffusion model to boost performance, it remains unclear how to regularize the target policy given a diffusion-modeled behavior sampler. In this paper, we propose Diffusion Actor-Critic (DAC) that formulates the Kullback-Leibler (KL) constraint policy iteration as a diffusion noise regression problem, enabling direct representation of target policies as diffusion models. Our approach follows the actor-critic learning paradigm that we alternatively train a diffusion-modeled target policy and a critic network. The actor training loss includes a soft Q-guidance term from the Q-gradient. The soft Q-guidance grounds on the theoretical solution of the KL constraint policy iteration, which prevents the learned policy from taking out-of-distribution actions. For critic training, we train a Q-ensemble to stabilize the estimation of Q-gradient. Additionally, DAC employs lower confidence bound (LCB) to address the overestimation and underestimation of value targets due to function approximation error. Our approach is evaluated on the D4RL benchmarks and outperforms the state-of-the-art in almost all environments. Code is available at \href{https://github.com/Fang-Lin93/DAC}{\texttt{github.com/Fang-Lin93/DAC}}

Quantum theory of electronic double-slit diffraction

The phenomena of electron, neutron, atomic and molecular diffraction have been studied by many experiments, and these experiments are explained by some theoretical works. In this paper, we study electronic double-slit diffraction with quantum mechanical approach. We can obtain the results: (1) When the slit width $a$ is in the range of $3\lambda\sim 50\lambda$ we can obtain the obvious diffraction patterns. (2) when the ratio of $\frac{d+a}{a}=n (n=1, 2, 3,\cdot\cdot\cdot)$, order $2n, 3n, 4n,\cdot\cdot\cdot$ are missing in diffraction pattern. (3)When the ratio of $\frac{d+a}{a}\neq n (n=1, 2, 3,\cdot\cdot\cdot)$, there isn't missing order in diffraction pattern. (4) We also find a new quantum mechanics effect that the slit thickness $c$ has a large affect to the electronic diffraction patterns. We think all the predictions in our work can be tested by the electronic double-slit diffraction experiment.Comment: 9pages, 14figure