Robinson consistency in many-sorted hybrid first-order logics

In this paper we prove a Robinson consistency theorem for a class of many-sorted hybrid logics as a consequence of an Omitting Types Theorem. An important corollary of this result is an interpolation theorem

A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes

In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large economies when the distribution of the capitalization of firms is sufficiently heavy-tailed as is the case of real economies, there may exist a new source of significant systematic risk, which has been totally neglected up to now but must be priced by the market. This new source of risk can readily explain several asset pricing anomalies on the sole basis of the internal-consistency of the market model. For this, we derive a theoretical two-factor model for asset pricing which has empirically a similar explanatory power as the Fama-French three-factor model. In addition to the usual market risk, our model accounts for a diversification risk, proxied by the equally-weighted portfolio, and which results from an ``internal consistency factor'' appearing for arbitrary large economies, as a consequence of the concentration of the market portfolio when the distribution of the capitalization of firms is sufficiently heavy-tailed as in real economies. Our model rationalizes the superior performance of the Fama and French three-factor model in explaining the cross section of stock returns: the size factor constitutes an alternative proxy of the diversification factor while the book-to-market effect is related to the increasing sensitivity of value stocks to this factor.Comment: 38 pages including 7 tables and 3 figure

Semiparametric Estimation of Fractional Cointegrating Subspaces

We consider a common components model for multivariate fractional cointegration, in which the s>=1 components have different memory parameters. The cointegrating rank is allowed to exceed 1. The true cointegrating vectors can be decomposed into orthogonal fractional cointegrating subspaces such that vectors from distinct subspaces yield cointegrating errors with distinct memory parameters, denoted by d_k for k=1,...,s. We estimate each cointegrating subsspace separately using appropriate sets of eigenvectors of an averaged periodogram matrix of tapered, differenced observations. The averaging uses the first m Fourier frequencies, with m fixed. We will show that any vector in the k'th estimated coingetraging subspace is, with high probability, close to the k'th true cointegrating subspace, in the sense that the angle between the estimated cointegrating vector and the true cointegrating subspace converges in probability to zero. The angle is O_p(n^{- \alpha_k}), where n is the sample size and \alpha_k is the shortest distance between the memory parameters corresponding to the given and adjacent subspaces. We show that the cointegrating residuals corresponding to an estimated cointegrating vector can be used to obtain a consistent and asymptotically normal estimate of the memory parameter for the given cointegrating subspace, using a univariate Gaussian semiparametric estimator with a bandwidth that tends to \infty more slowly than n. We also show how these memory parameter estimates can be used to test for fractional cointegration and to consistently identify the cointegrating subspaces.Fractional Cointegration; Long Memory; Tapering; Periodogram

Groupoids, imaginaries and internal covers

Let $T$ be a first-order theory. A correspondence is established between internal covers of models of $T$ and definable groupoids within $T$. We also consider amalgamations of independent diagrams of algebraically closed substructures, and find strong relation between: covers, uniqueness for 3-amalgamation, existence of 4-amalgamation, imaginaries of T^\si, and definable groupoids. As a corollary, we describe the imaginary elements of families of finite-dimensional vector spaces over pseudo-finite fields.Comment: Local improvements; thanks to referee of Turkish Mathematical Journal. First appeared in the proceedings of the Paris VII seminar: structures alg\'ebriques ordonn\'ee (2004/5

Interpolation Is (Not Always) Easy to Spoil

We study a version of the Craig interpolation theorem as formulated in the framework of the theory of institutions. This formulation proved crucial in the development of a number of key results concerning foundations of software specification and formal development. We investigate preservation of interpolation under extensions of institutions by new models and sentences. We point out that some interpolation properties remain stable under such extensions, even if quite arbitrary new models or sentences are permitted. We give complete characterisations of such situations for institution extensions by new models, by new sentences, as well as by new models and sentences, respectively

The prospects for mathematical logic in the twenty-first century

The four authors present their speculations about the future developments of mathematical logic in the twenty-first century. The areas of recursion theory, proof theory and logic for computer science, model theory, and set theory are discussed independently.Comment: Association for Symbolic Logi