2,283 research outputs found
On the dimension of iterated sumsets
Let A be a subset of the real line. We study the fractal dimensions of the
k-fold iterated sumsets kA, defined as kA = A+...+A (k times).
We show that for any non-decreasing sequence {a_k} taking values in [0,1],
there exists a compact set A such that kA has Hausdorff dimension a_k for all
k. We also show how to control various kinds of dimension simultaneously for
families of iterated sumsets.
These results are in stark contrast to the Plunnecke-Rusza inequalities in
additive combinatorics. However, for lower box-counting dimension, the analogue
of the Plunnecke-Rusza inequalities does hold.Comment: To appear in the Proceedings of the Conference on Fractals and
Related Fields, Monastir, 200
Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability by virtue of a comprehensive set of expectations data, we find that money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for aggregate risk aversion - is not supported by the data.Inflation expectations, Money Illusion, Proxy hypothesis, Stock returns
Further Baire results on the distribution of subsequences
This paper presents results about the distribution of subsequences which are
typical in the sense of Baire.
The first part is concerned with sequences of the type x_k = n_k*alpha, n_1 <
n_2 < n_3 < ..., mod 1. Improving a result of Salat we show that, if the
quotients q_k = n_{k+1}/n_k satisfy q_k > 1+ epsilon, then the set of alpha
such that (x_k) is uniformly distributed is of first Baire category, i.e. for
generic alpha we do not have uniform distribution. Under the stronger
assumption lim q_k = infinity one even has maldistribution for generic alpha,
the strongest possible contrast to uniform distribution.
The second part reverses the point of view by considering appropriately
defined Baire spaces S of subsequences. For a fixed well distributed sequence
(x_n) we show that there is a set M of measures such that for generic (n_k) in
S the set of limit measures of the subsequence (x_{n_k}) is exactly M.Comment: 21 pages, LaTeX2e. Final version. (Somewhat expanded proofs and
clarifications, more examples
Dimension and product structure of hyperbolic measures
We prove that every hyperbolic measure invariant under a C^{1+\alpha}
diffeomorphism of a smooth Riemannian manifold possesses asymptotically
``almost'' local product structure, i.e., its density can be approximated by
the product of the densities on stable and unstable manifolds up to small
exponentials. This has not been known even for measures supported on locally
maximal hyperbolic sets.
Using this property of hyperbolic measures we prove the long-standing
Eckmann-Ruelle conjecture in dimension theory of smooth dynamical systems: the
pointwise dimension of every hyperbolic measure invariant under a C^{1+\alpha}
diffeomorphism exists almost everywhere. This implies the crucial fact that
virtually all the characteristics of dimension type of the measure (including
the Hausdorff dimension, box dimension, and information dimension) coincide.
This provides the rigorous mathematical justification of the concept of fractal
dimension for hyperbolic measures.Comment: 29 pages, published versio
On the Fourier dimension and a modification
We give a sufficient condition for the Fourier dimension of a countable union
of sets to equal the supremum of the Fourier dimensions of the sets in the
union, and show by example that the Fourier dimension is not countably stable
in general. A natural approach to finite stability of the Fourier dimension for
sets would be to try to prove that the Fourier dimension for measures is
finitely stable, but we give an example showing that it is not in general. We
also describe some situations where the Fourier dimension for measures is
stable or is stable for all but one value of some parameter. Finally we propose
a way of modifying the definition of the Fourier dimension so that it becomes
countably stable, and show that a measure has modified Fourier dimension
greater than or equal to if and only if it annihilates all sets with
modified Fourier dimension less than .Comment: v2: Added some remarks in the introduction and after Example 6. v3:
Revised the introduction, strengthened Lemma 6, added Proposition 5 and
Example 8. To appear in Journal of Fractal Geometr
Multifractal Analysis of Multiple Ergodic Averages
In this paper we present a complete solution to the problem of multifractal
analysis of multiple ergodic averages in the case of symbolic dynamics for
functions of two variables depending on the first coordinate.Comment: 5 pages, to appear in Comptes Rendus Mathematiqu
Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book
This paper describes and analyzes “automated intervention” of a target zone. Unusually detailed information about the order book allows studying intervention effects in a microstructure approach. We find in our sample that intervention increases exchange rate volatility (and spread) for the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We also show for intraday data that the price impact of interbank order flow is smaller on intervention days than on non-intervention days. Finally, we reveal that informed banks take different positions than uninformed banks as they tend to trade against the central bank – which reflects a rational stance. Despite this position taking, the targeted exchange rate range holds and volatility, spread and price impact go down. Overall, the credible expression of an intervention band seems to achieve the desired effects of a target zone.foreign exchange, microstructure, intervention, exchange rate
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