Are foreign currency markets interdependent? evidence from data mining technologies

This study uses two data mining methodologies: Classification and Regression Trees (C&RT) and Generalized Rule Induction (GRI) to uncover patterns among daily cash closing prices of eight currency markets. Data from 2000 through 2009 is used, with the last year held out to test the robustness of the rules found in the previous nine years. Results from the two methodologies are contrasted. A number of rules which perform well in both the training and testing years are discussed as empirical evidence of interdependence among foreign currency markets. The mechanical rules identified in this paper can usefully supplement other types of financial modeling of foreign currencies.Foreign Currency Markets

Are oil, gold and the euro inter-related? time series and neural network analysis

This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited inter-relationships among themselves.Oil, Gold, the Euro, Relationships, Time-series Analysis, Neural Network Methodology

Existence of optimal ultrafilters and the fundamental complexity of simple theories

In the first edition of Classification Theory, the second author characterized the stable theories in terms of saturation of ultrapowers. Prior to this theorem, stability had already been defined in terms of counting types, and the unstable formula theorem was known. A contribution of the ultrapower characterization was that it involved sorting out the global theory, and introducing nonforking, seminal for the development of stability theory. Prior to the present paper, there had been no such characterization of an unstable class. In the present paper, we first establish the existence of so-called optimal ultrafilters on Boolean algebras, which are to simple theories as Keisler's good ultrafilters are to all theories. Then, assuming a supercompact cardinal, we characterize the simple theories in terms of saturation of ultrapowers. To do so, we lay the groundwork for analyzing the global structure of simple theories, in ZFC, via complexity of certain amalgamation patterns. This brings into focus a fundamental complexity in simple unstable theories having no real analogue in stability.Comment: The revisions aim to separate the set theoretic and model theoretic aspects of the paper to make it accessible to readers interested primarily in one side. We thank the anonymous referee for many thoughtful comment

Constructing regular ultrafilters from a model-theoretic point of view

This paper contributes to the set-theoretic side of understanding Keisler's order. We consider properties of ultrafilters which affect saturation of unstable theories: the lower cofinality \lcf(\aleph_0, \de) of $\aleph_0$ modulo \de, saturation of the minimum unstable theory (the random graph), flexibility, goodness, goodness for equality, and realization of symmetric cuts. We work in ZFC except when noted, as several constructions appeal to complete ultrafilters thus assume a measurable cardinal. The main results are as follows. First, we investigate the strength of flexibility, detected by non-low theories. Assuming $\kappa > \aleph_0$ is measurable, we construct a regular ultrafilter on $\lambda \geq 2^\kappa$ which is flexible (thus: ok) but not good, and which moreover has large \lcf(\aleph_0) but does not even saturate models of the random graph. We prove that there is a loss of saturation in regular ultrapowers of unstable theories, and give a new proof that there is a loss of saturation in ultrapowers of non-simple theories. Finally, we investigate realization and omission of symmetric cuts, significant both because of the maximality of the strict order property in Keisler's order, and by recent work of the authors on $SOP_2$. We prove that for any $n < \omega$, assuming the existence of $n$ measurable cardinals below $\lambda$, there is a regular ultrafilter $D$ on $\lambda$ such that any $D$-ultrapower of a model of linear order will have $n$ alternations of cuts, as defined below. Moreover, $D$ will $\lambda^+$-saturate all stable theories but will not $(2^{\kappa})^+$-saturate any unstable theory, where $\kappa$ is the smallest measurable cardinal used in the construction.Comment: 31 page

Saturating the random graph with an independent family of small range

Motivated by Keisler's order, a far-reaching program of understanding basic model-theoretic structure through the lens of regular ultrapowers, we prove that for a class of regular filters $D$ on $I$, $|I| = \lambda > \aleph_0$, the fact that P(I)/\de has little freedom (as measured by the fact that any maximal antichain is of size $<\lambda$, or even countable) does not prevent extending $D$ to an ultrafilter $D_1$ on $I$ which saturates ultrapowers of the random graph. "Saturates" means that M^I/\de_1 is $\lambda^+$-saturated whenever M is a model of the theory of the random graph. This was known to be true for stable theories, and false for non-simple and non-low theories. This result and the techniques introduced in the proof have catalyzed the authors' subsequent work on Keisler's order for simple unstable theories. The introduction, which includes a part written for model theorists and a part written for set theorists, discusses our current program and related results.Comment: 14 page