Optimal Multiple Decision Statistical Procedure for Inverse Covariance Matrix
Problem of construction of the market graph as a multiple decision statistical problem is considered. Detailed description of a optimal unbiased multiple decision statistical procedure is given. This procedure is constructed using the Lehmann’s theory of multiple decision statistical procedures and the conditional tests of the Neyman structures. The equations for thresholds calculation for the tests of the Neyman structure are presented and analyzed.
The paper presents an analysis of the stocks traded on MICEX from 2007 to 2011. In order to analyze the data, we construct a market graph model. The vertices of the graph represent stocks; the edges represent strong similarity between considered stocks returns. We suggest using the following way to calculate the similarity measure: we calculate the number of the periods when two considered stocks have the positive return simultaneously. Our results show that the market graph model with the suggested similarity measure can be used to describe the stock market dynamics in an effi- cient and concise manner.
Market graph is built on the basis of some similarity measure for financial asset returns. The paper considers two similarity measures: classic Pearson correlation and sign correlation. We study the associated market graphs and compare the conditional risk of the market graph construction for these two measures of similarity. Our main finding is that the conditional risk for the sign correlation is much better than for the Pearson correlation for larger values of threshold for several probabilistic models. In addition, we show that for some model the conditional risk for sign correlation dominates over the conditional risk for Pearson correlation for all values of threshold. These properties make sign correlation a more appropriate measure for the maximum clique analysis.
Research into the market graph is attracting increasing attention in stock market analysis. One of the important problems connected with the market graph is its identification from observations. The standard way of identifying the market graph is to use a simple procedure based on statistical estimations of Pearson correlations between pairs of stocks. Recently a new class of statistical procedures for market graph identification was introduced and the optimality of these procedures in the Pearson correlation Gaussian network was proved. However, the procedures obtained have a high reliability only for Gaussian multivariate distributions of stock attributes. One of the ways to correct this problem is to consider different networks generated by different measures of pairwise similarity of stocks. A new and promising model in this context is the sign similarity network. In this paper the market graph identification problem in the sign similarity network is reviewed. A new class of statistical procedures for the market graph identification is introduced and the optimality of these procedures is proved. Numerical experiments reveal an essential difference in the quality between optimal procedures in sign similarity and Pearson correlation networks. In particular, it is observed that the quality of the optimal identification procedure in the sign similarity network is not sensitive to the assumptions on the distribution of stock attributes.
The paper presents the analysis of the network model referred to as market graph of the BRIC countries stock markets. We construct the stock market graph as follows: each vertex represents a stock, and the vertices are adjacent if the price correlation coefficient between them over a certain period of time is greater than or equal to specified threshold. The market graphs are constructed for different time periods to understand the dynamics of their characteristics such as correlation distribution histogram, mean value and standard deviation, size and structure of the maximum cliques. Our results show that we can split the BRIC countries into two groups. Brazil, Russia and India constitute the first group, China constitutes the second group.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.
Let k be a field of characteristic zero, let G be a connected reductive algebraic group over k and let g be its Lie algebra. Let k(G), respectively, k(g), be the field of k- rational functions on G, respectively, g. The conjugation action of G on itself induces the adjoint action of G on g. We investigate the question whether or not the field extensions k(G)/k(G)^G and k(g)/k(g)^G are purely transcendental. We show that the answer is the same for k(G)/k(G)^G and k(g)/k(g)^G, and reduce the problem to the case where G is simple. For simple groups we show that the answer is positive if G is split of type A_n or C_n, and negative for groups of other types, except possibly G_2. A key ingredient in the proof of the negative result is a recent formula for the unramified Brauer group of a homogeneous space with connected stabilizers. As a byproduct of our investigation we give an affirmative answer to a question of Grothendieck about the existence of a rational section of the categorical quotient morphism for the conjugating action of G on itself.
This proceedings publication is a compilation of selected contributions from the “Third International Conference on the Dynamics of Information Systems” which took place at the University of Florida, Gainesville, February 16–18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and academia in order to exchange new discoveries and results in a broad range of topics relevant to the theory and practice of dynamics of information systems. Dynamics of Information Systems: Mathematical Foundation presents state-of-the art research and is intended for graduate students and researchers interested in some of the most recent discoveries in information theory and dynamical systems. Scientists in other disciplines may also benefit from the applications of new developments to their own area of study.
Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny Ĝ → G is bijective; this answers Grothendieck's question cited in the epigraph. In particular, for char k = 0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char k = 0, that the algebra k[G]G of class functions on G is generated by rk G elements. We describe, for arbitrary G, a minimal generating set of k[G]G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G (for char k = 0, this has been proved earlier); this answers the other question cited in the epigraph. We also prove that the existence of a rational section is equivalent to the existence of a rational W-equivariant map T- - - >G/T where T is a maximal torus of G and W the Weyl group.