The efficient market hypothesis (EMH) has long been perceived as the cornerstone of modern finance theory. However, the EMH has also recently been dismissed as "the most remarkable error in the history of economic theory" (Wall Street Journal, Oct. 23. 1987). Most of the early research was concerned with detecting the efficiencies or inefficiencies by autocorrelation tests, run tests, and filtering tests. In general, the inefficiencies detected are relatively small. Recently, however, there has been an explosion of research activity to detect inefficiencies in the general area which we call "nonlinear science". This dissertation aims at the applications of these kinds of new methodologies to the Swedish stock market and the Korean stock market. This dissertation consists of 8 chapters. Chapter 1 reviews the challenges to stock market efficiency, and chapter 2 criticizes traditional financial models and assumptions for the EMH tests. Chapter 3 discusses the sample data. In chapter 4, the estimated results under the product process model are presented. Chapter 5 is focused on the low power spectrum law. The power exponent is calculated for the samples. In chapter 6, the types of patterns (memory) are uncovered by Rescaled range (R/S) analysis. Chapter 7 deals with the market inefficiency arising from nonlinear dynamical systems theory. The BDS test for detecting nonlinear dependence is applied to the sample markets. Finally, chapter 8 summarizes the conclusions. / Diss. Stockholm : Handelshögsk.

In the context of fractal geometry, the natural extension of volume in Euclidean space is given by Hausdorff and packing measures. These measures arise naturally in the context of iterated function systems (IFS). For example, if the IFS is finite and conformal, then the Hausdorff and packing dimensions of the limit sets agree and the corresponding Hausdorff and packing measures are positive and finite. Moreover, the map which takes the IFS to its dimension is continuous. Developing on previous work, we show that the map which takes a finite conformal IFS to the numerical value of its packing measure is continuous. In the context of self-similar sets, we introduce the super separation condition. We then combine this condition with known density theorems to get a better handle on finding balls of maximum density. This allows us to extend the work of others and give exact formulas for the numerical value of packing measure for classes of Cantor sets, Sierpinski N-gons, and Sierpinski simplexes.

<p>In 1989 Jun Kigami made an analytic construction of a Laplacian on the Sierpiński gasket, a construction that he extended to post critically finite fractals. Since then, this field has evolved into a proper theory of analysis on fractals. The new results obtained in this thesis are all in the setting of Kigami's theory. They are presented in three papers.</p><p>Strichartz recently showed that there are first order linear differential equations, based on the Laplacian, that are not solvable on the Sierpiński gasket. In the first paper we give a characterization on the polynomial p so that the differential equation p(Δ)u=f is solvable on any open subset of the Sierpiński gasket for any f continuous on that subset. For general p we find the open subsets on which p(Δ)u=f is solvable for any continuous f.</p><p>In the second paper we describe the infinitesimal geometric behavior of a large class of smooth functions on the Sierpiński gasket in terms of the limit distribution of their local eccentricity, a generalized direction of gradient. The distribution of eccentricities is codified as an infinite dimensional perturbation problem for a suitable iterated function system, which has the limit distribution as an invariant measure. We extend results for harmonic functions found by Öberg, Strichartz and Yingst to larger classes of functions.</p><p>In the third paper we define and study intrinsic first order derivatives on post critically finite fractals and prove differentiability almost everywhere for certain classes of fractals and functions. We apply our results to extend the geography is destiny principle, and also obtain results on the pointwise behavior of local eccentricities. Our main tool is the Furstenberg-Kesten theory of products of random matrices.</p>

In 1989 Jun Kigami made an analytic construction of a Laplacian on the Sierpiński gasket, a construction that he extended to post critically finite fractals. Since then, this field has evolved into a proper theory of analysis on fractals. The new results obtained in this thesis are all in the setting of Kigami's theory. They are presented in three papers. Strichartz recently showed that there are first order linear differential equations, based on the Laplacian, that are not solvable on the Sierpiński gasket. In the first paper we give a characterization on the polynomial p so that the differential equation p(Δ)u=f is solvable on any open subset of the Sierpiński gasket for any f continuous on that subset. For general p we find the open subsets on which p(Δ)u=f is solvable for any continuous f. In the second paper we describe the infinitesimal geometric behavior of a large class of smooth functions on the Sierpiński gasket in terms of the limit distribution of their local eccentricity, a generalized direction of gradient. The distribution of eccentricities is codified as an infinite dimensional perturbation problem for a suitable iterated function system, which has the limit distribution as an invariant measure. We extend results for harmonic functions found by Öberg, Strichartz and Yingst to larger classes of functions. In the third paper we define and study intrinsic first order derivatives on post critically finite fractals and prove differentiability almost everywhere for certain classes of fractals and functions. We apply our results to extend the geography is destiny principle, and also obtain results on the pointwise behavior of local eccentricities. Our main tool is the Furstenberg-Kesten theory of products of random matrices.

After an introduction to Brownian motion, Hausdorff dimension, nonstandard analysis and Loeb measure theory, we explore the notion of a nonstandard formulation of Hausdorff dimension. By considering an adapted form of the counting measure formulation of Lebesgue measure, we find that Hausdorff dimension can be computed through a counting argument rather than the traditional way. This formulation is then applied to obtain simple proofs of some of the dimensional properties of Brownian motion, such as the doubling of the dimension of a set of dimension smaller than 1/2 under Brownian motion, by utilising Anderson's formulation of Brownian motion as a hyperfinite random walk. We also use the technique to refine a theorem of Orey and Taylor's on the Hausdorff dimension of the rapid points of Brownian motion. The result is somewhat stronger than the original. Lastly, we give a corrected proof of Kaufman's result that the rapid points of Brownian motion have similar Hausdorff and Fourier dimensions, implying that they constitute a Salem set. / Mathematical Sciences / D. Phil. (Mathematical Sciences)

This thesis concerns dimensions and projections of sets that could be described as fractals. The background is applied problems regarding analysis of human tissue. One way to characterize such complicated structures is to estimate the dimension. The existence of different types of dimensions makes it important to know about their properties and relations to each other. Furthermore, since medical images often are constructed by x-ray, it is natural to study projections. This thesis consists of an introduction and a summary, followed by three papers. Paper I, Anders Nilsson, Dimensions and Projections: An Overview and Relevant Examples, 2006. Manuscript. Paper II, Anders Nilsson and Peter Wingren, Homogeneity and Non-coincidence of Hausdorff- and Box Dimensions for Subsets of ℝn, 2006. Submitted. Paper III, Anders Nilsson and Fredrik Georgsson, Projective Properties of Fractal Sets, 2006. To be published in Chaos, Solitons and Fractals. The first paper is an overview of dimensions and projections, together with illustrative examples constructed by the author. Some of the most frequently used types of dimensions are defined, i.e. Hausdorff dimension, lower and upper box dimension, and packing dimension. Some of their properties are shown, and how they are related to each other. Furthermore, theoretical results concerning projections are presented, as well as a computer experiment involving projections and estimations of box dimension. The second paper concerns sets for which different types of dimensions give different values. Given three arbitrary and different numbers in (0,n), a compact set in ℝn is constructed with these numbers as its Hausdorff dimension, lower box dimension and upper box dimension. Most important in this construction, is that the resulted set is homogeneous in the sense that these dimension properties also hold for every non-empty and relatively open subset. The third paper is about sets in space and their projections onto planes. Connections between the dimensions of the orthogonal projections and the dimension of the original set are discussed, as well as the connection between orthogonal projection and the type of projection corresponding to realistic x-ray. It is shown that the estimated box dimension of the orthogonal projected set and the realistic projected set can, for all practical purposes, be considered equal.

This Bachelor's thesis deals with fractals and orbits on Sierpinski carpets. We present the fundamental theory regarding fractals and some illustrative examples together with fractal billiards. In the latter part of the thesis we use elementary methods to present an original proof concerning the closure of some billiard orbits on Sierpinski carpets. A survey of the article Periodic Billiard orbits of self-similar Sierpinski Carpets, see [8], has been done, in which we make a discussion about one open question regarding reflections on the carpet. Furthermore, we state and prove some propositions related to this open question.

Master of Science / Department of Mathematics / Hrant Hakobyan / When studying geometrical objects less regular than ordinary ones, fractal analysis becomes a valuable tool. Over the last 30 years, this small branch of mathematics has developed extensively. Fractals can be de fined as those sets which have non-integral Hausdor ff dimension. In this thesis, we take a look at some basic measure theory needed to introduce certain de finitions of fractal dimensions, which can be used to measure a set's fractal degree. We introduce Minkowski dimension and Hausdor ff dimension as well as explore some examples where they coincide. Then we look at the dimension of a measure and some very useful applications. We conclude with a well known result of Bedford and McMullen about the Hausdor ff dimension of self-a ffine sets.

Modern semiconductor fabrication techniques allow for the fabrication of semiconductor heterostructures which host electron transport with a minimum of scattering sites. In such devices, electrons populate a two-dimensional electron gas (2DEG) in which electrons propagate in exactly two dimensions, and may be further confined by potential barriers to form electron billiards. At sub-Kelvin temperatures, electron trajectories are determined largely by reflections from the billiard walls, while net conduction through the device depends on quantum mechanical wave interference. Measurements of magnetoconductance fluctuations (MCF) serve as a probe of dynamics within the electron billiard. Many prior studies have utilized heterostructures employing the modulation doping architecture, in which the 2DEG is spatially removed from the donor atoms to minimize electron scattering. Theoretical studies have claimed that MCF will be fractal when the confinement potential defining the billiard is soft-walled, regardless of the presence of smooth potentials within the billiard such as those introduced by remote ionized donors. The small-angle scattering sites resulting from these potentials are often disregarded as negligible; we use MCF measurements to investigate such claims. To probe the effect of remote ionized donor scattering on the phase space in electron billiards, we compare MCF measured on billiards in a modulation-doped heterostructure to those measured on billiards in an undoped heterostructure, in which this potential landscape is believed to be absent. Fractal studies are performed on these MCF traces, and we find that MCF measured on the undoped billiards do not exhibit measurably different fractal characteristics than those measured on the modulation-doped billiards. Having confirmed that the potential landscapes in modulation-doped heterostructures do not affect the electron phase space, we then investigate the effect of these impurities on the distribution of electron trajectories through the billiards. By employing thermal cycling experiments, we demonstrate that this distribution is highly sensitive to the precise potential landscape within the billiard, suggesting that modulation-doped heterostructures do not support fully ballistic electron transport. We compare our MCF correlation data with the dynamics of charge transfer within heterostructure systems to make qualitative conclusions regarding these dynamics.

The aesthetic response is a multifaceted and subtle behavior that ranges in magnitude from sublime to mundane. Few studies have investigated the more subtle, weak aesthetic responses to mundane scenes. But all aesthetic responses rely upon sensory-perceptual processes, which serve as a crucial first step in contemporary models of the aesthetic response. As such, understanding the roles of perceptual processes in aesthetic responses to the mundane provides insights into all aesthetic responses. Variation in the physical properties of aesthetic objects must cause such responses, but to understand the relationship, such physical properties must be quantified. Then, the mechanism can be determined. Here, I present the theoretical basis and reason for interest in such a test of mundane aesthetic responses in Chapter I. In Chapter II, I present metrics that quantify the physical properties of natural scenes, using computer-generated images that model the complexity of natural scenes to validate these measurement techniques. The methods presented in Chapter II are adapted to analyze the physical properties of natural scenes in Chapter III, extending the analysis to photographs and clarifying the relationship between the properties fractal dimension and spectral scaling decay rate. A behavioral study is presented in Chapter IV that investigates the extent that perceptual responses about complexity serve as an intermediary between aesthetic ratings and the physical properties of the images described in Chapters II and III. Chapter V summarizes the results of these studies and explores future directions. This dissertation includes previously published and unpublished coauthored material.