|A new approach for getting upperbounds for the capacity and the error exponent of the Poisson channel is proposed. It is based on a new sphere{packing lowerbound for the error probability. Strong converse for the coding theorem is also established.

We derive upper and lower bounds on the reliability function for the common-message discrete memoryless broadcast channel with variable-length feedback. We show that the bounds are tight when the broadcast channel is stochastically degraded. For the achievability part, we adapt Yamamoto and Itoh’s coding scheme by controlling the expectation of the maximum of a set of stopping times. For the co...

This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally...

Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. Recent empirical studies of stock market indices examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Lévy-stable distribution L(alpha)(r) with some index 0<alpha< or =2. While the Lévy distribution cannot be expressed in a cl...

Classical site percolation was used to study numerically the effect of interplane coupling in the range 10(-1)-10(-6) of the in-plane coupling on the static correlation length exponent nu and the critical dimension D. It was found that even for the smallest coupling values the exponents take their three-dimensional (3D) values for sufficiently large system sizes. The percolation threshold p(c),...