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A group is called acyclic if its classifying space has the same homology of a point. Examples of acyclic groups include Higman's group with four generators and relations, also known for being an example of an infinite, finitely generated group with no finite quotients, and "SQ-Universal": $$\langle x_0, x_1,x_2,x_3\mid x_{i+1}x_i x_{i+1}= x_i^2 \hskip .1 in \mathrm{for}\hskip .1 in i=0,\ldots, 3\rangle$$ and the group of bijections of an infinite countable set.

Is there an example of a finite acyiclic group? Or a reason why such a group must be infinite?

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    There are no nontrivial finite acyclic groups. A result of Richard Swan says that a group with $p$-torsion has nontrivial mod-$p$ cohomology in infinitely many dimensions, hence nontrivial integral homology. But there is a related question that may be relevant to your interests: Is there a finite group with many trivial homologies? https://mathoverflow.net/questions/52552/nontrivial-finite-group-with-trivial-group-homologies – Chris Gerig Jan 30 '18 at 22:39
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    Higman's group is not simple. It is SQ-universal: https://mathoverflow.net/questions/221091/properties-of-higmans-group –  Jan 31 '18 at 00:08
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    See Johannes Ebert answer to https://mathoverflow.net/questions/64688/ for a reason why these cannot exist. – Oscar Randal-Williams Jan 31 '18 at 07:56

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An acyclic finite group is trivial. In fact something even stronger is true. See Culler, Marc Homology equivalent finite groups are isomorphic. Proc. Amer. Math. Soc. 72 (1978), no. 1, 218–220.