Random Walk
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Recent papers in Random Walk
Most of economic and financial time series have a nonstationary behavior. There are different types of nonstationary processes, such as those with stochastic trend and those with deterministic trend. In practice, it can be quite difficult... more
We survey the current status of the list of questions related to the favourite (or: most visited) sites of simple random walk on Z, raised by Pál Erd˝os and Pál Révész in the early eighties. ... Let (S(n), n ∈ Z+) be a simple symmetric... more
We present a continuous extension of the recent Monte Carlo entropic method for sampling a density of states restricted in dimensionless macroscopic parameters. The method performs a random walk through a two-dimensional macrostate space... more
In this paper we examine four different approaches in trading rules for stock returns. More specifically we examine the popular procedures in technical analysis, which are the moving average and the Moving Average Convergence-Divergence... more
The purpose of this paper is to investigate random walk in HongKong stock exchange. The unit root, autocorrelation and the variance ratio tests are applied, using daily data on returns of two indexes in the period 1997:7 to 2012:12. For... more
Manifold learning has been successfully used for finding dominant factors (low-dimensional manifold) in a high-dimensional data set. However, most existing manifold learning algorithms only consider one manifold based on one dissimilarity... more
... Although this approach has been very successful, up to now the related ideas (multifractality ... shown in (b)]. De-pending on the parameters b, different structures with arbitrary ... proper-ties can be investigated by the... more
ABSTRACT The responsiveness of the market financial instruments in terms of prices to reflect market information and the inability of information privileged market participant(s) to out-perform other counterparts pose the quest to test... more