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16 articles for “Random Walk”
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Research ArticleOpen accessPhrase in the titleA Random Walk Model for Stock Market PricesS. O.N. Agwuegbo, A. P. Adewole, A. N. MaduegbunaProblem statement: The stock exchange market has been one of the most popular investments in the recent past due to its high returns. The market has become an integral part of the global economy to the extent that any fluctuation in this market influences personal and corporate financial lives and the economic health of a country. The daily behavior of … …Journal of Mathematics and Statistics, Vol. 6, Issue 3 · 30 Sep 2010 · 8,678 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleRandom Walk Models Classifications: An Empirical Study for Malaysian Stock IndicesChin Wen CheongThis article studied the Random Walk models introduced by Campbell et al.[2] for Malaysian stock market. The analysis is implemented under the possible drastic economics structural change using an iterative structural change test. After the break-date identification, the random walk hypothesis is tested by multiple variance ratios test in two separate periods. We further examined the serial correlations of return’s … …American Journal of Applied Sciences, Vol. 5, Issue 4 · 30 Apr 2008 · 6,850 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleThe Random Walk Hypothesis for the Zimbabwe Stock Exchange: January 1998-November 2006Tafirenyika Sunde, James ZivanomoyoThe main intention of this study was to investigate, using monthly data, whether prices in the Zimbabwe Stock Exchange (ZSE) follow a random-walk process as required for there to be market efficiency. The study applied the unit root tests to establish if the ZSE followed a random walk or not. If the ZSE follows a random walk it is said … …Journal of Social Sciences, Vol. 4, Issue 3 · 30 Sep 2008 · 8,085 accessesView PDFCite
Research ArticleOpen accessIn the keywordsElements of Formal Probabilistic MechanicsFarida Kachapova, Ilias KachapovIn this study model of particle motion on a three-dimensional lattice is created using discrete random walk with small steps. A probability space of the particle trajectories is rigorously constructed. Unlike deterministic approach in classical mechanics, here probabilistic properties of particle movement are used to formally derive analogues of Newton’s first and second laws of motion. Similar probabilistic models can … …Journal of Mathematics and Statistics, Vol. 18, Issue 1 · 18 Mar 2022 · 6,254 accessesView PDFCite
Research ArticleOpen accessIn the keywordsDrawdown and Drawup of Bi-Directional Grid Constrained Stochastic ProcessesAldo Taranto, Shahjahan KhanThe Grid Trading Problem (GTP) of mathematical finance, used in portfolio loss minimization, generalized dynamic hedging and algorithmic trading, is researched by examining the impact of the drawdown and drawup of discrete random walks and of Itô diffusions on the Bi-Directional Grid Constrained (BGC) stochastic process for profit Pt and equity Et over time. A comprehensive Discrete Difference Equation (DDE) … …Journal of Mathematics and Statistics, Vol. 16, Issue 1 · 14 Sep 2020 · 9,153 accessesView PDFCite
Research ArticleOpen accessIn the keywordsA VARIANT OF POLLARD'S RHO ATTACK ON ELLIPTIC CURVE CRYPTOSYSTEMSSiham Ezzouak, Mohammed Elamrani, Abdelmalek AziziElliptic Curve cryptosystems appear to be more secure and efficient when requiring small key size to implement than other public key cryptosystems. Its security is based upon the difficulty of solving Elliptic Curve Discrete Logarithm Problem (ECDLP). This study proposes a variant of generic algorithm Pollard's Rho for finding ECDLP using cycle detection with stack and a mixture of cycle … …Journal of Computer Science, Vol. 10, Issue 8 · 9 Apr 2014 · 7,269 accessesView PDFCite
Research ArticleOpen accessIn the keywordsA Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural BreakChin Wen CheongWe investigated the weak-form market efficiency of nine daily sectoral indices of Malaysian stock market between 1996 and 2006. The structural break unit root tests evidenced most of the price indices characterized by mean-reverting process that violated the random walk process. These empirical results were in sharp contrast with the traditional unit-root test which ignored the economic crisis and currency … …American Journal of Applied Sciences, Vol. 5, Issue 10 · 31 Oct 2008 · 7,286 accessesView PDFCite
Research ArticleOpen accessIn the keywordsApplication of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic TradingAldo Taranto, Shahjahan KhanBi-directional Grid Constrained (BGC) Stochastic Processes (BGCSP) become more constrained the further they drift away from the origin or time axis are examined here. As they drift further away from the time axis, then the greater the likelihood of stopping, as if by two hidden reflective barriers. The theory of BGCSP is applied to a trading environment in which long … …Journal of Mathematics and Statistics, Vol. 17, Issue 1 · 6 Mar 2021 · 8,524 accessesView PDFCite
Research ArticleOpen accessIn the abstractComparison of Improved Semi-Automated Segmentation Technique with Manual Segmentation: Data from the Osteoarthritis InitiativeHong Seng Gan, Khairil Amir SayutiManual segmentation is the standard procedure in osteoarthritis study. However, this method is infamous for being excessive, time consuming and exhaustive. In this study, we overcame the problem of excessive expert interaction reported in manual segmentation by developing a semi-automated random walks technique with computer-aided labelling system. To minimize expert interaction, non-cartilage seeds were generated by using computer. Then, random … …American Journal of Applied Sciences, Vol. 13, Issue 11 · 24 Oct 2016 · 7,363 accessesView PDFCite
Research ArticleOpen accessIn the abstractAN EFFICIENT HYBRID ALGORITHM TO REDUCE LATENCY IN AD-HOC AGGREGATIONN. Rajkumar, N. K. Senthil Kumar, P. Subha, R. KavithaA data warehouse is a collection of data gathered and organized so that it can easily be analyzed, extracted, synthesized and also be used for the purpose of further understanding data. Peer to Peer networks are used for distribution and sharing of documents. In traditional techniques, when aggregate functions like average, sum and count are encountered, the aggregate operation is … …Journal of Computer Science, Vol. 10, Issue 7 · 18 Feb 2014 · 6,908 accessesView PDFCite