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Tytuł:
Random walk : its description & usage
Autorzy:
Buc, D.
Kliestik, T.
Tematy:
teoria błądzenia losowego
przykłady błądzenia losowego
random walk theory
examples of random walk
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Wydawca:
Instytut Naukowo-Wydawniczy "SPATIUM"
Powiązania:
https://bibliotekanauki.pl/articles/311322.pdf  Link otwiera się w nowym oknie
Opis:
This article deals with one of the most popular capital market approach - Random walk theory. There are fundamental elements, features and one basic example of this attitude described in here. Random Walk Theory denies other analysis, such as psychological, technical or fundamental, because of more reasons. These could be for example, bad or useless information, buy and sell timing and others. A protagonist of this theory says that it is not possible to outperform a particular market if any additional risk is assumed. On the other hand, critics of Random walk theory contend that assets do maintain price trends - there is a chance to outperform the market if the selecting exit and entry points for investments are carefully selected.
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
SOME PROPOSAL OF THE TEST FOR A RANDOM WALK DETECTION AND ITS APPLICATION IN THE STOCK MARKET DATA ANALYSIS
Autorzy:
Dudziński, Marcin
Furmańczyk, Konrad
Orłowski, Arkadiusz
Tematy:
random walk
arcsine law
test for a random walk detection
stock market data analysis
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Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Powiązania:
https://bibliotekanauki.pl/articles/453162.pdf  Link otwiera się w nowym oknie
Opis:
According to the numerous groups of theoreticians and practitioners, who act in the area of financial markets, changes in the stock prices are random and it is almost infeasible to predict them correctly using historical data. This approach is based on the random walk theory, which states that the price of financial instrument in the subsequent time point is the sum of its price in the previous time point and some random variable with a finite variance, i.e. it is modeled with the use of a stochastic process called a random walk. The random walk hypothesis stands in contradiction to the beliefs of the ordinary technical analysis followers, where the prediction is carried out on the grounds of existing trends, and furthermore, this hypothesis regards such a modeling of financial markets as incorrect. In our work, we construct statistical test for a random walk detection, which is based on the first arcsine law. We also present simulation results that allow to check the quality of the proposed test, as well as we show the application of the introduced test in the stock exchange data analysis.
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Use of random walk in two-dimensional lattice graphs to describe influence of wind and sea currents on oil slick movement
Autorzy:
Guze, S.
Mazurek, J.
Smolarek, L.
Tematy:
random walk
oil spill
currents
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Wydawca:
Instytut Techniczny Wojsk Lotniczych
Powiązania:
https://bibliotekanauki.pl/articles/244325.pdf  Link otwiera się w nowym oknie
Opis:
The concept of oil slick movement being influenced by wind and sea currents is elementary for the decision model of the distribution of large oil spill emergency control means at sea. The analysis of water area conditions such as wind and sea currents is elementary for the concept of oil slick movement. The article presents the model of oil slick movement under the influence of wind and sea currents. In building the model, random walk in two-dimensional lattice graphs has been used. The movement of oil slick is analysed in two ways. In the paper, the movement of the oil slick is analysed in two ways without wind and focus on surface sea currents and with wind and currents. Case one assumes no wind and focuses on surface sea currents only using random walk in a two-dimensional square grid graph. Case two assumes that wind is in place, so oil slick is moving due to surface sea currents and wind currents. The description of movement in case two is based on a two-dimensional lattice graph, which is a combination of a triangular grid graph and a hexagonal grid graph. The article also describes the basic assumptions of oil slick model: the definition of water area, oil slick and algorithm for rescue action to contain the oil spill. Oil slick movement concept is elementary for the decision model of oil spill control at sea. The model allows estimating the distance of oil slick from coastal areas.
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On concentrated probabilities
Autorzy:
Bartoszek, Wojciech
Tematy:
random walk
concentration function
convolution operator
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Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:
https://bibliotekanauki.pl/articles/1311560.pdf  Link otwiera się w nowym oknie
Opis:
Let G be a locally compact Polish group with an invariant metric. We provide sufficient and necessary conditions for the existence of a compact set A ⊆ G and a sequence $g_n ∈ G$ such that $μ^{∗n}(g_n A) ≡ 1$ for all n. It is noticed that such measures μ form a meager subset of all probabilities on G in the weak measure topology. If for some k the convolution power $μ^{∗k}$ has nontrivial absolutely continuous component then a similar characterization is obtained for any locally compact, σ-compact, unimodular, Hausdorff topological group G.
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Estimates for simple random walks on fundamental groups of surfaces
Autorzy:
Bartholdi, Laurent
Cantat, Serge
Ceccherini-Silberstein, Tullio
de la Harpe, Pierre
Tematy:
simple random walk
surface group
spectral radius
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Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:
https://bibliotekanauki.pl/articles/966653.pdf  Link otwiera się w nowym oknie
Opis:
Numerical estimates are given for the spectral radius of simple random walks on Cayley graphs. Emphasis is on the case of the fundamental group of a closed surface, for the usual system of generators.
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A remark on the norm of a random walk on surface groups
Autorzy:
Żuk, Andrzej
Tematy:
norm of operator
surface group
random walk
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Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:
https://bibliotekanauki.pl/articles/966655.pdf  Link otwiera się w nowym oknie
Opis:
We show that the norm of the random walk operator on the Cayley graph of the surface group in the standard presentation is bounded by 1/√g where g is the genus of the surface.
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
An asymptotic expansion for the distribution of the supremum of a random walk
Autorzy:
Sgibnev, M. S.
Tematy:
random walk
supremum
submultiplicative function
characteristic equation
absolutely continuous component
oscillating random walk
stationary distribution
asymptotic expansions
Banach algebras
Laplace transform
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Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Powiązania:
https://bibliotekanauki.pl/articles/1206084.pdf  Link otwiera się w nowym oknie
Opis:
Let ${S_n}$ be a random walk drifting to -∞. We obtain an asymptotic expansion for the distribution of the supremum of ${S_n}$ which takes into account the influence of the roots of the equation $1-∫_ℝe^{sx}F(dx)=0,F$ being the underlying distribution. An estimate, of considerable generality, is given for the remainder term by means of submultiplicative weight functions. A similar problem for the stationary distribution of an oscillating random walk is also considered. The proofs rely on two general theorems for Laplace transforms.
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Heaping Effect in the Survey Data on the Number of Friends
Autorzy:
Nawojczyk, M.
Stojkow, M.
Żuchowska-Skiba, D.
Krawczyk, M.
Kułakowski, K.
Tematy:
social systems
random walk
exit time
incomplete knowledge
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Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Powiązania:
https://bibliotekanauki.pl/articles/1029538.pdf  Link otwiera się w nowym oknie
Opis:
The number of acquaintances is relevant for modeling social networks. Here we consider the data on the declared number of friends, as collected in 2000, 2007 and 2015 from Polish respondents above the age of 50. We demonstrate that the answers on the number of friends show sharp maxima at 10, 15, 20 and sometimes 30, which accompany a broader peak between 0 and 8. These results do not change qualitatively with sex and age of the respondents. The effect, known as data heaping, can be detected as a deviation from the Benford law.
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-10 z 47

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