Bachelier characterized stock market speculation as "fair game" (or Martingale property) of an unbiased random walk
wherein no speculator could earn excess returns due to random price fluctuations.
The main purpose of the present study is to test the random walk
hypothesis that past prices cannot be used to predict the future price movements.
The efficient market hypothesis keeps a relation with the random walk
On the other hand, generally the emerging markets do not follow random walks
The vector [pi] is the invariant probability vector of the Markov chain associated to [GAMMA]; its entries can be used for ranking purposes, since they quantify the probability of visiting each node during random walks
A stronger version of the time-invariance is involved, if the markets display different degrees of informational efficiency and the prices' evolution itself is close to a pure random walk
process (eventually with drift).
On the number of jumps of random walks
with a barrier.
Both unsophisticated models (random walk
and random walk
with drift) and more complex models (Box-Jenkins ARIMA and vector autoregressive models) are developed for the line items.
Some scientists are now looking at potential applications of Levy random walks
and Levy statistics to the foraging behavior of ants and bees.
n], see Figure 3 below) in connection with the arising (natural) strong reflection principle of the corresponding random walks
lead to the helpful observation that exit times from balls equal crossing times through subgraphs of [V.
that this might be an unsolved problem in random walks
," Stanley says.
While there is a substantial literature on random walks
in the first quadrant of the plane (3; 5), the problem we analyze here seems to be unique and only some partial results were reported thus far; see Jan son (7).