Search results for "Random walk"
showing 10 items of 132 documents
Distributed Learning Automata-based S-learning scheme for classification
2019
This paper proposes a novel classifier based on the theory of Learning Automata (LA), reckoned to as PolyLA. The essence of our scheme is to search for a separator in the feature space by imposing an LA-based random walk in a grid system. To each node in the grid, we attach an LA whose actions are the choices of the edges forming a separator. The walk is self-enclosing, and a new random walk is started whenever the walker returns to the starting node forming a closed classification path yielding a many-edged polygon. In our approach, the different LA attached to the different nodes search for a polygon that best encircles and separates each class. Based on the obtained polygons, we perform …
SECULAR MEAN REVERSION AND LONG-RUN PREDICTABILITY OF THE STOCK MARKET
2016
Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods longer than 10 years. Specifically, using 141 years of data, this paper begins by performing formal tests of the random walk hypothesis in the prices of the real S&P Composite Index over increasing time horizons up to 40 years. Even though our results cannot support the conventional wisdom which says that the stock market is safer for long-term investors, our findings speak in favor of the mean revers…
Some evidence of random walk behavior of Euro exchange rates using ranks and signs
2005
Abstract This study utilises recently developed tests based on ranks and signs, in addition to the traditional variance ratio test, to examine the behavior of Euro exchange rates. We show that adjustments for multiple tests must be employed in order to avoid size distortions. Overall, such adjustments provide evidence consistent with random walk behavior of Euro exchange rates.
Testing for random walk in euro exchange rates using the subsampling approach
2010
This study utilizes variance ratio tests based on the subsampling approach to test the behaviour of euro-based exchange rates markets. Results are mixed, although the random walk behaviour is dominant among the three major currencies namely the Japanese yen, the US dollar and the British pound.
No linealidad y asimetría en el proceso generador del Índice Ibex35
2013
This paper analyzes the behavior of Ibex35 from January 1999 to December 2001, in order to check if it follows a different process from random walk so its return is not a white noise and it can be predictable, against the efficient market hypothesis. For that, a nonlinear generating process of return will be considered and a STAR-APARCH model will be specified. This model allows a nonlinear behavior in the conditional mean and in the conditional variance. The empirical results show that the Ibex35 follows a nonlinear and asymmetric process, both in the conditional mean as in the conditional variance, so the weak-version of efficient market hypothesis is rejected. El trabajo analiza el compo…
An inverse problem for the fractional Schrödinger equation in a magnetic field
2020
This paper shows global uniqueness in an inverse problem for a fractional magnetic Schrodinger equation (FMSE): an unknown electromagnetic field in a bounded domain is uniquely determined up to a natural gauge by infinitely many measurements of solutions taken in arbitrary open subsets of the exterior. The proof is based on Alessandrini's identity and the Runge approximation property, thus generalizing some previous works on the fractional Laplacian. Moreover, we show with a simple model that the FMSE relates to a long jump random walk with weights.
Upperbounds on the probability of finding marked connected components using quantum walks
2019
Quantum walk search may exhibit phenomena beyond the intuition from a conventional random walk theory. One of such examples is exceptional configuration phenomenon -- it appears that it may be much harder to find any of two or more marked vertices, that if only one of them is marked. In this paper, we analyze the probability of finding any of marked vertices in such scenarios and prove upper bounds for various sets of marked vertices. We apply the upper bounds to large collection of graphs and show that the quantum search may be slow even when taking real-world networks.
Quadratic speedup for finding marked vertices by quantum walks
2020
A quantum walk algorithm can detect the presence of a marked vertex on a graph quadratically faster than the corresponding random walk algorithm (Szegedy, FOCS 2004). However, quantum algorithms that actually find a marked element quadratically faster than a classical random walk were only known for the special case when the marked set consists of just a single vertex, or in the case of some specific graphs. We present a new quantum algorithm for finding a marked vertex in any graph, with any set of marked vertices, that is (up to a log factor) quadratically faster than the corresponding classical random walk.
Conditional particle filters with diffuse initial distributions
2020
Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in statistical applications. We propose a simple but generally applicable auxiliary variable method, which can be used together with the CPF in order to perform efficient inference with diffuse initial distributions. The method only requires simulatable Markov transitions that are reversible with respect to the initial distribution, which can be improper. We focus in particular on random-walk type transitions which are reversible with respect to a uniform init…
Random Walk in a N-cube Without Hamiltonian Cycle to Chaotic Pseudorandom Number Generation: Theoretical and Practical Considerations
2017
Designing a pseudorandom number generator (PRNG) is a difficult and complex task. Many recent works have considered chaotic functions as the basis of built PRNGs: the quality of the output would indeed be an obvious consequence of some chaos properties. However, there is no direct reasoning that goes from chaotic functions to uniform distribution of the output. Moreover, embedding such kind of functions into a PRNG does not necessarily allow to get a chaotic output, which could be required for simulating some chaotic behaviors. In a previous work, some of the authors have proposed the idea of walking into a $\mathsf{N}$-cube where a balanced Hamiltonian cycle has been removed as the basis o…