A Non-random Walk Revisited

A Non-random Walk Revisited
Author: Paul Eitelman
Publisher:
Total Pages: 54
Release: 2008
Genre: Economic forecasting
ISBN:

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"In this paper, we test for short and long memory in asset prices across 44 emerging and industrialized economies. Using methodology from Lo and MacKinlay (1988) and Lo (1991), we find that markets with a poor Sharpe ratio are more likely to reject the random walk than better performing markets. We also make a methodological contribution. Contrary to the Baillie (1996) criticism, our long memory analysis suggests that the choice of a truncation lag is not as important as one might initially believe. Tests that reject the null hypothesis tend to do so across any reasonable choice in lag"--Federal Reserve Board web site.

A Non-random Walk Revisited

A Non-random Walk Revisited
Author:
Publisher:
Total Pages:
Release: 2008
Genre:
ISBN:

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"In this paper, we test for short and long memory in asset prices across 44 emerging and industrialized economies. Using methodology from Lo and MacKinlay (1988) and Lo (1991), we find that markets with a poor Sharpe ratio are more likely to reject the random walk than better performing markets. We also make a methodological contribution. Contrary to the Baillie (1996) criticism, our long memory analysis suggests that the choice of a truncation lag is not as important as one might initially believe. Tests that reject the null hypothesis tend to do so across any reasonable choice in lag"--Federal Reserve Board web site.

Elements of the Random Walk

Elements of the Random Walk
Author: Joseph Rudnick
Publisher: Cambridge University Press
Total Pages: 350
Release: 2004-03-04
Genre: Science
ISBN: 9781139450140

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Random walks have proven to be a useful model in understanding processes across a wide spectrum of scientific disciplines. Elements of the Random Walk is an introduction to some of the most powerful and general techniques used in the application of these ideas. The mathematical construct that runs through the analysis of the topics covered in this book, unifying the mathematical treatment, is the generating function. Although the reader is introduced to analytical tools, such as path-integrals and field-theoretical formalism, the book is self-contained in that basic concepts are developed and relevant fundamental findings fully discussed. Mathematical background is provided in supplements at the end of each chapter, when appropriate. This text will appeal to graduate students across science, engineering and mathematics who need to understand the applications of random walk techniques, as well as to established researchers.

Stochastic Processes and Models

Stochastic Processes and Models
Author: David Stirzaker
Publisher: OUP Oxford
Total Pages: 342
Release: 2005-07-21
Genre: Mathematics
ISBN: 0191582999

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Stochastic Processes and Models provides a concise and lucid introduction to simple stochastic processes and models. Including numerous exercises, problems and solutions, it covers the key concepts and tools, in particular: random walks, renewals, Markov chains, martingales, the Wiener process model for Brownian motion, and diffusion processes, concluding with a brief account of the stochastic integral and stochastic differential equations as they arise in option-pricing. The text has been thoroughly class-tested and is ideal for an undergraduate second course in probability.

Two-Dimensional Random Walk

Two-Dimensional Random Walk
Author: Serguei Popov
Publisher: Cambridge University Press
Total Pages: 224
Release: 2021-03-18
Genre: Mathematics
ISBN: 1108472451

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A visual, intuitive introduction in the form of a tour with side-quests, using direct probabilistic insight rather than technical tools.

Random Walk, Brownian Motion, and Martingales

Random Walk, Brownian Motion, and Martingales
Author: Rabi Bhattacharya
Publisher: Springer Nature
Total Pages: 396
Release: 2021-09-20
Genre: Mathematics
ISBN: 303078939X

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This textbook offers an approachable introduction to stochastic processes that explores the four pillars of random walk, branching processes, Brownian motion, and martingales. Building from simple examples, the authors focus on developing context and intuition before formalizing the theory of each topic. This inviting approach illuminates the key ideas and computations in the proofs, forming an ideal basis for further study. Consisting of many short chapters, the book begins with a comprehensive account of the simple random walk in one dimension. From here, different paths may be chosen according to interest. Themes span Poisson processes, branching processes, the Kolmogorov–Chentsov theorem, martingales, renewal theory, and Brownian motion. Special topics follow, showcasing a selection of important contemporary applications, including mathematical finance, optimal stopping, ruin theory, branching random walk, and equations of fluids. Engaging exercises accompany the theory throughout. Random Walk, Brownian Motion, and Martingales is an ideal introduction to the rigorous study of stochastic processes. Students and instructors alike will appreciate the accessible, example-driven approach. A single, graduate-level course in probability is assumed.

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance
Author: Masaaki Kijima
Publisher: CRC Press
Total Pages: 287
Release: 2002-07-29
Genre: Business & Economics
ISBN: 142005760X

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In recent years, modeling financial uncertainty using stochastic processes has become increasingly important, but it is commonly perceived as requiring a deep mathematical background. Stochastic Processes with Applications to Finance shows that this is not necessarily so. It presents the theory of discrete stochastic processes and their application

Man & Beast Revisited

Man & Beast Revisited
Author: Michael H. Robinson
Publisher:
Total Pages: 412
Release: 1991
Genre: Animals
ISBN:

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Organizations in the Face of Growing Competition in the Market

Organizations in the Face of Growing Competition in the Market
Author: Anna Ujwary-Gil
Publisher: Institute of Economics, Polish Academy of Sciences
Total Pages: 334
Release: 2019-01-01
Genre: Business & Economics
ISBN: 8361597603

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The essence of the functioning of any organization, whether commercial or non-profit, is to provide value to groups of recipients whose expectations undoubtedly change over time. Various competition mechanisms in the market apply to both business-oriented organizations and organizations operating in the sphere of public utilities. This monograph includes examples of the problems facing contemporary organizations, and at the same time provides evidence, confirmed by research results, that indicates the direction of current changes. The analysis of changes taking place in organizations was carried out in many dimensions. The content layout adopted in the monograph presents four research perspectives, where the subject of the research is the organization; the modern tools used in organization management, the impact of the market economy on organizations, and sectoral or industry aspects of the organization’s functioning. In the first chapter, four studies related to commercial and non-commercial organizations have been collated. Researchers of academic organizations who in order to meet the expectations of students increase their activity in the field of entrepreneurship and their support for the most talented students. Both examples show the need to conduct research, develop knowledge about own activities, and focus on the needs of the environment. Entrepreneurial universities are open to the implementation of joint ventures with entities in their environment, which affect the development of the university, its students, as well as the entities. Entrepreneurship, which is based on the ability to take advantage of market opportunities, also creates opportunities for developing the ability to flexibly shape and adapt programs, methods and operating principles to the growing expectations of their environment. The ability to develop your potential as well as the potential of your students plays a crucial role. In the pursuit of excellence, a strong focus should be placed on talented students and the development of all possible forms of support that could determine an output of graduates with particularly high development potential. In the research presented in this monograph, the authors compare the activity of universities in the USA, the Netherlands, and Poland in the area of talent development. The comparative analysis becomes a valuable source of indicating imperfections, but also examples of potential forms of positive activity in this area. Equally important in this part of the monograph is the research on the learning organization. Through a bibliometric analysis, the author identified the fields of research on the learning organization. In addition to research areas related to various dimensions, primarily human, cultural and managerial, the types of organizations in which such research is most often conducted have been indicated. They also include the organizations of the two sectors presented: education and healthcare. The same part of the monograph also presents the results of research in the hotel sector, where the main research problem was the creation of customer value, taking into account the conditions stimulating the dynamics of the business models of hotel enterprises. Referring to business models was considered important because of the significance of decision-making patterns that help to build a competitive advantage and achieve market success by creating value for customers. The concept of creating value for customers is currently treated in cross-sectoral or industry categories and is a universal approach to managing organizations. The second chapter of the monograph presents research on the modern tools used in organization management. Concepts such as work–life balance, shaping the innovation process within the framework of decisions taken in the process, marketing communication, or the use of gamification in research and development, are examples of a wide range of relationships between today’s organization and its surroundings. Finding employees, and retaining them, is also a growing challenge in developing countries, where labor supply is steadily decreasing. The expectations of employees are increasing, especially in relation to respecting the personal, non-professional side of life. Thus, it should be recognized that research on work–life balance is a developing space for organization and management researchers. Modeling the innovation process in an organization is another research trend that is important today, especially in terms of developing competitiveness. Decision-making is one of the key components of the innovation process. This aspect, in qualitative terms, was presented in the next study in the second part of the monograph. Similarly, marketing communication is invariably an important area of research in organizations, which has evolved due to rapidly developing information technologies and, at the same time, the changing preferences of users of these technologies. The last study in this second part of the monograph relates to innovation and the use of computer games. The tools of gamification are used to shape the attitudes of individual energy consumers. The observations presented show that it is worth making attempts to use unconventional methods and tools, in this case, to develop customer knowledge and strengthen the behaviors desired in the energy market. The third chapter of the monograph is devoted to the financial aspects of the functioning of commercial and non-profit organizations in a market economy. Increasing the efficiency of public entities, specifically conditioned in economic policies and dependent on political decisions, has been the subject of numerous studies. The research study presented in the monograph refers to the relationship between financial strategies and profit management in public industrial companies listed on the Warsaw Stock Exchange. It is worth noting that no research in this field has been conducted to date in the context of the Polish capital market. The next study refers to the French market. Its purpose was to evaluate and test long-term memory in the French stock exchanges. Research results contribute significantly to explaining the lack of consensus regarding long memory in stock returns. The research covers a significant, 25-year period of operation of the Euronext platform during which 6634 observations were provided. The conclusions of the study may be particularly important for regulators and risk managers. Another study presents the results of bankruptcy risk tests for Polish and Czech logistics companies using a comprehensive classification approach. As a result of the research, a tool for risk assessment and forecasting was developed, enabling the early prediction of bankruptcy of enterprises. At the end of the third chapter of the monograph, the results of health expenditure analysis based on information provided by the Health Account System are presented. Particular attention has been focused on the programming sources of financing healthcare in new European Union countries. Socio-technical and environmental aspects of the organization are the subject of interest of researchers presenting the results of their research in the fourth chapter of the monograph. The problems of economic migration and working conditions have been the subject of interest for many years in the strongly developing trend of labor market research. The research results contained in the study relate primarily to the issues of occupational safety of Ukrainians employed in Poland. These issues are gaining importance, especially when the number of people migrating from Ukraine to Poland in search of work has been growing for several years. In the face of such a large scale of Ukrainian immigrants employed in Polish enterprises, there is still a lack of regulations protecting or securing the interests of employees and employers. The next research presentation highlights the problems of the “circular economy,” which, according to the author, is developing too slowly in Poland. The research is valuable for systematizing the idea of a circular economy based on the theoretical and practical aspects of this phenomenon. The results of the analysis are also of practical importance for the process of modeling and implementing this idea in Poland. Further, the innovation paradigm of economic health and the prosperity of society is the subject of the research carried out, based on a review of the health economy considering innovation and its impact on population growth and prosperity in the world. The research particularly highlights the consequences of socio-demographic, environmental and business changes in the field of consumer goods. The socio-technical, as well as the environmental, aspects of the organization are also included in the last study presented. The purpose of this study was to identify the attitudes of IT employees in the Polish ITC sector towards remote work. Since the effective and efficient collaboration of distributed employees performing remote work has become even more necessary for the success of projects, numerous research works are being conducted focusing on the consequences of remote work. The presented research results are an important contribution to the discussion of researchers and management practitioners. By publishing this monograph, which covers a wide spectrum of research problems in contemporary commercial and non-profit organizations, the editors and authors presenting the results of their research express a hope that they are contributing to the widespread dissemination and enrichment of knowledge and, consequently, socio-economic development.

Random Walks on Infinite Groups

Random Walks on Infinite Groups
Author: Steven P. Lalley
Publisher: Springer Nature
Total Pages: 373
Release: 2023-05-08
Genre: Mathematics
ISBN: 3031256328

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This text presents the basic theory of random walks on infinite, finitely generated groups, along with certain background material in measure-theoretic probability. The main objective is to show how structural features of a group, such as amenability/nonamenability, affect qualitative aspects of symmetric random walks on the group, such as transience/recurrence, speed, entropy, and existence or nonexistence of nonconstant, bounded harmonic functions. The book will be suitable as a textbook for beginning graduate-level courses or independent study by graduate students and advanced undergraduate students in mathematics with a solid grounding in measure theory and a basic familiarity with the elements of group theory. The first seven chapters could also be used as the basis for a short course covering the main results regarding transience/recurrence, decay of return probabilities, and speed. The book has been organized and written so as to be accessible not only to students in probability theory, but also to students whose primary interests are in geometry, ergodic theory, or geometric group theory.