• Title, Summary, Keyword: Random walk

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The Existence of Random Walk in the Philippine Stock Market: Evidence from Unit Root and Variance-Ratio Tests

  • CAMBA, Abraham C. Jr.;CAMBA, Aileen L.
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.10
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    • pp.523-530
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    • 2020
  • The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

SIMULATIONS OF INK DIFFUSION ON PAPER USING VISIT COUNTS FROM RANDOM WALK SESSIONS

  • Kim, Hee-Chang;Kang, Myung-Joo
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.13 no.2
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    • pp.161-167
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    • 2009
  • An animated ink diffusion on paper is simulated through making a multiple sessions of random walks. The simulated random walk is built and validated against the diffusion model, then animated by varying the intensity thresholds of the accumulated visit counts on each pixels on an image. Two different random walk models are built one of which is a free random walk in that the walker has exactly same probability to move in any four or eight directions in each step. The other is a biased random walk that has a higher chance to go to a pixel that has more similar intensity value. The latter can be used to simulate an ink diffusion radiating through different texture of paper.

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Umyeon Mountain Debris Flow Movement Analysis Using Random Walk Model (Random Walk Model을 활용한 우면산 토석류 거동 분석)

  • Kim, Gihong;Won, Sangyeon;Mo, Sehwan
    • Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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    • v.32 no.5
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    • pp.515-525
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    • 2014
  • Recently, because of increasing in downpour and typhoon, which are caused by climate changes, those sedimentation disasters, such as landslide and debris flow, have become frequent. Those sedimentation disasters take place in natural slope. In order to predict debris flow damage range within wide area, the response model is more appropriate than numerical analysis. However, to make a prediction using Random Walk Model, the regional parameters is needed to be decided, since the regional environments conditions are not always same. This random Walk Model is a probability model with easy calculation method, and simplified slope factor. The objective of this study is to calculate the optimal parameters of Random Walk Model for Umyeon mountain in Seoul, where the large debris flow has occurred in 2011. Debris flow initiation zones and sedimentation zones were extracted through field survey, aerial photograph and visual reading of debris flow before and after its occurrence via LiDAR DEM.

Modeling of Transverse Mixing in Natural Streams Using 2-D Random-Walk Model (2차원 Random-Walk 모형을 이용한 자연하천의 횡확산 해석)

  • Seo, Il-Won;Cheong, Tae-Sung
    • Journal of Korea Water Resources Association
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    • v.32 no.1
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    • pp.61-70
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    • 1999
  • The two-dimensional Random-Walk model in which fluid and pollutant particles are tracked using statistical concept was developed to simulate dispersion processes in natural streams. The calibration of the model shows that the error decreases as the number of grid increases, and/or the number of particles in each grid increases. The proposed model is tested against the dispersion data collected in the Grand River, Canada. The simulation results show that the 2-D Random-Walk model describes two-dimensional mixing phenomena occurred in the irregular meandering stream very accurately.

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Analysis of the Total Head Distribution Using the Random Walk Theory (Pandom Walk이론을 응용한 전수두분포의 해석)

  • Jeong, Dae-Seok;Sim, Tae-Seop;Baek, Yeong-Sik
    • Geotechnical Engineering
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    • v.1 no.2
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    • pp.67-74
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    • 1985
  • A study is made on the determination of the total head distribution using the random walk theory within a confined flow system with complicated boundary conditions. Both nonhomogeniety and anisotropy of the aquifer are considered. The overlying on the aquifer may have sheet piles and the impervious boundary may be inclined. Use is made of the Monte Carlo simulation based on the random walk theory to determine the total head at a given Point. A computer program is developed for practical use. The proposed method was evaluated by comparing the results with those obtained by other method, i.e., the conventional flow net, the finite difference method, and the method of fragment. It is found that all the values are in reasonable agreement and the method is sufficiently accurate for practical use.

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DNA Sequence Visualization with k-convex Hull (k-convex hull을 이용한 DNA 염기 배열의 가시화)

  • Kim, Min Ah;Lee, Eun Jeong;Cho, Hwan Gyu
    • Journal of the Korea Computer Graphics Society
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    • v.2 no.2
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    • pp.61-68
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    • 1996
  • In this paper we propose a new visualization technique to characterize qualitative information of a large DNA sequence. While a long DNA sequence has huge information, it is not easy to obtain genetic information from the DNA sequence. We transform DNA sequences into a polygon to compute their homology in image domain rather than text domain. Our program visualizes DNA sequences with colored random walk plots and simplify them k-convex hulls. A random walk plot represents DNA sequence as a curve in a plane. A k-convex hull simplifies a random work plot by removing some parts of its insignificant information. This technique gives a biologist an insight to detect and classify DNA sequences with easy. Experiments with real genome data proves our approach gives a good visual forms for long DNA sequences for homology analysis.

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Random Walk Simulation for the Growth of Monolayer in Dip Pen Nanolithography

  • Kim, Hyojeong;Ha, Soojung;Jang, Joonkyung
    • Bulletin of the Korean Chemical Society
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    • v.34 no.1
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    • pp.164-166
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    • 2013
  • Using a simple random walk model, this study simulated the growth of a self-assembled monolayer (SAM) pattern generated by dip-pen nanolithography (DPN). In this model, the SAM pattern grew mainly via the serial pushing of molecules deposited from the tip. This study examined various SAM patterns, such as lines, crosses and letters, by changing the tip scan speed.

Some Distribution Results on Random Walk with Unspecified Terminus

  • Saran, Jagdish;Bansal, Sarita
    • Journal of the Korean Statistical Society
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    • v.30 no.3
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    • pp.529-539
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    • 2001
  • This paper deals with the distributions of certain characteristics related to a symmetric random walk of an steps ending at an unspecified position, thus generalizing and extending the earlier work.

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2D random walk와 세포 확산 비교 연구

  • Gwon, Tae-Jin
    • Proceeding of EDISON Challenge
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    • pp.53-60
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    • 2015
  • 본 연구에서는 random walk하는 입자와 암세포 확산을 비교하여 Fick's law를 따르는 확산 모형과 암세포 확산의 차이를 밝힌다. 암세포 확산은 암 전이 메커니즘을 이해하는데 매우 중요하다. 하지만 아직까지 암세포 확산은 정확하게 이해되지 않고 있다. 따라서 이번 연구에서는 가장 간단한 2차원 random walk와 암세포 확산을 비교하고, 동역학적인 차이를 규명해 암세포 확산을 이해하고자 한다. Random walk하는 입자는 EDISON 전산화학 전문센터의 프로그램 중 dynamic Monte Carlo(dynamic MC) 전산 모사 소프트웨어를 이용하여 2차원에서 움직이는 레나드-존스 입자의 운동을 통해 살펴보았다. 암세포 확산은 실제 암세포의 시간에 따른 위치 변화 정보 (세포의 궤적)를 직접 구하여 분석하였다. Dynamic MC 결과는 Fickian 확산 모형을 잘 따르는 것을 평균 제곱 거리와 밀도 함수를 통해 확인할 수 있었다. 암세포 확산의 경우 평균 제곱 거리는 시간에 대해서 선형적으로 비례하지만 밀도 함수는 가우시안 형태로 나오지 않으며 Fick's law를 따르는 확산 모형과 다른 확산 형태를 보인다. 이러한 확산 형태는 암세포의 동역학적인 다양성 때문에 나타나며 각각의 암세포가 다른 운동성을 가지는 것에 기인하는 것으로 보인다.

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