• East Asian Economic Review
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• v.19 no.1
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• pp.3-38
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• 2015

Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.

• The Korean Journal of Financial Management
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• v.12 no.2
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• pp.221-237
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• 1995

When we apply parametric models to the movement of stock prices, we don't know whether they are really correct specifications. In the paper, any prior conditional mean structure is not assumed. By applying the nonparametric model, we see if it better performs (than the random walk model) in terms of out-of-sample prediction. An interesting finding is that the random walk model is still the best. There doesn't seem to exist any form of nonlinearity (not to mention linearity) in stock prices that can be exploitable in terms of point prediction.

• Journal of the Korean Mathematical Society
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• v.61 no.2
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• pp.377-393
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• 2024

In this paper, we study the positive solutions to a discrete harmonic function for a random walk satisfying finite range and ellipticity conditions, killed at the boundary of an unbounded cylinder in ℤ^d. We first prove the existence and uniqueness of positive solutions, and then establish that all the positive solutions are generated by two special solutions, which are exponential growth at one end and exponential decay at the other. Our method is based on maximum principle and a Harnack type inequality.

• Journal of the Korean Data and Information Science Society
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• v.26 no.3
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• pp.755-762
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• 2015

One of the main objectives of the U.S. Census Bureau is the proper estimation of median household income for small areas. These estimates have an important role in the formulation of various governmental decisions and policies. Since direct survey estimates are available annually for each state or county, it is desirable to exploit the longitudinal trend in income observations in the estimation procedure. In this study, we consider Fay-Herriot type small area models which include time-specific random effect to accommodate any unspecified time varying income pattern. Analysis is carried out in a hierarchical Bayesian framework using Markov chain Monte Carlo methodology. We have evaluated our estimates by comparing those with the corresponding census estimates of 1999 using some commonly used comparison measures. It turns out that among three types of time-specific random effects the small area model with a time series random walk component provides estimates which are superior to both direct estimates and the Census Bureau estimates.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.17 no.6
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• pp.65-76
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• 2007

The P2P file sharing system sends the results to users by searching the files in the shared folders. In the process of it, the problem is that the transferred information includes the pathname and file information and it can be revealed who searches which files. In related to this problem, anonymous file sharing P2P protocol has been an active research area where a number of works have been produced. However, the previous studies still have a few of weakness. Therefore, We propose two anonymous P2P file sharing protocols based on the decentralized and unstructured Random Walk. The first scheme uses the dynamic onion routing where the requester can receive the wanted file without knowing other peers' IDs. The second scheme uses the IP multicast method which lowers the computational overhead. Both of them are more suited for the dynamic P2P system.

• The Journal of Engineering Geology
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• v.33 no.1
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• pp.201-211
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• 2023

This study investigated the damage range of the debris flow to predict the amount of collapsed soil in a landslide event. The height of the collapsed slope and the distance traveled by the collapsed soil were used to predict the total trajectory distance using a random walk model. Debris flow trajectory probabilities were calculated through 10,000 Monte Carlo simulations and were used to calculate the damage range as measured from the landslide scar to its toe. Compiled information on debris flows that occurred in the Cheonwangbong area of Mt. Jirisan was used to test the accuracy of the proposed random walk model in estimating the damage range of debris flow. Results of the comparison reveal that the proposed model shows reasonable accuracy in estimating the damage range of debris flow and that using 10 m × 10 m cells allows the damage range to be reproduced with satisfactory precision.

• Bulletin of the Korean Chemical Society
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• v.26 no.11
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• pp.1723-1727
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• 2005

A generalized fractional diffusion equation (FDE) is presented, which describes the time-evolution of the spatial distribution of a particle performing continuous time random walk (CTRW) on a fractal lattice. For a case corresponding to the CTRW with waiting time distribution that behaves as $\psi(t) \sim (t) ^{-(\alpha+1)}$, the FDE is solved to give analytic expressions for the Green’s function and the mean squared displacement (MSD). In agreement with the previous work of Blumen et al. [Phys. Rev. Lett. 1984, 53, 1301], the time-dependence of MSD is found to be given as < $r^2(t)$ > ~ $t ^{2\alpha/dw}$, where $d_w$ is the walk dimension of the given fractal. A Monte-Carlo simulation is also performed to evaluate the range of applicability of the proposed FDE.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.5 no.1
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• pp.25-33
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• 2001

Let G be a finite group with a probability measure. We investigate the random walks on G in terms of ergodicity of the associated skew product transformation.

• Proceedings of the Korean Society of Computational and Applied Mathematics Conference
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• 2003.09a
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• pp.8.1-8
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• 2003

We prove that m-step walks and self-avoiding walks on the 2D triangle lattices can be uniquely characterized (canonized) with no more than m Euclidian distances. We also demonstrate that these canonical distances can be obtained with O(n) physical measurements.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.19 no.11
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• pp.2160-2169
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• 1994

Main components of phase time error of synchronous network are flicker noise and random walk noise. This paper describe computer simulation of clock error characterized by a statistical model recommended as a standard measure. Flicker noise sequences are generated from white noise sequences by means of a algorithm developed by Barnes. Random-walk noise sequence are obtained by integration of a white noise sequence. Especially for flicker noise, relation between stage number N, time constant ratio K and bandwidth of flicker noise generated was defined by using some examples.