16,721 research outputs found
Random walk with barycentric self-interaction
No full textWe study the asymptotic behaviour of a -dimensional self-interacting random walk () which is repelled or attracted by the centre of mass of its previous trajectory. The walk's trajectory models a random polymer chain in either poor or good solvent. In addition to some natural regularity conditions, we assume that the walk has one-step mean drift directed either towards or away from its current centre of mass and of magnitude for . When and the radial drift is outwards, we show that is transient with a limiting (random) direction and satisfies a super-diffusive law of large numbers: converges almost surely to some random vector. When there is sub-ballistic rate of escape. For we give almost-sure bounds on the norms , which in the context of the polymer model reveal extended and collapsed phases. Analysis of the random walk, and in particular of , leads to the study of real-valued time-inhomogeneous non-Markov processes on with mean drifts at given approximately by , where and . The study of such processes is a time-dependent variation on a classical problem of Lamperti; moreover, they arise naturally in the context of the distance of simple random walk on from its centre of mass, for which we also give an apparently new result. We give a recurrence classification and asymptotic theory for processes just described, which enables us to deduce the complete recurrence classification (for any ) of for our self-interacting walk
Random walk on the range of random walk
No full textWe study the random walk X on the range of a simple random walk on ℤ d in dimensions d≥4. When d≥5 we establish quenched and annealed scaling limits for the process X, which show that the intersections of the original simple random walk path are essentially unimportant. For d=4 our results are less precise, but we are able to show that any scaling limit for X will require logarithmic corrections to the polynomial scaling factors seen in higher dimensions. Furthermore, we demonstrate that when d=4 similar logarithmic corrections are necessary in describing the asymptotic behavior of the return probability of X to the origin
Walk in centres: lessons from Canada
No full textThe current reforms of the United Kingdom's primary healthcare sector intend to improve accessibility to health care. One of the proposals is to introduce "walk-in" primary care centres. The intention is to pilot "a series of nurse led centres which can be used on a `drop in' basis, providing minor treatment, health information and self help advice."
The Canadian medical system has many similarities to the British system. Canada's health system is funded through general taxation (and Medicare premiums), and its general practitioners (family physicians) have a gatekeeper role to secondary care in most provinces. Canada has had walk-in centres for over 20 years. However, these centres are a doctor led service. The lessons learnt in Canada about walk-in centres may be relevant to the NHS. In this article I review the available literature about Canadian walk-in centres
Walk, Haydel Approach to Process Heat Recovery
No full textWalk, Haydel has developed a two phase approach to optimize the recovery of process heat in energy intensive operations. While the approach can be used on 'grassroots' designs, it has been used primarily for revamps. The capital investment for adding heat exchange to processes economically justified when energy cost were low, is paid back in less than 3 years before taxes. Computer models of process operation are first used to improve process efficiencies and to increase the level of available process heat. Using in-house computer software based on the Nishida, Liu and Lapidus approach (AICHE Journal, 1977, Vol. 23, No.1); Walk, Haydel develops the theoretical optimum heat exchanger train arrangement for the process. Existing exchangers are reused and integrated into a practical design based on the theoretical arrangement. This paper will discuss briefly the Walk, Haydel procedure and will provide an example problem to demonstrate its use. Then, case histories will be reviewed to indicate the potential for heat recovery in a variety of processing units
Logarithmic speeds for one-dimensional perturbed random walk in random environment
No full textWe study the random walk in random environment on Z+ = f0; 1; 2; : : :g, where the environment is subject to a vanishing (random) perturbation. The two particular cases that we consider are: (i) random walk in random environment perturbed from Sinai's regime; (ii) simple random walk with random perturbation. We give almost sure results on how far the random walker is from the origin, for almost every environment. We give both upper and lower almost sure bounds. These bounds are of order (log t), for 2 (1;1), depending on the perturbation. In addition, in the ergodic cases, we give results on the rate of decay of the stationary distribution
The Taiwan stock market does follow a random walk
No full textApplying the Lo and MacKinlay variance ratio test on the weekly returns from the Taiwan stock market from 1990 to mid 2006, I obtained results strongly indicative of the fact that not only does the Taiwan composite stock index move in a random walk fashion, returns for the individual stocks do so as we. Previous authors employing the same methodology obtained opposite results, namely, that the movements of the Taiwan stock composite index do not follow a random walk.random walk
Random walk in random environment with asymptotically zero perturbation
No full textWe give criteria for ergodicity, transience and null recurrence for the random walk in random environment on \Z+={0,1,2,…}, with reflection at the origin, where the random environment is subject to a vanishing perturbation. Our results complement existing criteria for random walks in random environments and for Markov chains with asymptotically zero drift, and are significantly different to these previously studied cases. Our method is based on a martingale technique - the method of Lyapunov functions
Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices
No full textThis paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour of random walk hypothesis in 14 countries. However, when two endogenously-determined structural breaks are considered, this hypothesis was rejected for only five countries, suggesting a robust conclusion regarding the non-stationarity of stock prices world wide. In addition, the dates of structural break in most cases point to the Asian crisis in the period 1996-1998.stock market, random walk, structural break
CAN LONG HORIZON DATA BEAT RANDOM WALK UNDER ENGEL-WEST EXPLANATION?
No full textEngel and West (2004a) provide an explanation to reconcile the random walk behavior of exchange rate and linear present value asset pricing models. In this paper, we study the long horizon property of exchange rate under Engel-West explanation. It is found that the long horizon data can not significantly improve our chance of beating random walk. This result is consistent with recent empirical studies on the long horizon exchange rate. Under E-W explanation, the change of exchange rate can be more serially correlated in the long horizon data, but this change in most cases is only marginal. Depending on the persistence of change in fundamentals, two patterns may exist between the autocorrelation of exchange rate change and the time horizon. Both of these two patterns are found existing in the real data of exchange rates. These results support E-W explanation for exchange rate puzzle.Foreign exchange rate, present-value models, exchange rate and fundamentals, random walk
The China A shares follow random walk but the B shares do not
No full textThe China A-Share stocks and the China B-Share stocks are common stocks issued by companies incorporated in China. These two classes of common stocks differ in the nationality of the investors each is restricted to by law. For the most part, the A shares, quoted in the Chinese yuan, or renminbi, are for Chinese nationals while the B shares, quoted in foreign currencies, are for non-Chinese nationals and residents of Macau, Hong Kong and Taiwan. This paper identified eighty-six companies issuing both the A and B shares and tested if these shares weekly returns follow a random walk. Employing the Lo and MacKinlay variance ratio test statistics, it is discovered that five times more B shares rejected the random walk as did the A shares. Moreover, both the Shenzhen and Shanghai B-Share indexes reject the random walk while neither the Shenzhen nor Shanghai A-Share index reject the random walk.
- …
