Download or read book Beyond the Random Walk written by Vijay Singal and published by Financial Management Association Survey and Synthesis Series. This book was released on 2006 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Singal points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. Here he discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.
Download or read book A Random Walk in Physics written by Massimo Cencini and published by Springer Nature. This book was released on 2021-06-15 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an informal, easy-to-understand account of topics in modern physics and mathematics. The focus is, in particular, on statistical mechanics, soft matter, probability, chaos, complexity, and models, as well as their interplay. The book features 28 key entries and it is carefully structured so as to allow readers to pursue different paths that reflect their interests and priorities, thereby avoiding an excessively systematic presentation that might stifle interest. While the majority of the entries concern specific topics and arguments, some relate to important protagonists of science, highlighting and explaining their contributions. Advanced mathematics is avoided, and formulas are introduced in only a few cases. The book is a user-friendly tool that nevertheless avoids scientific compromise. It is of interest to all who seek a better grasp of the world that surrounds us and of the ideas that have changed our perceptions.
Download or read book A Non Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Download or read book The Random Walks of George Polya written by Gerald L. Alexanderson and published by Cambridge University Press. This book was released on 2000-04-27 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both a biography of Plya's life, and a review of his many mathematical achievements by today's experts.
Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Psychology and the stock market written by David N. Dreman and published by Warner Books (NY). This book was released on 1979 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Galileo Unbound written by David D. Nolte and published by Oxford University Press. This book was released on 2018-07-12 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Galileo Unbound traces the journey that brought us from Galileo's law of free fall to today's geneticists measuring evolutionary drift, entangled quantum particles moving among many worlds, and our lives as trajectories traversing a health space with thousands of dimensions. Remarkably, common themes persist that predict the evolution of species as readily as the orbits of planets or the collapse of stars into black holes. This book tells the history of spaces of expanding dimension and increasing abstraction and how they continue today to give new insight into the physics of complex systems. Galileo published the first modern law of motion, the Law of Fall, that was ideal and simple, laying the foundation upon which Newton built the first theory of dynamics. Early in the twentieth century, geometry became the cause of motion rather than the result when Einstein envisioned the fabric of space-time warped by mass and energy, forcing light rays to bend past the Sun. Possibly more radical was Feynman's dilemma of quantum particles taking all paths at once — setting the stage for the modern fields of quantum field theory and quantum computing. Yet as concepts of motion have evolved, one thing has remained constant, the need to track ever more complex changes and to capture their essence, to find patterns in the chaos as we try to predict and control our world.
Download or read book Random Walks on Infinite Graphs and Groups written by Wolfgang Woess and published by Cambridge University Press. This book was released on 2000-02-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main theme of this book is the interplay between the behaviour of a class of stochastic processes (random walks) and discrete structure theory. The author considers Markov chains whose state space is equipped with the structure of an infinite, locally finite graph, or as a particular case, of a finitely generated group. The transition probabilities are assumed to be adapted to the underlying structure in some way that must be specified precisely in each case. From the probabilistic viewpoint, the question is what impact the particular type of structure has on various aspects of the behaviour of the random walk. Vice-versa, random walks may also be seen as useful tools for classifying, or at least describing the structure of graphs and groups. Links with spectral theory and discrete potential theory are also discussed. This book will be essential reading for all researchers working in stochastic process and related topics.
Download or read book Statistical Inversion of Electromagnetic Logging Data written by Qiuyang Shen and published by Springer Nature. This book was released on 2020-08-27 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a comprehensive introduction to well logging and the inverse problem. It explores challenges such as conventional data processing methods’ inability to handle local minima issues, and presents the explanations in an easy-to-follow way. The book describes statistical data interpretation by introducing the fundamentals behind the approach, as well as a range of sampling methods. In each chapter, a specific method is comprehensively introduced, together with representative examples. The book begins with basic information on well logging and logging while drilling, as well as a definition of the inverse problem. It then moves on to discuss the fundamentals of statistical inverse methods, Bayesian inference, and a new sampling method that can be used to supplement it, the hybrid Monte Carlo method. The book then addresses a specific problem in the inversion of downhole logging data, and the interpretation of earth model complexity, before concluding with a meta-technique called the tempering method, which serves as a supplement to statistical sampling methods. Given its scope, the book offers a valuable reference guide for drilling engineers, well logging tool physicists, and geoscientists, as well as students in the areas of petroleum engineering and electrical engineering.
Download or read book A Random Walk to Nowhere written by Edward E. Williams and published by World Scientific. This book was released on 2020 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Preface -- Fraud, lies, and statistics -- The early history of modern financial economics -- The birth of the efficient market hypothesis -- Earlier views of market efficiency -- The impact of information and regulation on market efficiency -- Tests of the EMH -- Anomalies -- The capital asset pricing model -- Beyond the CAPM -- Conclusions -- References.
Download or read book Do Commodity Futures Help Forecast Spot Prices written by Mr.David A Reichsfeld and published by International Monetary Fund. This book was released on 2011-11-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.
Download or read book Non homogeneous Random Walks written by Mikhail Menshikov and published by Cambridge University Press. This book was released on 2016-12-22 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic systems provide powerful abstract models for a variety of important real-life applications: for example, power supply, traffic flow, data transmission. They (and the real systems they model) are often subject to phase transitions, behaving in one way when a parameter is below a certain critical value, then switching behaviour as soon as that critical value is reached. In a real system, we do not necessarily have control over all the parameter values, so it is important to know how to find critical points and to understand system behaviour near these points. This book is a modern presentation of the 'semimartingale' or 'Lyapunov function' method applied to near-critical stochastic systems, exemplified by non-homogeneous random walks. Applications treat near-critical stochastic systems and range across modern probability theory from stochastic billiards models to interacting particle systems. Spatially non-homogeneous random walks are explored in depth, as they provide prototypical near-critical systems.
Download or read book Random Walks on Reductive Groups written by Yves Benoist and published by Springer. This book was released on 2016-10-20 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical theory of random walks describes the asymptotic behavior of sums of independent identically distributed random real variables. This book explains the generalization of this theory to products of independent identically distributed random matrices with real coefficients. Under the assumption that the action of the matrices is semisimple – or, equivalently, that the Zariski closure of the group generated by these matrices is reductive - and under suitable moment assumptions, it is shown that the norm of the products of such random matrices satisfies a number of classical probabilistic laws. This book includes necessary background on the theory of reductive algebraic groups, probability theory and operator theory, thereby providing a modern introduction to the topic.
Download or read book Monte Carlo Principles and Neutron Transport Problems written by Jerome Spanier and published by Courier Corporation. This book was released on 2008-01-01 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-part treatment introduces the general principles of the Monte Carlo method within a unified mathematical point of view, applying them to problems in neutron transport. It describes several efficiency-enhancing approaches, including the method of superposition and simulation of the adjoint equation based on reciprocity. The first half of the book presents an exposition of the fundamentals of Monte Carlo methods, examining discrete and continuous random walk processes and standard variance reduction techniques. The second half of the text focuses directly on the methods of superposition and reciprocity, illustrating their applications to specific neutron transport problems. Topics include the computation of thermal neutron fluxes and the superposition principle in resonance escape computations.
Download or read book Computer Science Theory and Applications written by Volker Diekert and published by Springer. This book was released on 2007-08-22 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book features the refereed proceedings of the 2nd International Symposium on Computer Science in Russia held in September 2007. The 35 papers cover theory track deals with algorithms, protocols, and data structures; complexity and cryptography; formal languages, automata and their applications to computer science; computational models and concepts; proof theory; and applications of logic to computer science. Many applications are presented.
Download or read book The Random Walk and Beyond written by Mark A. Johnson and published by . This book was released on 1988-02-10 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lucid, witty, and intelligent guide to modern investment theory, the evidence for and against it, and how to translate theory into practical investment strategies. Explains the ``Random Walk'' or the Efficient Market Hypothesis and shows what it means, where it is true, where it is not -- and how investors can take advantage of the areas in which it is not true to earn greater profits without increased risk. Examines concepts of value, how the numbers can lie, diversification, market risk, out-of-favor stocks, little stocks and market timing. Forbes columnist Kenneth Fisher wrote of Johnson's book: ``Indispensable for those wanting to bypass Wall Street's most common dead ends.''
Download or read book Random Walks Critical Phenomena and Triviality in Quantum Field Theory written by Roberto Fernandez and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simple random walks - or equivalently, sums of independent random vari ables - have long been a standard topic of probability theory and mathemat ical physics. In the 1950s, non-Markovian random-walk models, such as the self-avoiding walk,were introduced into theoretical polymer physics, and gradu ally came to serve as a paradigm for the general theory of critical phenomena. In the past decade, random-walk expansions have evolved into an important tool for the rigorous analysis of critical phenomena in classical spin systems and of the continuum limit in quantum field theory. Among the results obtained by random-walk methods are the proof of triviality of the cp4 quantum field theo ryin space-time dimension d (::::) 4, and the proof of mean-field critical behavior for cp4 and Ising models in space dimension d (::::) 4. The principal goal of the present monograph is to present a detailed review of these developments. It is supplemented by a brief excursion to the theory of random surfaces and various applications thereof. This book has grown out of research carried out by the authors mainly from 1982 until the middle of 1985. Our original intention was to write a research paper. However, the writing of such a paper turned out to be a very slow process, partly because of our geographical separation, partly because each of us was involved in other projects that may have appeared more urgent.
