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Wyświetlanie 1-15 z 37
Tytuł:
Random walk - fuzzy aspects
Autorzy:
Frič, R.
Papčo, M.
Powiązania:
https://bibliotekanauki.pl/articles/122040.pdf
Data publikacji:
2011
Wydawca:
Uniwersytet Humanistyczno-Przyrodniczy im. Jana Długosza w Częstochowie. Wydawnictwo Uczelniane
Tematy:
random walk
fuzzy probability
experiment
stochastics
spacery losowe
prawdopodobieństwo rozmyte
eksperyment
stochastyka
Opis:
Some beautiful and powerful mathematical ideas are hard to present to students because of the involved abstract language (notation, definitions, theorems, proofs, formulas) and lack of time. Animation and “mathematical experiments” provide a remedy. In the field of stochastics, the Galton board experiment presents several fundamental stochastic notions: a random event, independent random events, the binomial distribution, limit distribution, normal distribution, interpretation of probability, and leads to their better understanding. Random walk is a natural generalization of the Galton board. We use random walks as a motivation and presentation of basic principles of fuzzy random events and fuzzy probability. Fuzzy mathematics and fuzzy logic generalize classical (Boolean) mathematics and logic, reflect everyday experience and decision making and have broader applications. Experimenting with random walks also sheds light on the transition from classical to fuzzy probability.
Źródło:
Scientific Issues of Jan Długosz University in Częstochowa. Mathematics; 2011, 16; 205-212
2450-9302
Pojawia się w:
Scientific Issues of Jan Długosz University in Częstochowa. Mathematics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Random walk : its description & usage
Autorzy:
Buc, D.
Kliestik, T.
Powiązania:
https://bibliotekanauki.pl/articles/311322.pdf
Data publikacji:
2013
Wydawca:
Instytut Naukowo-Wydawniczy "SPATIUM"
Tematy:
teoria błądzenia losowego
przykłady błądzenia losowego
random walk theory
examples of random walk
Opis:
This article deals with one of the most popular capital market approach - Random walk theory. There are fundamental elements, features and one basic example of this attitude described in here. Random Walk Theory denies other analysis, such as psychological, technical or fundamental, because of more reasons. These could be for example, bad or useless information, buy and sell timing and others. A protagonist of this theory says that it is not possible to outperform a particular market if any additional risk is assumed. On the other hand, critics of Random walk theory contend that assets do maintain price trends - there is a chance to outperform the market if the selecting exit and entry points for investments are carefully selected.
Źródło:
Autobusy : technika, eksploatacja, systemy transportowe; 2013, 14, 3; 451-456
1509-5878
2450-7725
Pojawia się w:
Autobusy : technika, eksploatacja, systemy transportowe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Non symmetric random walk on infinite graph
Autorzy:
Zygmunt, M. J.
Powiązania:
https://bibliotekanauki.pl/articles/254997.pdf
Data publikacji:
2011
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
random walk on an infinite graph
block tridiagonal transition matrix
spectral measure matrix orthogonal polynomials
Opis:
We investigate properties of a non symmetric Markov's chain on an infinite graph. We show the connection with matrix valued random walk polynomials which satisfy the orthogonality formula with respect to non a symmetric matrix valued measure.
Źródło:
Opuscula Mathematica; 2011, 31, 4; 669-674
1232-9274
2300-6919
Pojawia się w:
Opuscula Mathematica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A newly developed random walk model for PCS network
Autorzy:
Islam, I.
Hossain, S.
Powiązania:
https://bibliotekanauki.pl/articles/308852.pdf
Data publikacji:
2005
Wydawca:
Instytut Łączności - Państwowy Instytut Badawczy
Tematy:
cell cluster
random walk
subarea n
state transition
probability matrix
expected number of steps
Opis:
Different types of random walk models are prevalent in mobile cellular network for analysis of roaming and handover, being considered as important parameters of traffic measurement and location updating of such network. This paper proposes a new random walk model of hexagonal cell cluster, exclusively developed by the authors and a comparison is made with two existing models. The proposed model shows better performance in context of number of probability states compared to existing models.
Źródło:
Journal of Telecommunications and Information Technology; 2005, 1; 153-156
1509-4553
1899-8852
Pojawia się w:
Journal of Telecommunications and Information Technology
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A random walk version of Robbins problem: small horizon
Autorzy:
Allaart, Pieter
Allen, Andrew
Powiązania:
https://bibliotekanauki.pl/articles/953267.pdf
Data publikacji:
2019
Wydawca:
Polskie Towarzystwo Matematyczne
Tematy:
robbins' problem
stopping time
symmetric random walk
expected rank
proces ornsteina-uhlenbecka
floc
estymacja
rozkłas stabilny
Opis:
In Robbins' problem of minimizing the expected rank, a finite sequence of $n$ independent, identically distributed random variables are observed sequentially and the objective is to stop at such a time that the expected rank of the selected variable (among the sequence of all $n$ variables) is as small as possible. In this paper we consider an analogous problem in which the observed random variables are the steps of a symmetric random walk. Assuming continuously distributed step sizes, we describe the optimal stopping rules for the cases $n=2$ and $n=3$ in two versions of the problem: a ``full information" version in which the actual steps of the random walk are disclosed to the decision maker; and a ``partial information" version in which only the relative ranks of the positions taken by the random walk are observed. When $n=3$, the optimal rule and expected rank depend on the distribution of the step sizes. We give sharp bounds for the optimal expected rank in the partial information version, and fairly sharp bounds in the full information version.
Źródło:
Mathematica Applicanda; 2019, 47, 2
1730-2668
2299-4009
Pojawia się w:
Mathematica Applicanda
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Share Price Evolution as Stationary, Dependent Continuous-Time Random Walk
Autorzy:
Gubiec, T.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1538526.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.50.Ey
02.50.Ga
05.40.Fb
02.30.Mv
Opis:
Simple model of share price evolution, which is an extension of Kehr-Kutner-Binder one and Montero-Masoliver models, is presented. The market empirical data inspired the assumptions of the model. The model seems to be the reference one for the study of the short-range correlations in financial data as it considers the observed correlation over two successive jumps of the financial ant.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 669-672
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Quantitative estimation of 3D cave networks complexity using random walk analysis
Autorzy:
Błachowicz, T.
Andreychouk, V.
Powiązania:
https://bibliotekanauki.pl/articles/294823.pdf
Data publikacji:
2015
Wydawca:
Stowarzyszenie Geomorfologów Polskich
Tematy:
speleomorphogenesis
cave networks
random walk
Hurst exponent
morphometric analysis
Opis:
The paper presents a new method of quantitative parameterization of volumetric-net geomorphological structures with the use of random walk formalism and an analysis of self-similarity exponent distribution derived from random walk experiments. As examples, two American three-dimensional Wind and Lechuguilla cave networks were elaborated. The provided methodology is able to uniquely characterize the morphology of cave systems.
Źródło:
Landform Analysis; 2015, 29; 91-96
1429-799X
Pojawia się w:
Landform Analysis
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A remark on the norm of a random walk on surface groups
Autorzy:
Żuk, Andrzej
Powiązania:
https://bibliotekanauki.pl/articles/966655.pdf
Data publikacji:
1997
Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:
norm of operator
surface group
random walk
Opis:
We show that the norm of the random walk operator on the Cayley graph of the surface group in the standard presentation is bounded by 1/√g where g is the genus of the surface.
Źródło:
Colloquium Mathematicum; 1997, 72, 1; 195-206
0010-1354
Pojawia się w:
Colloquium Mathematicum
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
An asymptotic expansion for the distribution of the supremum of a random walk
Autorzy:
Sgibnev, M. S.
Powiązania:
https://bibliotekanauki.pl/articles/1206084.pdf
Data publikacji:
2000
Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:
random walk
supremum
submultiplicative function
characteristic equation
absolutely continuous component
oscillating random walk
stationary distribution
asymptotic expansions
Banach algebras
Laplace transform
Opis:
Let ${S_n}$ be a random walk drifting to -∞. We obtain an asymptotic expansion for the distribution of the supremum of ${S_n}$ which takes into account the influence of the roots of the equation $1-∫_ℝe^{sx}F(dx)=0,F$ being the underlying distribution. An estimate, of considerable generality, is given for the remainder term by means of submultiplicative weight functions. A similar problem for the stationary distribution of an oscillating random walk is also considered. The proofs rely on two general theorems for Laplace transforms.
Źródło:
Studia Mathematica; 2000, 140, 1; 41-55
0039-3223
Pojawia się w:
Studia Mathematica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Random walk analysis of cave maps for exemplary gypsum caves-mazes of Western Ukraine
Autorzy:
Błachowicz, T.
Andreychouk, V.
Domino, K.
Powiązania:
https://bibliotekanauki.pl/articles/294486.pdf
Data publikacji:
2018
Wydawca:
Stowarzyszenie Geomorfologów Polskich
Tematy:
cave networks
gypsum caves
random walk
Hurst exponent
sieci jaskiń
jaskinie gipsowe
wykładnik Hursta
Opis:
The paper presents a new method of quantitative parameterization of net geomorphological structures with the use of random walk formalism and an analysis of Hurst exponent distribution derived from random walk experiments. As examples, horizontally developed gypsum caves were elaborated. The provided methodology is able to uniquely characterize cave systems.
Źródło:
Landform Analysis; 2018, 36; 3-8
1429-799X
Pojawia się w:
Landform Analysis
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Use of random walk in two-dimensional lattice graphs to describe influence of wind and sea currents on oil slick movement
Autorzy:
Guze, S.
Mazurek, J.
Smolarek, L.
Powiązania:
https://bibliotekanauki.pl/articles/244325.pdf
Data publikacji:
2016
Wydawca:
Instytut Techniczny Wojsk Lotniczych
Tematy:
random walk
oil spill
currents
Opis:
The concept of oil slick movement being influenced by wind and sea currents is elementary for the decision model of the distribution of large oil spill emergency control means at sea. The analysis of water area conditions such as wind and sea currents is elementary for the concept of oil slick movement. The article presents the model of oil slick movement under the influence of wind and sea currents. In building the model, random walk in two-dimensional lattice graphs has been used. The movement of oil slick is analysed in two ways. In the paper, the movement of the oil slick is analysed in two ways without wind and focus on surface sea currents and with wind and currents. Case one assumes no wind and focuses on surface sea currents only using random walk in a two-dimensional square grid graph. Case two assumes that wind is in place, so oil slick is moving due to surface sea currents and wind currents. The description of movement in case two is based on a two-dimensional lattice graph, which is a combination of a triangular grid graph and a hexagonal grid graph. The article also describes the basic assumptions of oil slick model: the definition of water area, oil slick and algorithm for rescue action to contain the oil spill. Oil slick movement concept is elementary for the decision model of oil spill control at sea. The model allows estimating the distance of oil slick from coastal areas.
Źródło:
Journal of KONES; 2016, 23, 2; 147-153
1231-4005
2354-0133
Pojawia się w:
Journal of KONES
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Financial Data Analysis by means of Coupled Continuous-Time Random Walk in Rachev-Rűschendorf Model
Autorzy:
Jurlewicz, A.
Wyłomańska, A.
Żebrowski, P.
Powiązania:
https://bibliotekanauki.pl/articles/1812236.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.40.Fb
Opis:
We adapt the continuous-time random walk formalism to describe asset price evolution. We expand the idea proposed by Rachev and Rűschendorf who analyzed the binomial pricing model in the discrete time with randomization of the number of price changes. As a result, in the framework of the proposed model we obtain a mixture of the Gaussian and a generalized arcsine laws as the limiting distribution of log-returns. Moreover, we derive an European-call-option price that is an extension of the Black-Scholes formula. We apply the obtained theoretical results to model actual financial data and try to show that the continuous-time random walk offers alternative tools to deal with several complex issues of financial markets.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 629-635
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
SOME PROPOSAL OF THE TEST FOR A RANDOM WALK DETECTION AND ITS APPLICATION IN THE STOCK MARKET DATA ANALYSIS
Autorzy:
Dudziński, Marcin
Furmańczyk, Konrad
Orłowski, Arkadiusz
Powiązania:
https://bibliotekanauki.pl/articles/453162.pdf
Data publikacji:
2018
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
random walk
arcsine law
test for a random walk detection
stock market data analysis
Opis:
According to the numerous groups of theoreticians and practitioners, who act in the area of financial markets, changes in the stock prices are random and it is almost infeasible to predict them correctly using historical data. This approach is based on the random walk theory, which states that the price of financial instrument in the subsequent time point is the sum of its price in the previous time point and some random variable with a finite variance, i.e. it is modeled with the use of a stochastic process called a random walk. The random walk hypothesis stands in contradiction to the beliefs of the ordinary technical analysis followers, where the prediction is carried out on the grounds of existing trends, and furthermore, this hypothesis regards such a modeling of financial markets as incorrect. In our work, we construct statistical test for a random walk detection, which is based on the first arcsine law. We also present simulation results that allow to check the quality of the proposed test, as well as we show the application of the introduced test in the stock exchange data analysis.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2018, 19, 4; 339-346
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 37

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