Top PDF Test of Random Walk Behavior in Karachi Stock Exchange

Test of Random Walk Behavior in Karachi Stock Exchange

Test of Random Walk Behavior in Karachi Stock Exchange

Moretti (2004) analyzes the determinants of firm level productivity within a production function framework by utilizing a unique firm-worker matched data set. The study suggests that productivity of plants in a specific city is higher where ratio of college graduates is higher as compare to other city that experiences slow increase in the ration of college graduates. Such higher productivity gains may be counterbalanced by increased wages. The study further suggests that the firms get more benefits of externalities generated by their co-locating in a city than the industries that are located far-away. Lall et al. (2004) examine whether the agglomeration economies along with other factors contribute to the productivity in Indian manufacturing sector. They suggest that improved infrastructure lead to enhance the productivity at firm-level, however the benefits of urbanization are not helpful to reduce the associated costs. Rice et al. (2006) find that the portion of the variation in average regional wages in Britain attributable to productivity differences is positively related to the volume of population accessible within specified ranges of travel time. Summarizing across these studies, larger or more dense population is generally associated with greater productivity, but the extent differs widely by industry, region or country examined, time frame, and estimation technique.
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Efficient Market Hypothesis in European Stock Markets

Efficient Market Hypothesis in European Stock Markets

To test for serial independence in the returns we also employ a runs test, which determines whether successive price changes are independent of each other, as should happen under the null hypothesis of a random walk. By observing the number of runs, that is, the successive price changes (or returns) with the same sign, in a sequence of successive price changes (or returns), we can test that null hypothesis. We consider two approaches: in the first, we define as a positive return (+) any return greater than zero, and a negative return (-) if it is below zero; in the second approach, we classify each return according to its position with respect to the mean return of the period under analysis. In this last approach, we have a positive (+) each time the return is above the mean return and a negative (-) if it is below the mean return. This second approach has the advantage of allowing for and correcting the effect of an eventual time drift in the series of returns. Note that this is a non-parametric test, which does not require the returns to be normally distributed. The runs test is based on the premise that if price changes (returns) are random, the actual number of runs ( R ) should be close to the expected number of runs ( µ R ).
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Predicting the price index of Tehran Stock Exchange

Predicting the price index of Tehran Stock Exchange

  from   2000   through   2005   using   variance   ratio   test.   The   result   of   this   investigation   rejected   random   walk   hypothesis   in   Dubai   market   in   all   industries   except   banking   industry   by   means   of   variance   ratio   test   and   market   efficiency   was   also   disproved   at   weak   level   using   turnover  test.  Onali  and  Goddard  (2011)  tested  presence  of  long  term  memory  in  returns  of  stock   in  eight  European  countries  using  R/S  method.  They  found  strong  evidences  about  presence  of   long  term  correlation  in  stock  index  of  Czech  Republic  and  weaker  evidences  in  stock  indices  at   Switzerland  and  Spain.  However,  they  indicated  that  5  other  indices  (e.g.  UK  stock  index)  did  not   follow  fractal  process.  
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Random Walk Models Classifications: An Empirical Study for Malaysian Stock Indices

Random Walk Models Classifications: An Empirical Study for Malaysian Stock Indices

Daily closing transaction price indices have been selected from 1996 to 2006 which covers before and after the Asian crisis. All the data are collected from the DATASTREAM with 2578 observations for each series. During this period, the KLSE composite index (CI) come under severe pressure and encountered drastic fall in price level. One of the objectives of this study is to examine whether the nine sectoral indices follow the behaviour of the KLCI. The specific day of the structural break is determined by an iterative Chow’s test introduced by Andrews [13] tests. Alternatives for unknown break location test are such as CUSUM test by Brown et al [14] and Bai and Perron [15] using UDMax and WDMax statistics among others.
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School of Economics and Management

School of Economics and Management

This paper reports the results of tests on the weak-form market efficiency applied to the PSI-20 index prices of the Lisbon Stock Market from January 1993 to December 2006. As an emerging stock market, it is unlikely that it is fully information-efficient, but we show that the level of weak-form efficiency has increased in recent years. We use a serial correlation test, a runs test, an augmented Dickey-Fuller test and the multiple variance ratio test proposed by Lo and MacKinlay (1988) for the hypothesis that the stock market index follows a random walk. Non-trading or infrequent trading is not an issue because the PSI-20 only includes the 20 most traded shares. The tests are performed using daily, weekly and monthly returns for the whole period and for five sub-periods which reflect different trends in the market. We find mixed evidence, but on the whole, our results show that the Portuguese stock market index has been approaching a random walk behavior since year 2000, with a decrease in the serial dependence of returns. (JEL G14; G15)
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Braz. J. Phys.  vol.29 número3

Braz. J. Phys. vol.29 número3

The outline of the present work is as follows. In Section II we formulate the problem and state our re- sults. The proofs will be given in Section III under the assumption that the eigenvalues and eigenvectors of the semi{group generator of the process converge to the eigenvalues and eigenfunctions of a Laplacian. The eigenvalue problem is a consequence of our basic lemma (Lemma III.1) which will be proven in Section IV for d = 1 by Greens function method. The spec-

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Study on the Stock Market Evolution of Companies Listed  on Bucharest Stock Exchange

Study on the Stock Market Evolution of Companies Listed on Bucharest Stock Exchange

Referring to the two types of analysis, Spulbăr (2010, p.75-76) believes that fundamental analysis is "a method of investment that seeks to forecast the future dynamics of the price of a financial instrument based on the determination and evaluation of the economic factors affecting the financial instrument concerned ", while technical analysis can be defined as "studying the market through charts to determine the future price direction." In other words, fundamental analysis makes use of the information provided by the company’s financial statements, on account of which are determined a number of performance indicators, while technical analysis is, in fact, a statistical method for assessing changes in share price based on their previous developments, represented by graphs on prices and volumes of traded securities.
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A stochastic algorithm based on fast marching for automatic capacitance extraction in non-Manhattan geometries

A stochastic algorithm based on fast marching for automatic capacitance extraction in non-Manhattan geometries

Abstract. We present an algorithm for two- and three-dimensional capacitance analysis on multidielectric integrated circuits of arbitrary geometry. Our algorithm is stochastic in nature and as such fully parallelizable. It is intended to extract capacitance entries directly from a pixelized representation of the integrated circuit (IC), which can be produced from a scanning electron microscopy image. Preprocessing and monitoring of the capacitance calculation are kept to a minimum, thanks to the use of distance maps automatically generated with a fast marching technique. Numerical validation of the algorithm shows that the systematic error of the algorithm decreases with better resolution of the input image. Those features render the presented algorithm well suited for fast prototyping while using the most realistic IC geometry data.
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Determination Of Longevity Of Teeth In Buckets Of Loading Equipment In Coal Mines - A Case Study

Determination Of Longevity Of Teeth In Buckets Of Loading Equipment In Coal Mines - A Case Study

device was studied. The study took into account the effects of machine scale, wear surface structure of the rolls, grinding pressures and rolls speed, gap settings, feed size distribution and moisture content for a range of ores. The authors proposed a prevailing wear mechanism and a methodology for minimising wear of the grinding rolls, specific to the high pressure grinding device only. An example of a direct method, Bond (1964) and Buchi (1995) developed testing apparatus that determine rock abrasiveness in a low abrasion/medium impact mode of wear where rock abrasiveness is measured as the amount of material lost by a standard steel paddle which rotates on a shaft in a sample of loose rock particles of a certain specified size range. As can be seen from the above examples, the indirect methods of rock abrasivity assessment have the advantage of using data which is either readily available or relatively straightforward to obtain. However, they do not take into account process variables for specific modes of wear. Hence, they are normally not used in isolation, but rather in combination with direct methods, or holistic approaches, to supplement or confirm other more relevant direct measures. However, there is no universally accepted one standard test to determine the rock abrasivity although a large number of different tests are in use. All the studies about rock abrasiveness are concentrated on the amount of quartz, grain size and cementation degree of quartz, the geometry of the abrasive mineral and mechanical strength of rock.
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Enhancing the assessment of cardiorespiratory fitness using field tests

Enhancing the assessment of cardiorespiratory fitness using field tests

The study was advertised for people without disabilities aged >18 years at the university campus and surrounding areas (e.g. fitness centres, community centres, senior universities). Posters, flyers and the university and research websites were used for advertisement, so interested participants could contact the research team directly. In order to achieve maximum representativeness from community-dwelling people, people with the most prevalent age- related conditions, such as controlled hypertension, hypercholesterolaemia and diabetes, were included in the study [24]. This is in accordance with the World Health Organization’s definition of ‘health’ as a state of complete physical, mental and social well-being and not merely the absence of disease or infirmity [25]. Exclusion criteria were the presence of one or more of the following conditions: acute (within the past month) or chronic respiratory disease, cardiac disease, signs of cognitive or neuromuscular impairment, and significant musculoskeletal disorder (e.g. kyphoscoliosis) that could interfere with the ability to perform the lower and upper limb exercise field tests. For walking tests, subjects using walking aids were also excluded.
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Quantitative characterisation of an engineering write-up using random walk analysis

Quantitative characterisation of an engineering write-up using random walk analysis

In Table 2, the interpretation of Mod(SN,2) is that “SN” is divided by two (2) and the modulus of the remainder is obtained. This definition is similar for the 2-D and 3-D situations. It is assumed that the three random walks used have one consecutive time step delay interval before starting and ending respectively. Thus random walk 1 starts to be active on the instruction of the first letter (T) of the word “Technology” and stops to be active on the third letter (C) for an experiment involving three random steps. Random walk 2 becomes active on the instruction of the second letter (E) and stops to be active on the fourth letter (H) for an experiment involving three random steps. Random walk 3 becomes active on the instruction of the third letter (C) and stops to be active on the sixth letter (N) for an experiment involving three random steps. Referring to Table 2, the random direction followed by the walker depends on the dimensional space being investigated. The interpretation of Table 2 may be made from an understanding of expression (1). Simply explained, it means that the distance of each walker from the known starting position can be measured. Measurement is done at the end of the specified time steps and at the end of a constant step size. In the evaluation of the write-ups, it may be necessary to statistically determine the relationship among the sets of solutions. This is pursued in this work with the aid of the correlation coefficient (R) between two sets of data, and the coefficient of determination (R 2 ), as stated in the section on results.
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The six-minute walk test and body weight-walk distance product in healthy Brazilian subjects

The six-minute walk test and body weight-walk distance product in healthy Brazilian subjects

ference between the measured and predicted 6MWD values might have been multifactorial. Both the standardization of the test and ethnic characteristics should be considered. Among the studies, corridor length varied from 20 m to 50 m and the number of pre-tests for familiarization varied from two to four (5,28,29,32). The level of encouragement might also have influenced the results, since guidelines other than those established by the ATS (33,34) were used in some studies (1,5,29,32). The only equation that underestimated our measured 6MWD was derived from only one test (i.e., without practice) (1). On the other hand, Chetta et al. (6), who adhered to ATS guidelines, devised an equation that only slightly overestimated 6MWD in relation to our find- ings. These discrepancies may be attributed to population differences between samples. Our volunteers were slightly shorter and our women volunteers had a greater body weight when compared to the subjects studied by Chetta et al. (6). These differences emphasize the importance of developing population-specific reference equations. Accordingly, our additional prospective data confirmed the equation’s reli- ability and also illustrated the errors that could arise from using other equations for the Brazilian population. Therefore, we propose that our reference equation should be used in the Brazilian population.
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Buying Behavior Of Organic Vegetables Product The Effects Of Perceptions Of Quality And Risk

Buying Behavior Of Organic Vegetables Product The Effects Of Perceptions Of Quality And Risk

quality of alternatives with regard to price within a category (Jin & Suh, 2005). Organic vegetable products have advantages and technologies related of environmental friendly. Perceived quality is not the actual quality of the brands or products. Rather, it is the consumers’ judgment about an entity’s or a service’s overall excellence or superiority (Aaker, 1991). Sometimes is directly related to the reputation of the firm that manufactures the product (Davis et al. 2003), and viewed as the degree and direction of discrepancy between consumers’ perceptions and expectations (Chen & Chang, 2005). Perceived quality and perception of quality had closer theoretical, perception defined is the mental process that persons go through in selecting, organizing and interpreting information into meaningful patterns (Truong & Yap, 2010:532). It can be interpreted that perception of quality is overall judgment of superior quality of organic products as result from selecting, organizing and interpreting form the alternative product. Measurement of customer perception of quality on organic products is divide on several things, included guarantee (origin, brand, label, variety), organoleptic characteristic (firmness, color, flavor, aroma), and external factors (damage, size, price) (Carrasco et al., 2012:1422). In other side on organic product it measured with environmental concern, environmental consideration, environmental performance, environmental image, and environmental reputation (Chen & Chang, 2013:71).
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Rev. Bras. Psiquiatr.  vol.39 número1

Rev. Bras. Psiquiatr. vol.39 número1

The complex labyrinth for the confrontation between snakes and rodents, which was designed by the first author in 2000, was ethologically validated by Guimara˜es- Costa et al. 24 This apparatus consists of a transparent acrylic enclosure containing a small polygonal arena con- tiguous with a complex maze. The gallery walls are made of black acrylic. The arena measures 38.5 m 2 , and the remaining labyrinth measures 15 cm in height and 6.92 m in length. The whole apparatus containing the complex labyrinth and arena measures 140  70  15 cm. The top of the labyrinth and the arena contain 84 circular holes (1.5 cm in diameter). The floor of the complex labyrinth is made of a clear crystal acrylic plaque (140  70 cm) that is placed on another metallic plaque made of 1-mm-wide stainless steel with the same dimensions. The arena is divided by 0.4 cm green fluorescent lines into 20 equal rectangles (27.7  17.2 cm each). It is important to highlight that even wild constrictor snakes as heavy as 2,500 g can invade the galleries during hunting behavior, which increases the panic attack-like behaviors of prey animals. 24 The confrontation between rodents and snakes can occur in both divisions of the complex labyrinth, i.e., within the arena or inside the galleries.
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Six-minute walk test and idiopathic pulmonary fibrosis

Six-minute walk test and idiopathic pulmonary fibrosis

Objective: To describe the patient profile, mortality rates, the accuracy of prognostic scores, and mortality-associated factors in patients with community-acquired pneumonia (CAP) in a general hospital in Brazil. Methods: This was a cohort study involving patients with a clinical and laboratory diagnosis of CAP and requiring admission to a public hospital in the interior of Brazil between March 2014 and April 2015. We performed multivariate analysis using a Poisson regression model with robust variance to identify factors associated with in-hospital mortality. Results: We included 304 patients. Approximately 70% of the patients were classified as severely ill on the basis of the severity criteria used. The mortality rate was 15.5%, and the ICU admission rate was 29.3%. After multivariate analysis, the factors associated with in-hospital mortality were need for mechanical ventilation (OR: 3.60; 95% CI: 1.85-7.47); a Charlson Comorbidity Index score > 3 (OR: 1.30; 95% CI: 1.18-1.43); and a mental Confusion, Urea, Respiratory rate, Blood pressure, and age > 65 years (CURB-65) score > 2 (OR: 1.46; 95% CI: 1.09- 1.98). The mean time from patient arrival at the emergency room to initiation of antibiotic therapy was 10 h. Conclusions: The in-hospital mortality rate of 15.5% and the need for ICU admission in almost one third of the patients reflect the major impact of CAP on patients and the health care system. Individuals with a high burden of comorbidities, a high CURB-65 score, and a need for mechanical ventilation had a worse prognosis. Measures to reduce the time to initiation of antibiotic therapy may result in better outcomes in this group of patients.
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Dessaturação em indivíduos saudáveis submetidos ao incremental shuttle walk test.

Dessaturação em indivíduos saudáveis submetidos ao incremental shuttle walk test.

Testes de esforço máximo, como os testes de exercício cardiopulmonar, podem fornecer informações importantes sobre a integração entre os sistemas cardiovascular e respiratório durante o exercício. Embora os testes de exercício cardiopulmonar tenham sido amplamente usados para investigar várias doenças pulmonares, são testes complexos que exigem equipamentos caros. O incremental shuttle walk test (ISWT, teste de caminhada com carga progressiva) é um teste de esforço máximo que fornece dados que se correlacionam bem com as medições feitas durante testes de exercício cardiopulmonar incremental e é mais simples e menos caro do que estes. O fato de que mesmo pacientes com poucos sintomas e envolvimento pulmonar leve podem apresentar diminuição da saturação de oxigênio em um teste submáximo nos levou a perguntar como a saturação de oxigênio se comportaria durante um teste máximo de caminhada, como o ISWT. Poderia melhorar a sensibilidade do TC6 na detecção de comprometimento respiratório? Com o objetivo de explorar essa hipótese, decidimos realizar o ISWT em indivíduos saudáveis, a fim de determinar a probabilidade de dessaturação de oxigênio ao final do teste.
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Forest Walk Methods for Localizing Body Joints from Single Depth Image.

Forest Walk Methods for Localizing Body Joints from Single Depth Image.

Pose Estimation from Single Depth Image. In contrast to tracking methods based on generative models, a discriminative approach aims to directly train the conditional probability of the body part labels or joint positions. This enables pose estimation even from a single depth image, without any initialization from the previous frame or accurate body models [5, 6, 10, 35]. In [31], Ye et al. initialized the skeletal frame by alignment and database look up, and the final pose was refined by minimizing least-squares distance. Similarly, in [4], Baak et al. esti- mated the pose from a single frame by nearest neighbour learning on extrema points. The methods based on randomized decision and regression forests have shown to be effective and efficient [5, 6, 10, 36, 37], where one such method is able to operate in real-time and on com- mercial products [37]. In the work of Shotton et al. [5], decision forest is traversed to find the body part labels for each pixel. Once the pixels are classified into body parts, the possible joint positions are found with multiple mean-shifts. The pixel-wise decision forest method was fur- thered extended by using ideas from Hough forest [36]. In the methods of [10] and [6], the positions of joints are directly estimated from the regression forests by learning the joint offsets from the pixel positions. Parallel implementations of these methods have achieved super-real- time performance [5, 10]. Overall, discriminative methods have an advantage over the genera- tive tracking methods which require a fairly comprehensive human model along with accurate pose estimation in the previous frame. However, compared to the state-of-art body tracking [3], methods using randomized decision trees for pixel-wise inference often require heavier computation with a need for powerful GPU or multi-core processors [5, 10]. Moreover, changes in configuration to improve generalizability and accuracy, such as increasing the num- ber of trees, might induce an additional computational burden.
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Braz. J. Phys. Ther.  vol.18 número3

Braz. J. Phys. Ther. vol.18 número3

ABSTRACT | Objectives: to evaluate the concurrent validity of the six-minute step test (6MST) in assessing exercise capacity of COPD patients using the six-minute walk test (6MWT) as a gold-standard. The predictive validity of the 6MST was assessed to determine a cut-off point for identiication of low exercise capacity. Method: thirty-two COPD patients (50-87 years old) with mild to very severe obstruction performed the 6MST and 6MWT twice. Results: Concurrent validity: a strong positive correlation (Pearson) between the number of ascents on the irst (T1), second (T2) and the best of both (T1 or T2) tests during the 6MWT was observed. Although a moderate negative correlation with BODE index and FEV 1 was found, it was considered insuficient to test the validity, therefore ROC curves were not applied. The predictive validity (ROC) of the 6MST to identify low physical capacity (compared with the 6MWT) using the performance of T1 or T2, or solely T1 was considered accurate, and the area under the curve was 0.8 (IC95% 0.62- 0.98) and 0.85 (IC95% 0.70-0.99), respectively. To classify patients, the cut-off points of 86 and 78 steps were chosen, with both values showing 90% of sensitivity and speciicity of 64% and 68% for T1 or T2, or solely T1, respectively. Conclusion: The number of steps on the 6MST was valid to verify exercise capacity in COPD patients and the cut-off point of 78 steps was able to identify patients with poor exercise tolerance. Values under this cut-off point are considered to identify patients with a poorer prognosis.
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A ratio to evaluate harvest procedures management in an economic system where resources dynamics is ruled by an Ornstein-Uhlenbeck process

A ratio to evaluate harvest procedures management in an economic system where resources dynamics is ruled by an Ornstein-Uhlenbeck process

International Conference APLIMAT 2006, 433-436, Bratislava, Slovakia, 2006. [3] J. A. Filipe, M. A. M. Ferreira, M. Coelho, The drama of the commons. An application of Cournot-Nash model to the sardine in Portuguese waters. The effects of collusion. Journal of Agricultural, Food, and Environmental Sciences, 2(2008), 1.

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Reserves Represented by Random Walks

Reserves Represented by Random Walks

So consider a gambler disposing of an initial capital of x monetary unit that intends to play a sequence of games till his/her fortune reaches a value of k monetary unit. Suppose that x and k are integer numbers that satisfy the conditions x > 0 and k > x. In each game, the gambler either wins 1 monetary unit with probability p or loses 1 monetary unit with probability q = 1- p. What is the probability that the gambler ruins before attaining his/her target? That is, which is the probability of losing the x monetary unit before accumulating wins in the amount of k – x monetary unit?
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