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4,082,418
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
 REVIEW OF FINANCIAL STUDIES
, 1988
"... In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (19621985) and for all subperiod for a variety of aggrega ..."
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Cited by 492 (18 self)
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In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (19621985) and for all subperiod for a variety of aggregate returns indexes and sizesorted portofolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a meanreverting model of asset prices.
Functions and their basic properties
 JOURNAL OF FORMALIZED MATHEMATICS
, 2003
"... The definitions of the mode Function and the graph of a function are introduced. The graph of a function is defined to be identical with the function. The following concepts are also defined: the domain of a function, the range of a function, the identity function, the composition of functions, the ..."
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Cited by 1344 (32 self)
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The definitions of the mode Function and the graph of a function are introduced. The graph of a function is defined to be identical with the function. The following concepts are also defined: the domain of a function, the range of a function, the identity function, the composition of functions
Term Rewriting Systems
, 1992
"... Term Rewriting Systems play an important role in various areas, such as abstract data type specifications, implementations of functional programming languages and automated deduction. In this chapter we introduce several of the basic comcepts and facts for TRS's. Specifically, we discuss Abstra ..."
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Cited by 613 (18 self)
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Term Rewriting Systems play an important role in various areas, such as abstract data type specifications, implementations of functional programming languages and automated deduction. In this chapter we introduce several of the basic comcepts and facts for TRS's. Specifically, we discuss
Relations and their basic properties
 Journal of Formalized Mathematics
, 1989
"... Summary. We define here: mode Relation as a set of pairs, the domain, the codomain, and the field of relation; the empty and the identity relations, the composition of relations, the image and the inverse image of a set under a relation. Two predicates, = and ⊆, and three functions, ∪, ∩ and \ are ..."
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Cited by 1069 (6 self)
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, ∪, ∩ and \ are redefined. Basic facts about the above mentioned notions are presented.
Finitetime analysis of the multiarmed bandit problem
 Machine Learning
, 2002
"... Abstract. Reinforcement learning policies face the exploration versus exploitation dilemma, i.e. the search for a balance between exploring the environment to find profitable actions while taking the empirically best action as often as possible. A popular measure of a policy’s success in addressing ..."
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Cited by 804 (15 self)
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this dilemma is the regret, that is the loss due to the fact that the globally optimal policy is not followed all the times. One of the simplest examples of the exploration/exploitation dilemma is the multiarmed bandit problem. Lai and Robbins were the first ones to show that the regret for this problem has
A model of growth through creative destruction
, 1990
"... This paper develops a model based on Schumpeter's process of creative destruction. It departs from existing models of endogeneous growth in emphasizing obsolescence of old technologies induced by the accumulation of knowledge and the resulting process or industrial innovations. This has both ..."
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Cited by 1923 (29 self)
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a tendency for laissezfaire economies to generate too many innovations, i.e too much growth. This "businessstealing" effect is partly compensated by the fact that innovations tend to be too small under laissezfaire. The model possesses a unique balanced growth equilibrium in which
Approximate Nearest Neighbors: Towards Removing the Curse of Dimensionality
, 1998
"... The nearest neighbor problem is the following: Given a set of n points P = fp 1 ; : : : ; png in some metric space X, preprocess P so as to efficiently answer queries which require finding the point in P closest to a query point q 2 X. We focus on the particularly interesting case of the ddimens ..."
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Cited by 1017 (40 self)
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The nearest neighbor problem is the following: Given a set of n points P = fp 1 ; : : : ; png in some metric space X, preprocess P so as to efficiently answer queries which require finding the point in P closest to a query point q 2 X. We focus on the particularly interesting case of the d
Functions from a set to a set
 Journal of Formalized Mathematics
, 1989
"... function from a set X into a set Y, denoted by “Function of X,Y ”, the set of all functions from a set X into a set Y, denoted by Funcs(X,Y), and the permutation of a set (mode Permutation of X, where X is a set). Theorems and schemes included in the article are reformulations of the theorems of [1] ..."
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Cited by 1094 (23 self)
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] in the new terminology. Also some basic facts about functions of two variables are proved.
Evaluating the Accuracy of SamplingBased Approaches to the Calculation of Posterior Moments
 IN BAYESIAN STATISTICS
, 1992
"... Data augmentation and Gibbs sampling are two closely related, samplingbased approaches to the calculation of posterior moments. The fact that each produces a sample whose constituents are neither independent nor identically distributed complicates the assessment of convergence and numerical accurac ..."
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Cited by 583 (14 self)
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Data augmentation and Gibbs sampling are two closely related, samplingbased approaches to the calculation of posterior moments. The fact that each produces a sample whose constituents are neither independent nor identically distributed complicates the assessment of convergence and numerical
Empirical exchange rate models of the Seventies: do they fit out of sample?
 JOURNAL OF INTERNATIONAL ECONOMICS
, 1983
"... This study compares the outofsample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and tradeweighted dollar exch ..."
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Cited by 831 (12 self)
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exchange rates. The candidate structural models include the flexibleprice (FrenkelBilson) and stickyprice (DornbuschFrankel) monetary models, and a stickyprice model which incorporates the current account (HooperMorton). The structural models perform poorly despite the fact that we base
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