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1,174
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 517 (17 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
Random walks for image segmentation
 IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE
, 2006
"... A novel method is proposed for performing multilabel, interactive image segmentation. Given a small number of pixels with userdefined (or predefined) labels, one can analytically and quickly determine the probability that a random walker starting at each unlabeled pixel will first reach one of the ..."
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Cited by 387 (21 self)
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A novel method is proposed for performing multilabel, interactive image segmentation. Given a small number of pixels with userdefined (or predefined) labels, one can analytically and quickly determine the probability that a random walker starting at each unlabeled pixel will first reach one
On sparse reconstruction from Fourier and Gaussian measurements
 Communications on Pure and Applied Mathematics
, 2006
"... Abstract. This paper improves upon best known guarantees for exact reconstruction of a sparse signal f from a small universal sample of Fourier measurements. The method for reconstruction that has recently gained momentum in the Sparse Approximation Theory is to relax this highly nonconvex problem ..."
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Cited by 262 (8 self)
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(r log 4 n). A random set Ω satisfies this with high probability. This estimate is optimal within the log log n and log 3 r factors. We also give a relatively short argument for a similar problem with k(r, n) � r[12 + 8 log(n/r)] Gaussian measurements. We use methods of geometric functional analysis
Optimal fiscal and monetary policy under sticky prices.
 Journal of Economic Theory
, 2004
"... Abstract This paper studies optimal fiscal and monetary policy under sticky product prices. The theoretical framework is a stochastic production economy without capital. The government finances an exogenous stream of purchases by levying distortionary income taxes, printing money, and issuing onep ..."
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Cited by 226 (13 self)
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by the Ramsey allocation when prices are flexible. The finding is in line with a recent body of work on optimal monetary policy under nominal rigidities that ignores the role of optimal fiscal policy. Second, even small deviations from full price flexibility induce near random walk behavior in government debt
Selforganizing hierarchical particle swarm optimizer with timevarying acceleration coefficients
 IEEE Transactions on Evolutionary Computation
, 2004
"... Abstract—This paper introduces a novel parameter automation strategy for the particle swarm algorithm and two further extensions to improve its performance after a predefined number of generations. Initially, to efficiently control the local search and convergence to the global optimum solution, tim ..."
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Cited by 194 (2 self)
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to the particle swarm optimization along with TVAC (MPSOTVAC), by adding a small perturbation to a randomly selected modulus of the velocity vector of a random particle by predefined probability. Second, we introduce a novel particle swarm concept “selforganizing hierarchical particle swarm optimizer with TVAC
Random walks in Euclidean space
, 2014
"... Fix a probability measure on the space of isometries of Euclidean space Rd. Let Y0 = 0, Y1, Y2,... ∈ Rd be a sequence of random points such that Yl+1 is the image of Yl under a random isometry of the previously fixed probability law, which is independent of Yl. We prove a local limit theorem for Yl ..."
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Fix a probability measure on the space of isometries of Euclidean space Rd. Let Y0 = 0, Y1, Y2,... ∈ Rd be a sequence of random points such that Yl+1 is the image of Yl under a random isometry of the previously fixed probability law, which is independent of Yl. We prove a local limit theorem
On the Second Eigenvalue and Random Walks in Random dRegular Graphs
, 1993
"... The main goal of this paper is to estimate the magnitude of the second largest eigenvalue in absolute value, 2 , of (the adjacency matrix of) a random dregular graph, G. In order to do so, we study the probability that a random walk on a random graph returns to its originating vertex at the kth st ..."
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Cited by 80 (10 self)
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The main goal of this paper is to estimate the magnitude of the second largest eigenvalue in absolute value, 2 , of (the adjacency matrix of) a random dregular graph, G. In order to do so, we study the probability that a random walk on a random graph returns to its originating vertex at the k
Diffusion maps and coarsegraining: A unified framework for dimensionality reduction, graph partitioning and data set parameterization
 IEEE Transactions on Pattern Analysis and Machine Intelligence
, 2006
"... We provide evidence that nonlinear dimensionality reduction, clustering and data set parameterization can be solved within one and the same framework. The main idea is to define a system of coordinates with an explicit metric that reflects the connectivity of a given data set and that is robust to ..."
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Cited by 158 (5 self)
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to noise. Our construction, which is based on a Markov random walk on the data, offers a general scheme of simultaneously reorganizing and subsampling graphs and arbitrarily shaped data sets in high dimensions using intrinsic geometry. We show that clustering in embedding spaces is equivalent
Enhancing random walk state space exploration
, 2005
"... We study the behavior of the random walk method in the context of model checking and its capacity to explore a state space. We describe the methodology we have used for observing the random walk and report on the results obtained. We also describe many possible enhancements of the random walk and s ..."
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Cited by 17 (3 self)
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We study the behavior of the random walk method in the context of model checking and its capacity to explore a state space. We describe the methodology we have used for observing the random walk and report on the results obtained. We also describe many possible enhancements of the random walk
On the Random Walk Method for Protocol Testing
 In Proc. ComputerAided Verification (CAV 1994), volume 818 of LNCS
, 1994
"... An important method for testing large and complex protocols repeatedly generates and tests a part of the reachable state space by following a random walk; the main advantage of this method is that it has minimal memory requirements. We use the coupling technique from Markov chain theory to show that ..."
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Cited by 22 (0 self)
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sampling of the reachable state space by random walk suffices to ensure effectiveness of testing. Is, however, efficient sampling of the random walk necessary for the effectiveness of the random walk method? In the context of Markov chain theory, "small cover time" can be thought of as a simpler
Results 1  10
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