Results 1 - 10
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10,080
Market Efficiency, Long-Term Returns, and Behavioral Finance
, 1998
"... Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnor ..."
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Cited by 787 (6 self)
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Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre
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 (1962--1985) and for all subperiod for a variety of aggrega ..."
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Cited by 517 (17 self)
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of aggregate returns indexes and size-sorted 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
Social force model for pedestrian dynamics
- Physical Review E
, 1995
"... It is suggested that the motion of pedestrians can be described as if they would be subject to ‘social forces’. These ‘forces ’ are not directly exerted by the pedestrians ’ personal environment, but they are a measure for the internal motivations of the individuals to perform certain actions (movem ..."
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Cited by 504 (25 self)
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model is capable of describing the self-organization of several observed collective effects of pedestrian behavior very realistically. Typeset using REVTEX 1 I.
On the Self-similar Nature of Ethernet Traffic (Extended Version)
, 1994
"... We demonstrate that Ethernet LAN traffic is statistically self-similar, that none of the commonly used traffic models is able to capture this fractal-like behavior, that such behavior has serious implications for the design, control, and analysis of high-speed, cell-based networks, and that aggrega ..."
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Cited by 2213 (46 self)
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discussion of the underlying mathematical and statistical properties of self-similarity and their relationship with actual network behavior. We also present traffic models based on self-similar stochastic processes that provide simple, accurate, and realistic descriptions of traffic scenarios expected during
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
"... Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset and derivative pricing theories as well as trading and hedging strategies. In response to this, ..."
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Cited by 561 (45 self)
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volatility persistence. Meanwhile, when judged by standard forecast evaluation criteria, based on the squared or absolute returns over daily or longer forecast horizons, standard volatility models provide seemingly poor forecasts. The present paper demonstrates that, contrary to this contention
A Performance Comparison of Multi-Hop Wireless Ad Hoc Network Routing Protocols
, 1998
"... An ad hoc network is a collection of wireless mobile nodes dynamically forming a temporary network without the use of any existing network infrastructure or centralized administration. Due to the limited transmission range of wireless network interfaces, multiple network "hops " ma ..."
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Cited by 1819 (25 self)
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-layer behavior of the IEEE 802.11 wireless LAN standard, including a realistic wireless transmission channel model, and present the results of simulations of networks of 50 mobile nodes. 1
Costly search and mutual fund flows
- Journal of Finance
, 1998
"... This paper studies the flows of funds into and out of equity mutual funds. Consumers base their fund purchase decisions on prior performance information, but do so asymmetrically, investing disproportionately more in funds that performed very well the prior period. Search costs seem to be an importa ..."
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Cited by 523 (5 self)
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costs. ALTHOUGH MUCH ACADEMIC RESEARCH on mutual funds addresses issues of performance measurement and attribution, we can learn more from this industry than whether fund managers can consistently earn risk-adjusted excess returns. Researchers studying funds have shed light on how incentives affect fund
Are investors reluctant to realize their losses
- Journal of Finance
, 1998
"... I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than ..."
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Cited by 657 (14 self)
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losers. Their behavior does not appear to be motivated by a desire to rebalance portfolios, or to avoid the higher trading costs of low priced stocks. Nor is it justified by subsequent portfolio performance. For taxable investments, it is suboptimal and leads to lower after-tax returns. Tax
Evolving 3D morphology and behavior by competition
- Proceedings of Artificial Life IV
, 1994
"... This paper describes a system for the evolution and co-evolution of virtual creatures that compete in physically simulated three-dimensional worlds. Pairs of individuals enter one-on-one contests in which they contend to gain control of a common resource. The winners receive higher relative fitness ..."
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Cited by 439 (0 self)
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scores allowing them to survive and reproduce. Realistic dynamics simulation including gravity, collisions, and friction, restricts the actions to physically plausible behaviors. The morphology of these creatures and the neural systems for controlling their muscle forces are both genetically determined
Practical animation of liquids
- Graphical Models and Image Processing
, 1996
"... We present a comprehensive methodology for realistically animating liquid phenomena. Our approach unifies existing computer graphics techniques for simulating fluids and extends them by incorporating more complex behavior. It is based on the Navier-Stokes equations which couple momentum and mass con ..."
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Cited by 445 (26 self)
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We present a comprehensive methodology for realistically animating liquid phenomena. Our approach unifies existing computer graphics techniques for simulating fluids and extends them by incorporating more complex behavior. It is based on the Navier-Stokes equations which couple momentum and mass
Results 1 - 10
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