Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 27 for “"random walk model"”.
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Simulation of estuary mixing using a two-dimensional random walk model
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Civil Engineering, 1989.
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Exchange rate forecasting with an artificial neural network model : can we beat a random walk model?
… the foreign exchange market and for theoretical modelling in international finance. Owing to the importance of the movements of exchange rates in our real life, such as financial hedges and investment abroad, this research investigates the possibility of an accurate pattern of the exchange rate …
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Numerical modelling of hydrodynamic and solute transport processes in shallow water environment
This thesis studies the numerical modelling of a range of hydrodynamic, solute transport and biochemical reaction processes in shallow water environment, combining both Euler and Lagrangian techniques. The research consists of two parts: the rapid flow modelling and the solute transport modelling. …
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The predictability of exchange rates using oil price changes : a thesis presented in partial fulfilment of the requirements for the degree of Master of Management in Finance at Massey University
… increases, and vice versa. While I do reject the random walk model for currency returns, my results do not necessarily imply a rejection of market efficiency. Key words: Foreign exchange rate, oil price.
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Stock market efficiency in developing countries: a case study of the Nairobi stock exchange.
… many cases, the findings have not supported the random walk hypothesis and are therefore not consistent with efficiency in the weak-form. The key question investigated is whether successive share price returns on the Nairobi Stock Exchange are independent random variables so that price returns …
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Particle motion in the near bed region of a turbulent open channel flow: Implications for bedload transport by saltation and sediment entrainment into suspension
… with this aim. A Lagrangian approach is used to model both saltation and particle entrainment into suspension. In the former case, the interaction between saltating particles and the bed is modelled stochastically, and the effect of turbulence on saltation is investigated separately by means of a …
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Land of opportunity : early indicators of the opportunity zone program's impact on real estate transaction prices
… a repeat sales price index using a Bayesian random walk model in order to compare the transaction prices of properties located in designated and eligible OZ census tracts and determine the premium associated with OZ designation. I find a significant positive impact on price levels associated …
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Predictability of the Dollar- Rand exchange rate using Taylor Rule fundamentals and commodity Prices.
… 1980-2016. The paper estimated three forecasting models, namely, the augmented Taylor rule specification, a Johansen Vector Error Correction Model (VECM) and a Random walk approach. The results from the Root Mean Squared Error (RMSE) show that the Random walk model outperforms both the Taylor rule …
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The Optical Variability of Quasars as Seen by SDSS
… northern Galactic sky. I show that the damped random walk model provides a robust statistical description of these data. This model characterizes the variability using two parameters, the long-term amplitude and characteristic timescale, and these model parameters show trends with physical …
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Essays in international finance
… evidence of PPP can be found using two types of models that can be equipped/illequipped to handle the potential presence of structural breaks in the data. The third essay employs a factor approach to analyse exchange rate prediction at multiple horizons, from 1 month to two years for a panel of …
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Variable sampling interval control strategies for a process control problem
… problem using a variable sampling scheme: a model for the process mean, a performance criterion and an estimation technique. The process mean is a random walk model with a control variable. An observation for the process is the mean plus a random error. The Kalman filter estimation technique …
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Time diversification and holding periods on the Johannesburg Stock Exchange
… investment horizon on the JSE Focusing on the Random Walk and Mean Reversion Models, a variety of tests were employed to identify serial correlation within the JSE logarithmic total returns. By assessing the possibility of mean reversion or trending behavior in returns, this study aims to …
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Characterizing Erythrocyte Motions in Flowing Blood
… a prerequisite for the development of a general model of transport and surface deposition of white cells and platelets (WBC/P). These phenomena differ greatly when red blood cells (RBC) are present at normal levels, but follow convective diffusion in dilute suspensions. A critical need is to …
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Continuous and discrete time stochastic transport: mathematical models of fractional transport on networks and in a continuum
… do, may lead to subdiffusion. A widely used model of diffusion is a continuous time random walk, which involves separate jump and waiting time densities. A waiting time density with a finite mean leads to standard diffusion whilst a density where the mean diverges leads to subdiffusion. …
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Aspects of exchange rate determination : empirical evidence
… thesis, we analyse a number of exchange rate models and assess their empirical performance. Using the data from the Group-S members in the post Bretton Woods period, we investigate the presence of the risk premium among different models. Our results are remarkably satisfactory.A 'new' random …
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The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability
… theory is applied to firms and market-pricing models for a Homo comperiens environment is a result. The application of the theory to firms also leads to testable propositions that I test on a uniquely comprehensive Swedish accounting database that cover the years 1978—1994. Hypotheses are …
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The effects of mechanical forces on lymphocyte adhesion and migration
… reconstructed and analyzed using the persistent random walk model. A simulation was developed to obtain idealized cell trajectories with defined persistent random walk parameters. This simulation was used to verify that our method of analyzing cell trajectory data yielded a reasonable fit of the …
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Modeling and experimental validation of a single-feed semi-batch precipitation process
… the process. The development of a validated modeling approach would be highly valuable for the successful prediction of the crystal characteristics under differing mixing conditions. In the present work, the single-feed semi-batch precipitation process of barium sulfate in a stirred tank was …
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Quasiparticle and Phonon Transport in Superconducting Particle Detectors
… in an epitaxial niobium film. Using a simple random walk model, I have calculated an effective lifetime for quasiparticles. I have not observed the process of quasiparticle mulitiplication that has been observed by other researchers - I attribute this to differences in the microstructure of my …
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The human molecular clock and mutation process : a characterization using microsatellite DNA
… appropriate for human history. Using existing models of microsatellites, we examine microsatellite data from populations around the world to demonstrate that microsatellites are accurate molecular clocks for coalescent times of at least two million years. These results raise the prospect of …
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