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

Enhanced Random Walk with Choice: An Empirical Study

The random walk with choice is a well known variation to the random walk that first selects a subset of d neighbours nodes and then decides to move to the node which maximizes the value of a certain metric; this metric captures the number of (past) visits of the walk to the node. In this paper we propose an enhancement to the random walk with choice by considering a new metric that captures not...

Stock Index Pricing with Random Walk and Agent-based Models

Volatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated Approach

This study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for ...

Random Walk Models for Space-fractional Diiusion Processes Random Walk Models for Space-fractional Diiusion Processes

By space-fractional (or L evy-Feller) diiusion processes we mean the processes governed by a generalized diiusion equation which generates all L evy stable probability distributions with index (0 < 2), including the two symmetric most popular laws, Cauchy (= 1) and Gauss (= 2). This generalized equation is obtained from the standard linear diiusion equation by replacing the second-order space d...

An Empirical likelihood Method in Mixture Models with Incomplete Classifications

In studying the relationship between a binary variable and a covariate, it is very common that the value of the binary variable is missing for some observations, and subsequently make those observations uncategorised. In this paper we show that the uncategorised data can be treated as auxiliary information as in survey sampling literature. We establish a framework of parametric and nonparametri...