Six currency combinations are used to study the comparative profitability of carry trade and a forecasting-based strategy. The results show that the forecasting-based strategy outperforms straight carry trade in terms of return and risk-adjusted return. The implication of these results is that...

This paper first reduces the problem of detecting structural breaks in a random walk to that of finding the best subset of explanatory variables in a regression model and then tailors various subset selection criteria to this specific problem. Of particular interest are those new criteria, which...

In an influential paper, Engel and West (2005) claim that the near random-walk behavior of nominal exchange rates is an equilibrium outcome of a variant of present-value models when economic fundamentals follow exogenous first-order integrated processes and the discount factor approaches one....

This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random...

Empirical mode decomposition (EMD) method can decompose any complicated data into finite ‘intrinsic mode functions’ (IMFs). In this paper, we use EMD method to analyze and discuss the structural properties of complex networks. A random-walk method is used to collect the data series of...

Axial Graphs are networks whose nodes are linear axes in urban space, and whose edges represent intersections of such axes. These graphs are used in urban planning and urban morphology studies. In this paper we analyse distance distributions between nodes in axial graphs, and show that these...

The jamming behavior of a single lane traffic model based on a cellular automaton approach is studied. Our investigations concentrate on the so-called VDR model which is a simple generalization of the well-known Nagel–Schreckenberg model. In the VDR model one finds a separation between a free...