The purpose of this article is to examine the efficiency of the Gulf Cooperation Council (GCC) stock markets of Saudi Arabia, the United Arab Emirates, Kuwait, Oman, Qatar, and Bahrain. We attempt to answer whether GCC stock markets are weak-form efficient individually or as a group by applying...

As the consequences of high volatile and time varying mean in the financial series, it causes behavioural changes in the stochastic trend is known as a structural break. The aim is to investigate the number of unknown structural breaks for the emerging market of S&P 500 indices which are listed...

Throughout the past 3 decades, the random walk model served as exchange rate forecasting benchmark to verify that a model is able to outperform a random process. However, its application as forecasting benchmark is contradictory. Rather than serving as a benchmark that explains exchange rate...

This paper extends the work in Elder and Serletis [Long memory in energy futures prices, Rev. Financial Econ., forthcoming, 2007] and Serletis et al. [Detrended fluctuation analysis of the US stock market, Int. J. Bifurcation Chaos, forthcoming, 2007] by re-examining the empirical evidence for...

In this article, we study some theoretical and technological problems with relation to multiple Brownian particles on networks. We are especially interested in the behavior of the first arriving Brownian particle when all the Brownian particles start out from the source s simultaneously and head...

We modeled tracer injection through highly fractured media by Random Walk Particle Tracking simulations, and observed that production curves for different R values (distance between injection and production wells) are similar to each other and can be scaled. Hence, if we define P(t) as a...

We study a simple microscopic model for the one-dimensional stochastic motion of a (non-)relativistic Brownian particle, embedded into a heat bath consisting of (non-)relativistic particles. The stationary momentum distributions are identified self-consistently (for both Brownian and heat bath...

We consider random walks Xn in Z+, obeying a detailed balance condition, with a weak drift towards the origin when Xn↗∞. We reconsider the equivalence in law between a random walk bridge and a 1+1 dimensional Solid-On-Solid bridge with a corresponding Hamiltonian. Phase diagrams are...

Spatial conformations of randomly charged polymers (polyampholytes (PAs)) strongly depend on their total (excess) charge Q. For Q larger (smaller) that some critical value the PA is expanded (collapsed). The transition between the collapsed and the expanded states is reminiscent of the Rayley...