This paper examines the weak-form market efficiency of twenty-seven emerging markets. The sample encompasses three markets in Africa (Egypt, Morocco and South Africa), ten in Asia (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand), four in...

This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or...

The hitting time, huv, of a random walk on a finite graph G, is the expected time for the walk to reach vertex v given that it started at vertex u. We present two methods of calculating the hitting time between vertices of finite graphs, along with applications to specific classes of graphs,...

In many real-life networks, both the scale-free distribution of degree and small-world behavior are important features. There are many random or deterministic models of networks to simulate these features separately. However, there are few models that combine the scale-free effect and...

This paper examines the efficiency of Indian stock market by using daily closing price of BSE SENSEX from August 2002 to March 2011. The study has used unit root test, autocorrelation test, runs test, GARCH (symmetric) EGARCH and TARCH (asymmetric) models to determine the random walk behaviour...

We study by a Markov matrix analysis of the equivalent random walks the dynamic properties of continuous media consisting of both correlated and uncorrelated equal-size spheres. We employ a blind ant random-walk model using the rule that a walker jumps among centers of the directly connected...

Recently, we pointed out that on a class on non exactly decimable fractals two different parameters are required to describe diffusive and vibrational dynamics. This phenomenon we call dynamical dimension splitting is related to the lack of exact decimation invariance for these structures, which...

We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in the language of nonstandard analysis (Integration over finite sets, F. & M. Diener (Eds):...

Для общества, состоящего из двух сплоченных групп близкой численности, изучена социальная динамика, определяемая голосованием в стохастической среде. Получены...