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This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
We study the statistics of records of a one-dimensional random walk of nsteps,starting from the origin, and in presence of a constant bias c. At each time-step the walker makes a random jump of lengt...
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it d...
Let (Bt)0tT be either a Bernoulli random walk or a Brownian motion with drift, and let Mt := max{Bs : 0  s  t}, 0  t  T. This paper solves the general optimal prediction problem sup 0T E[f(MT...
It has been documented that random walk outperforms most economic structural and time series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates. In this paper, we stu...
It has been documented that random walk outperforms most economic structural and time series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates.

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