haku: @indexterm RANDOM WALKS / yhteensä: 34
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| Tekijä: | Chun, Y. |
| Otsikko: | Rank-based selection strategies for the random walk process |
| Lehti: | European Journal of Operational Research
1997 : JAN 24, VOL. 96:2, p. 417-427 |
| Asiasana: | STRATEGY OPERATIONAL RESEARCH RANDOM WALKS |
| Kieli: | eng |
| Tiivistelmä: | In many decision situations such as hiring a secretary, selling an asset, or seeking a job, the value of each offer, applicant or choice is assumed to be an independent identically distributed random variable. In this paper, the author considers a special case where the observations are auto-correlated as the random walk model for stock prices. For a given random walk process of n observation the author explicitly computes the probability that the j-th observation in the sequence is the maximum or minimum among all n observations. |
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