Random Walks - Paradoxes
Purpose
Intuition is a poor guide to the stats, especially relating to random walks. Lets see how it goes. Generate 100000 paths of 200 sequence length .Last Visit since 0
> M <- 200
> N <- 1e+05
> realizations <- matrix(data = rnorm(M * N), ncol = N)
> results <- vector()
> for (i in seq_along(realizations[1, ])) {
+ x <- cumsum(sign(realizations[, i]))
+ temp <- max(which(x == 0))
+ results <- c(results, temp)
+ }
> x <- seq(0.01, 0.99, 0.01)
> y <- 1/(pi * sqrt(x * (1 - x)))
> par(mfrow = c(1, 2))
> hist(results/M, prob = T, main = "")
> plot(x, y, type = "l") |

You might have assumed that the last visit would be somewhere near 100.. But intuition is a bad thing in random walks. The resulting distribution is an arc sine distribution.
The fraction of the time the particle spends on one side.
Again intuition is a wrong guide.
> results <- vector()
> for (i in seq_along(realizations[1, ])) {
+ x <- cumsum(sign(realizations[, i]))
+ temp <- length(which(x > 0))/length(x)
+ results <- c(results, temp)
+ }
> par(mfrow = c(1, 1))
> hist(results/M, prob = T, main = "") |

Sign Changes
Here is another paradox, the probability that there will be exactly r sign changes…If I toss 200 times a coin, you would expect atleast 100 sign changes if you do it million times.again intuition is against the simulation result Look at the result.
> results <- vector()
> i <- 1
> for (i in seq_along(realizations[1, ])) {
+ x <- (cumsum((realizations[, i])))
+ t <- length(x)
+ temp <- length(which(x[1:(t - 1)] * x[2:t] < 0))
+ results <- c(results, temp)
+ }
> par(mfrow = c(1, 1))
> hist(results, prob = T, main = "") |
