Simulation and Analysis of a Power Law Fluctuation Generator
Recently, Sato, Takayasu and Sawada (2000) constructed an analog circuit able to generate a signal corresponding to a time series with fluctuations having a probability density function with a power law tail. The exponent of the power law can be arbitrarily fixed by tuning an appropriate resistance....
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| Autores principales: | , , |
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| Formato: | Libro Capitulo de libro |
| Lenguaje: | Inglés |
| Publicado: |
Springer, Tokyo
2002
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| Materias: | |
| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/130951 |
| Aporte de: |
| Sumario: | Recently, Sato, Takayasu and Sawada (2000) constructed an analog circuit able to generate a signal corresponding to a time series with fluctuations having a probability density function with a power law tail. The exponent of the power law can be arbitrarily fixed by tuning an appropriate resistance. In a sense it is the analog of a differential equation of the Langevin type including both multiplicative and additive noise. The authors claim that their circuit could be used in the near future as a simulator-generator of financial market fluctuations and consequently as a tool for risk estimations and forecasts. |
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