Market price simulator based on analog electrical circuit

Aki-Hiro Sato and Hideki Takayasu

Papers from arXiv.org

Abstract: We constructed an analog electrical circuit which generates fluctuations in which probability density function has power law tails. In the circuit fluctuations with an arbitrary exponent of the power law can be obtained by adjusting the resistance. With this low cost circuit the random fluctuations which have the similar statistics to foreign exchang rates can be generated as fast as an expensive digital computer.

Date: 2001-04
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