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Market price simulator based on analog electrical circuit

  • Aki-Hiro Sato
  • Hideki Takayasu
Conference paper

Summary

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 exchange rates can be generated as fast as an expensive digital computer.

Key words

random multiplicative process power law foreign currency rate analog electrical circuit 

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Copyright information

© Springer Japan 2002

Authors and Affiliations

  • Aki-Hiro Sato
    • 1
  • Hideki Takayasu
    • 2
  1. 1.Department of Applied Mathematics and PhysicsKyoto UniversityKyotoJapan
  2. 2.Sony Computer Science LaboratoriesShinagawa-ku, TokyoJapan

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