Abstract
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.
After a discussion on the stability conditions for multiplicative noise, we present an analysis of the power law fluctuation generator in connection with the electronic components and their corresponding parameters. A circuit simulation completes our study.
Partially supported by CONICET-Argentina and CICBA-Argentina.
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References
Horowitz P, Hill W(1980) The Art of Electronics. Cambridge University Press
National Semiconductor Co. Linear Databook (1982)
Sato A. Takayasu H, Sawada Y (2000) Power law fluctuation generator based on analog electrical circuit. Fractals 8:219–225
Schenzle A, Brand H (1979) Multiplicative stochastic processes in statistical physics Physical Review A20:1628
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© 2002 Springer Japan
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Fanchiotti, H., Canal, C.A.G., Martínez, N. (2002). Simulation and Analysis of a Power Law Fluctuation Generator. In: Takayasu, H. (eds) Empirical Science of Financial Fluctuations. Springer, Tokyo. https://doi.org/10.1007/978-4-431-66993-7_24
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DOI: https://doi.org/10.1007/978-4-431-66993-7_24
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-66995-1
Online ISBN: 978-4-431-66993-7
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