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Market price simulator based on analog electrical circuit

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  • Aki-Hiro Sato
  • Hideki Takayasu

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.

Suggested Citation

  • Aki-Hiro Sato & Hideki Takayasu, 2001. "Market price simulator based on analog electrical circuit," Papers cond-mat/0104318, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0104318
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    References listed on IDEAS

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    1. Bak, P. & Paczuski, M. & Shubik, M., 1997. "Price variations in a stock market with many agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 430-453.
    2. Sato, Aki-Hiro & Takayasu, Hideki, 1998. "Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 250(1), pages 231-252.
    3. Deutsch, J.M., 1994. "Probability distributions for one component equations with multiplicative noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 208(3), pages 433-444.
    4. Takayasu, H. & Takayasu, M., 1999. "Critical fluctuations of demand and supply," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 24-29.
    5. Thomas Lux & Michele Marchesi, 1999. "Scaling and criticality in a stochastic multi-agent model of a financial market," Nature, Nature, vol. 397(6719), pages 498-500, February.
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