TSCOIN(1) TSCOIN(1)
NAME
tscoin - generate an unfair coin toss time series
SYNOPSIS
tscoin [-b n] [-f fraction] [-i value] [-p probability] [-t]
[-v] number
DESCRIPTION
Tscoin is for generating brownian noise, with unfair bias, and cumula-
tive sum-generates a time series. The idea is to produce a 1/f squared
power spectrum distribution by running a cumulative sum on white noise.
The program accepts a an unfair bias and a wager factor. See "Fractals,
Chaos, Power Laws," Manfred Schroeder, W. H. Freeman and Company, New
York, New York, 1991, ISBN 0-7167-2136-8, pp 128, pp 151.
The discreet time formula is:
x[t] = x[t - 1] + f * R * x[t - 1]
where f is the fraction of the capital to be wagered, and R is a uni-
form random deviate between 0.0 and 1.0, with the mean offset appropri-
ately to provide a Shannon probability, P. For the logistic, function,
the discreet time formula is:
x[t] = x[t - 1] + f * R * x[t - 1] + n * x[t - 1]^2
Note: these programs use the following functions from other references:
ran1, which returns a uniform random deviate between
0.0 and 1.0. See "Numerical Recipes in C: The Art of
Scientific Computing," William H. Press, Brian
P. Flannery, Saul A. Teukolsky, William T. Vetterling,
Cambridge University Press, New York, 1988, ISBN
0-521-35465-X, page 210, referencing Knuth.
gasdev, which returns a normally distributed deviate
with zero mean and unit variance, using ran1 () as the
source of uniform deviates. See "Numerical Recipes in
C: The Art of Scientific Computing," William H. Press,
Brian P. Flannery, Saul A. Teukolsky, William
T. Vetterling, Cambridge University Press, New York,
1988, ISBN 0-521-35465-X, page 217.
gammln, which returns the log of the results of the
gamma function. See "Numerical Recipes in C: The Art
of Scientific Computing," William H. Press, Brian
P. Flannery, Saul A. Teukolsky, William T. Vetterling,
Cambridge University Press, New York, 1988, ISBN
0-521-35465-X, page 168.
OPTIONS
-b n Logistic nonlinear term, x(t) = x(t - 1) * (m - n * x(t - 1)).
-f fraction
Fraction of reserves to be wagered, (0 <= fraction <= 1)
-i value
Initial value of cash reserves
-p probability
Shannon probability, (0.5 <= probability <= 1.0)
-t Sample's time will be included in the output time series.
-v Print the version and copyright banner of the program.
number Number of data points in the output time series.
WARNINGS
There is little or no provision for handling numerical exceptions.
SEE ALSO
tsderivative(1), tshcalc(1), tshurst(1), tsintegrate(1), tslogre-
turns(1), tslsq(1), tsnormal(1), tsshannon(1), tsblack(1), tsbrown-
ian(1), tsdlogistic(1), tsfBm(1), tsfractional(1), tsgaussian(1), tsin-
tegers(1), tslogistic(1), tspink(1), tsunfairfractional(1), tswhite(1),
tscoin(1), tsunfairbrownian(1), tsfraction(1), tsshannonmax(1),
tschangewager(1), tssample(1), tsrms(1), tscoins(1), tsavg(1),
tsXsquared(1), tsstockwager(1), tsshannonwindow(1), tsmath(1), tsavg-
window(1), tspole(1), tsdft(1), tsbinomial(1), tsdeterministic(1),
tsnumber(1), tsrmswindow(1), tsshannonstock(1), tsmarket(1),
tsstock(1), tsstatest(1), tsunfraction(1), tsshannonaggregate(1), tsin-
stant(1), tsshannonvolume(1), tsstocks(1), tsshannonfundamental(1),
tstrade(1), tstradesim(1), tsrunlength(1), tsunshannon(1), tsroot-
mean(1), tsrunmagnitude(1), tskurtosis(1), tskurtosiswindow(1), tsroot-
meanscale(1), tsscalederivative(1), tsgain(1), tsgainwindow(1)
tscauchy(1), tslognormal(1), tskalman(1), tsroot(1), tslaplacian(1)
DIAGNOSTICS
Error messages for incompatible arguments, failure to allocate memory,
inaccessible files, and opening and closing files.
AUTHORS
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A license is hereby granted to reproduce this software source code and
to create executable versions from this source code for personal,
non-commercial use. The copyright notice included with the software
must be maintained in all copies produced.
THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES
WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF
MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE. THE
AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE
INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY.
Copyright (c) 1994-2006, John Conover, All Rights Reserved.
Comments and/or bug reports should be addressed to:
john@email.johncon.com (John Conover)
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January 17, 2006 TSCOIN(1)