TSDLOGISTIC(1) TSDLOGISTIC(1)
NAME
tsdlogistic - discreet logistic function generator-generates a time
series
SYNOPSIS
tsdlogistic -a a -b b [-s value] [-t] [-v] number
DESCRIPTION
Tsdlogistic is for generating a discreet logistic function time series.
The idea is to iterate the function x(t) = x(t - 1) * (a + b * x(t -
1)). See "Chaos and Order in the Capital Markets," Edgar E. Peters,
John Wiley & Sons, New York, New York, 1991, ISBN 0-471-53372-6, pp
121.
As a simple set of examples:
tsdlogistic -a 2 -b -2 100
tsdlogistic -a 2.4 -b -2.4 100
tsdlogistic -a 3 -b -3 100
tsdlogistic -a 3.4495 -b -3.4495 100
tsdlogistic -a 3.544 -b -3.544 100
tsdlogistic -a 3.5688 -b -3.5688 100
tsdlogistic -a 3.5696 -b -3.5696 100
tsdlogistic -a 3.5699456 -b -3.5699456 100
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
-a a First parameter in the logistic equation.
-b b Second parameter in the logistic equation.
-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 TSDLOGISTIC(1)