Quantum Technology for Economists by Isaiah Hull & Or Sattath & Eleni Diamanti & Göran Wendin

Author:Isaiah Hull & Or Sattath & Eleni Diamanti & Göran Wendin
Language: eng
Format: epub
ISBN: 9783031507809
Publisher: Springer Nature Switzerland

3.1.12 Random Number Generation

Random numbers are frequently used in economics in simulation exercises and estimation routines. For most research applications, it is only important that the numbers generated satisfy statistical test requirements and can be reproduced. For this reason, research applications in economics and finance typically employ random number generators that come with common statistical packages. These are typically pseudo-random number generators (PRNGs) that do not use physical or “true” sources of randomness.

A commonly used type of PRNG is the family of linear congruential generators introduced by Lehmer (1951). As described in Herrero-Collantes and Garcia-Escartin (2017), these use the recursive formula shown in Eq. (3.44) to produce numbers that appear to be drawn from a uniform distribution:

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