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Quantitative Finance · Glossaire

Qu'est-ce que « Allan deviation » ?

Definition 4.2 Networks, Hardware and Trading Infrastructure · Chapitre 4 — Time Synchronisation

The Allan deviation σy(τ)\sigma_y(\tau) of a clock is the root mean square of the change in its average fractional frequency between successive intervals of length τ\tau, divided by 2\sqrt2: σy2(τ)=12E[(yˉk+1−yˉk)2]\sigma_y^2(\tau) = \tfrac12 \E\bigl[(\bar y_{k+1} - \bar y_k)^2\bigr]. From phase samples xix_i spaced τ\tau apart it is σy2(τ)=E[(xi+2−2xi+1+xi)2]/(2τ2)\sigma_y^2(\tau) = \E\bigl[(x_{i+2} - 2x_{i+1} + x_i)^2\bigr] / (2\tau^2).

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