Multiple commodities in statistical microeconomics: Model and market

Belal E. Baaquie, Miao Yu and Xin Du

Physica A: Statistical Mechanics and its Applications, 2016, vol. 462, issue C, 912-929

Abstract: A statistical generalization of microeconomics has been made in Baaquie (2013). In Baaquie et al. (2015), the market behavior of single commodities was analyzed and it was shown that market data provides strong support for the statistical microeconomic description of commodity prices. The case of multiple commodities is studied and a parsimonious generalization of the single commodity model is made for the multiple commodities case. Market data shows that the generalization can accurately model the simultaneous correlation functions of up to four commodities. To accurately model five or more commodities, further terms have to be included in the model. This study shows that the statistical microeconomics approach is a comprehensive and complete formulation of microeconomics, and which is independent to the mainstream formulation of microeconomics.

Keywords: Path integral; Statistical microeconomics; Action functional; Commodities; Market (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:462:y:2016:i:c:p:912-929

DOI: 10.1016/j.physa.2016.06.102

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