Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics

Fredrick Michael

Papers from arXiv.org

Abstract: We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and power-law distributions of the nonextensive statistics. We therefore derive models of interacting investors that are based on the nonextensive statistics and which describe the excess demand and formation of price.

Date: 2010-04, Revised 2010-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1004.1804

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