Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
Trading and Market Microstructure
2010-04-14 v2 Statistical Finance
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.
Keywords
Cite
@article{arxiv.1004.1804,
title = {Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics},
author = {Fredrick Michael},
journal= {arXiv preprint arXiv:1004.1804},
year = {2010}
}
Comments
10 pages, no figures. Written 2001-2002, revised 2008, submitted 2010. Typos corrected vr. 2.