Excess Demand Financial Market Model
Statistical Mechanics
2008-12-02 v1 Trading and Market Microstructure
Abstract
Recently we reported on an application of the Tsallis non-extensive statistics to the S&P500 stock index. There we argued that the statistics are applicable to a broad range of markets and exchanges where anamolous (super) diffusion and 'heavy' tails of the distribution are present, as they are in the S&P500. We have characterized the statistics of the underlying security as non-extensive, and now we seek to generalize to the non-extensive statistics the excess demand models of investors that drive the price formation in a market.
Keywords
Cite
@article{arxiv.cond-mat/0207376,
title = {Excess Demand Financial Market Model},
author = {Fredrick Michael and John Evans and M. D. Johnson},
journal= {arXiv preprint arXiv:cond-mat/0207376},
year = {2008}
}