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

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  • Fredrick Michael
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    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.

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    File URL: http://arxiv.org/pdf/1004.1804
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1004.1804.

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    Date of creation: Apr 2010
    Date of revision: Apr 2010
    Handle: RePEc:arx:papers:1004.1804

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    Web page: http://arxiv.org/

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