Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1004.1804.
Date of creation: Apr 2010
Date of revision: Apr 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-24 (All new papers)
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