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

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  • Fredrick Michael

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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  • Fredrick Michael, 2010. "Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics," Papers 1004.1804, arXiv.org, revised Apr 2010.
    • Handle: RePEc:arx:papers:1004.1804
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