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Statistical Microeconomics

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  • Belal E. Baaquie
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    Abstract

    A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an independent random variable: all prices and quantities are considered to be stochastic processes, with the observed market prices being a random sample of the stochastic prices. The dynamics of market prices is determined by an action functional and, for concreteness, a specific model is proposed. The model can be calibrated from the unequal time correlation of the market commodity prices. A perturbation expansion for the correlation functions is defined in powers of the inverse of the total budget of the aggregate consumer and the propagator for the market prices is evaluated.

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    File URL: http://arxiv.org/pdf/1211.7172
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    Paper provided by arXiv.org in its series Papers with number 1211.7172.

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    Date of creation: Nov 2012
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    Handle: RePEc:arx:papers:1211.7172

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    1. Mas-Colell, Andreu & Whinston, Michael D. & Green, Jerry R., 1995. "Microeconomic Theory," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195102680, October.
    2. Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2009. "Microeconomics of the ideal gas like market models," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 388(19), pages 4151-4158.
    3. Coyle, David & DeBacker, Jason & Prisinzano, Richard, 2012. "Estimating the supply and demand of gasoline using tax data," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 195-200.
    4. Mikhail Golosov & Robert E. Lucas Jr., 2007. "Menu Costs and Phillips Curves," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 115, pages 171-199.
    5. Baaquie, Belal E. & Cao, Yang & Lau, Ada & Tang, Pan, 2012. "Path integral for equities: Dynamic correlation and empirical analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(4), pages 1408-1427.
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