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Excess Demand Financial Market Model

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  • Fredrick Michael
  • John Evans
  • M. D. Johnson

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.

Suggested Citation

  • Fredrick Michael & John Evans & M. D. Johnson, 2002. "Excess Demand Financial Market Model," Papers cond-mat/0207376, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0207376
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