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arXiv · 1004.1804

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

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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Fredrick Michael. 2010-04-13. Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics. https://arxiv.org/abs/1004.1804

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