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Excess Demand Financial Market Model

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

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Fredrick Michael, John Evans, M. D. Johnson. 2002-07-16. Excess Demand Financial Market Model. https://arxiv.org/abs/cond-mat/0207376

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