Excess Demand Financial Market Model

Details Excess Demand Financial Market Model Excess Demand Financial Market Model

2002-07-16

arxiv.org/abs/cond-mat/0207376v1

Physics

Condensed Matter

Statistical Mechanics

Scientific paper

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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