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

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

2010-04-11

arxiv.org/abs/1004.1804v2

Economy

Quantitative Finance

Trading and Market Microstructure

10 pages, no figures. Written 2001-2002, revised 2008, submitted 2010. Typos corrected vr. 2.

Scientific paper

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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