Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
نویسنده
چکیده
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.
منابع مشابه
Opinion dynamics and bounded confidence: models, analysis and simulation
When does opinion formation within an interacting group lead to consensus, polarization or fragmentation? The article investigates various models for the dynamics of continuous opinions by analytical methods as well as by computer simulations. Section 2 develops within a unified framework the classical model of consensus formation, the variant of this model due to Friedkin and Johnsen, a time-d...
متن کاملOpinion Formation Games with Aggregation and Negative Influence
We study continuous opinion formation games with aggregation aspects. In many domains, expressed opinions of people are not only affected by local interaction and personal beliefs, but also by influences that stem from global properties of the opinions in the society. To capture the interplay of such global and local effects, we propose a model of opinion formation games with aggregation, where...
متن کاملCan Extremism Guarantee Pluralism?
Many models have been proposed to explain the opinion formation in a group of individuals; most of these models study the opinion propagation as the interaction between nodes/agents in a social network. The opinion formation is a very complex process and a realistic model should also take into account the important feedbacks that the opinions of the agents have on the structure of the social ne...
متن کاملCellular Automata based Artificial
Rational investor hypothesis, efficient markets hypothesis(EMH), and random walk of yield rate are three basic concepts of modern capital market theory. However, it could not be proved that real capital markets are full with rational investors. The theory, which regards the price movement of capital market as random walks, and regards the yield time series as a normal distribution, is not suppo...
متن کاملAnalysis of the Behavior of Amateur and Professional Investors’ Impact on the Formation of Bubbles in Tehran Stock Market
The presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. In this paper, first, the formation of bubbles is tested using the new unit root test known as Phillips test (Generalized Sup ADF test) for 50 companies in the Tehran Stock Exchange...
متن کامل