发帖
雷达卡
摘要翻译：
我们试图利用非广泛的统计数据，对推动市场价格变化的相互作用的多投资者动态进行微观建模。价格变化的统计量可以用非广泛统计量的学生t分布和幂律分布很好地拟合。因此，我们推导了基于非广泛统计的互动投资者模型，该模型描述了过度需求和价格形成。
---
英文标题：
《Interacting Many-Investor Models, Opinion Formation and Price Formation
with Non-extensive Statistics》
---
作者：
Fredrick Michael
---
最新提交年份：
2010
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
---
英文摘要：
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.
---
PDF链接：
https://arxiv.org/pdf/1004.1804
京公网安备 11010802022788号
