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Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
Many-Investor Models Opinion Formation Price Formation Non-extensive Statistics
2010/10/19
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...
Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
interacting many-investor dynamics Price Formation Non-extensive Statistics
2010/4/28
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...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information cost of capital
2009/5/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multip...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information
2010/12/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multipl...