Publication:
Empirical microeconomics action functionals
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Belal Ehsan Baaquie | |
| dc.contributor.author | Xin Du | |
| dc.contributor.author | Winson Tanputraman | |
| dc.date.accessioned | 2017-07-20T03:04:35Z | |
| dc.date.available | 2017-07-20T03:04:35Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | A statistical generalization of microeconomics has been made in Baaquie (2013), where the market price of every traded commodity, at each instant of time, is considered to be an independent random variable. The dynamics of commodity market prices is modeled by an action functional and the focus of this paper is to empirically determine the action functionals for different commodities. The correlation functions of the model are defined using a Feynman path integral. The model is calibrated using the unequal time correlation of the market commodity prices as well as their cubic and quartic moments using a perturbation expansion. The consistency of the perturbation expansion is verified by a numerical evaluation of the path integral. Nine commodities drawn from the energy, metal and grain sectors are studied and their market behavior is described by the model to an accuracy of over 90% using only six parameters. The paper empirically establishes the existence of the action functional for commodity prices that was postulated to exist in Baaquie (2013) | en_US |
| dc.identifier.citation | Baaquie, B. E., Xin, D., & Tanputraman, W. (2015). Empirical microeconomics action functionals. Physica A, 428, 19-37. https://doi.org/10.1016/j.physa.2015.02.030 | en_US |
| dc.identifier.doi | https://doi.org/10.1016/j.physa.2015.02.030 | |
| dc.identifier.uri | https://ikr.inceif.org/handle/INCEIF/2580 | |
| dc.language | English | |
| dc.language.iso | eng | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | 2015. Elsevier | |
| dc.source | SEDONA | |
| dc.subject | Statistical microeconomics | en_US |
| dc.subject | Action functional | en_US |
| dc.subject | Potential | en_US |
| dc.title | Empirical microeconomics action functionals | en_US |
| dc.type | Journal Article | en_US |
| dlc.maintopic | Conventional finance | |
| dlc.subtopic | Economics | |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | en_US |
| ikr.topic.subtopic | Conventional finance::Economics | en_US |
| Appears in Collections |