Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.physa.2013.05.008
Title: Statistical microeconomics
Authors: Baaquie, B.E. 
Keywords: Econophysics
Issue Date: 1-Oct-2013
Citation: Baaquie, B.E. (2013-10-01). Statistical microeconomics. Physica A: Statistical Mechanics and its Applications 392 (19) : 4400-4416. ScholarBank@NUS Repository. https://doi.org/10.1016/j.physa.2013.05.008
Abstract: A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an independent random variable: all prices and quantities are considered to be stochastic processes, with the observed market prices being a random sample of the stochastic prices. The dynamics of market prices is determined by an action functional and, for concreteness, a specific model is proposed. The model can be calibrated from the unequal time correlation of the market commodity prices. A perturbation expansion for the correlation functions is defined in powers of the inverse of the total budget of the aggregate consumer and the propagator for the market prices is evaluated. © 2013 Elsevier B.V. All rights reserved.
Source Title: Physica A: Statistical Mechanics and its Applications
URI: http://scholarbank.nus.edu.sg/handle/10635/98020
ISSN: 03784371
DOI: 10.1016/j.physa.2013.05.008
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