Publication:
Statistical microeconomics and commodity prices: theory and empirical results
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Baaquie, Belal E. | |
| dc.date.accessioned | 2017-07-20T03:04:36Z | |
| dc.date.available | 2017-07-20T03:04:36Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | A review is made of the statistical generalization of microeconomics by Baaquie (Baaquie 2013 Phys. A 392, 4400-4416. (doi:10.1016/j.physa.2013.05.008)), 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 given by the unequal time correlation function and is modelled by the Feynman path integral based on an action functional. The correlation functions of the model are defined using the path integral. The existence of the action functional for commodity prices that was postulated to exist in Baaquie (Baaquie 2013 Phys. A 392, 4400-4416. (doi:10.1016/j.physa.2013.05.008)) has been empirically ascertained in Baaquie et al. (Baaquie et al. 2015 Phys. A 428, 19-37. (doi:10.1016/j.physa.2015.02.030)). The model's action functionals for different commodities has been empirically determined and calibrated using the unequal time correlation functions of the market commodity prices using a perturbation expansion (Baaquie et al. 2015 Phys. A 428, 19-37. (doi:10.1016/j.physa.2015.02.030)). Nine commodities drawn from the energy, metal and grain sectors are empirically studied and their auto-correlation for up to 300 days is described by the model to an accuracy of R2>0.90 using only six parameters. | en_US |
| dc.identifier.citation | Baaquie, Belal E. (2016). Statistical microeconomics and commodity prices: theory and empirical results. Philosophical Transanctions of the Royal Society, 374, pp. 1-21. | en_US |
| dc.identifier.doi | doi:10.1098/rsta.2015.0104 | |
| dc.identifier.uri | http://rsta.royalsocietypublishing.org/content/374/2058/20150104 | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/2603 | |
| dc.language | English | |
| dc.language.iso | en | en_US |
| dc.publisher | Royal Society | en_US |
| dc.rights | 2016. Royal Society | |
| dc.source | SEDONA | |
| dc.subject | Statistical microeconomics | en_US |
| dc.subject | Commodity prices | en_US |
| dc.subject | Econophysics | en_US |
| dc.subject | Path integral | en_US |
| dc.title | Statistical microeconomics and commodity prices: theory and empirical results | 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 | Economics | en_US |
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