IDEAS home Printed from https://ideas.repec.org/p/new/wpaper/1912.html
   My bibliography  Save this paper

A Behavioral Foundation for Commonly Observed Distributions of Financial and Economic Data

Author

Listed:
  • Keith Blackwell

Abstract

This paper introduces a simple symmetric Quantal Response Statistical Equilibrium (QRSE) model that can fit many commonly observed distributions of Economic and Financial data including Laplace, Gaussian, Logistic, and Student’s T distributions. This paper also introduces the application of QRSE to a financial market setting. A QRSE market model uses joint probability distribution of asset returns and entropy constrained buy/sell decisions of investors to explain stylized facts we commonly observe in the distributions of asset returns and economic data such as fat-tails, excess peakedness, and skew. Using the simplified model, this paper extends the existing logic and understanding of QRSE in order to provide a behavioral explanation for these commonly observed distributions of data.

Suggested Citation

  • Keith Blackwell, 2019. "A Behavioral Foundation for Commonly Observed Distributions of Financial and Economic Data," Working Papers 1912, New School for Social Research, Department of Economics.
  • Handle: RePEc:new:wpaper:1912
    as

    Download full text from publisher

    File URL: http://www.economicpolicyresearch.org/econ/2019/NSSR_WP_122019.pdf
    File Function: First version, 2019
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Benjamin Patrick Evans & Mikhail Prokopenko, 2021. "A maximum entropy model of bounded rational decision-making with prior beliefs and market feedback," Papers 2102.09180, arXiv.org, revised May 2021.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:new:wpaper:1912. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Setterfield (email available below). General contact details of provider: https://edirc.repec.org/data/denewus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.