On absence of steady state in the Bouchaud-M\'ezard network model
Statistical Mechanics
2019-08-01 v1 Mathematical Finance
Abstract
In the limit of infinite number of nodes (agents), the It\^o-reduced Bouchaud-M\'ezard network model of economic exchange has a time-independent mean and a steady-state inverse gamma distribution. We show that for a finite number of nodes the mean is actually distributed as a time-dependent lognormal and inverse gamma is quasi-stationary, with the time-dependent scale parameter.
Keywords
Cite
@article{arxiv.1704.02377,
title = {On absence of steady state in the Bouchaud-M\'ezard network model},
author = {Zhiyuan Liu and R. A. Serota},
journal= {arXiv preprint arXiv:1704.02377},
year = {2019}
}
Comments
6 pages, 4 figures