Related papers: Modeling wealth distribution in growing markets
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
Cooperation between individuals is emergent in all parts of society, yet mechanistic reasons for this emergence is ill understood in the literature. A specific example of this is insurance. Recent work has, though, shown that assuming the…
The distribution of wealth in the Hungarian medieval aristocratic society is reported and studied. The number of serf families belonging to a noble is taken as a measure of the corresponding wealth. Our results reveal the power-law nature…
A model of distribution of the wealth in a society based on the properties of complex networks has been proposed. The wealth is interpreted as a consequence of communication possibilities and proportional to the number of connections…
Under conditions of market equilibrium, the distribution of capital income follows a Pareto power law, with an exponent that characterizes the given equilibrium. Here, a simple taxation scheme is proposed such that the post-tax capital…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
We look at how asset exchange models can be mapped to random iterated function systems (IFS) giving new insights into the dynamics of wealth accumulation in such models. In particular, we focus on the "yard-sale" (winner gets a random…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
Classical rich-get-richer models have found much success in being able to broadly reproduce the statistics and dynamics of diverse real complex systems. These rich-get-richer models are based on classical urn models and unfold step-by-step…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
The distribution of gross earnings of movies released each year show a distribution having a power-law tail with Pareto exponent $\alpha \simeq 2$. While this offers interesting parallels with income distributions of individuals, it is also…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
Consider discrete-time linear distributed averaging dynamics, whereby agents in a network start with uncorrelated and unbiased noisy measurements of a common underlying parameter (state of the world) and iteratively update their estimates…
Wealth inequality remains a critical socioeconomic challenge, driven by systemic dynamics and self-reinforcing mechanisms that amplify the economic imbalances. Simplified models from statistical physics provide valuable insights into the…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We develop original models to study interacting agents in financial markets and in social networks. Within these models randomness is vital as a form of shock or news that decays with time. Agents learn from their observations and learning…
Many models of market dynamics make use of the idea of wealth exchanges among economic agents. A simple analogy compares the wealth in a society with the energy in a physical system, and the trade between agents to the energy exchange…