Related papers: Productivity Dispersion: Facts, Theory, and Implic…
When aggregating Subjective Expected Utility preferences, the Pareto principle leads to an impossibility result unless the individuals have a common belief. This paper examines the source of this impossibility in more detail by considering…
L-shape probability distributions are extremely non-Gaussian distributions that have been surprisingly successful in describing the frequency of occurrence of extreme events, ranging from stock market crashes and natural disasters, the…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
A common expectation is that career productivity peaks rather early and then gradually declines with seniority. But whether this holds true is still an open question. Here we investigate the productivity trajectories of almost 8,500…
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a…
This paper reports the results of a series of field experiments designed to investigate how peer effects operate in a real work setting. Workers were hired from an online labor market to perform an image-labeling task and, in some cases, to…
We investigate the containment of epidemic spreading in networks from a normative point of view. We consider a susceptible/infected model in which agents can invest in order to reduce the contagiousness of network links. In this setting, we…
We propose a mean functional which exists for any probability distributions, and which characterizes the Pareto distribution within the set of distributions with finite left endpoint. This is in sharp contrast to the mean excess plot which…
In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when…
Both theoretical and applied economics have a great deal to say about many aspects of the firm, but the literature on the extinctions, or demises, of firms is very sparse. We use a publicly available data base covering some 6 million firms…
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions.…
When assessing the impact of extreme events, it is often not just a single component, but the combined behaviour of several components which is important. Statistical modelling using multivariate generalized Pareto (GP) distributions…
Many economic models feature monotone Markov dynamics on state spaces that may be noncompact. Establishing existence, uniqueness, and stability of stationary distributions in such settings has required a patchwork of sufficient conditions,…
Labor productivity in developed countries is analyzed and modeled. Modeling is based on our previous finding that the rate of labor force participation is a unique function of GDP per capita. Therefore, labor productivity is fully…
Personal income distributions in Japan are analyzed empirically and a simple stochastic model of the income process is proposed. Based on empirical facts, we propose a minimal two-factor model. Our model of personal income consists of an…
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic…
We introduce a new analytical framework for modelling degree sequences in individual communities of real-world networks, e.g., citations to papers in different fields. Our work is inspired by a recent modification of the Price's model,…
We analyze how firms should design wage contracts when workers collaborate in teams and effort costs depend on colleagues through a peer network. Performance-based compensation generates incentives that cascade through the organization,…
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revisit this results and use standard tests as well as develop a…
The statement of the mean field approximation theorem in the mean field theory of Markov processes particularly targets the behaviour of population processes with an unbounded number of agents. However, in most real-world engineering…