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Fluctuation theorems are a class of equalities that express universal properties of the probability distribution of a fluctuating path functional such as heat, work or entropy production over an ensemble of trajectories during a…
A mechanism is proposed for the appearance of power law distributions in various complex systems. It is shown that in a conservative mechanical system composed of subsystems with different numbers of degrees of freedom a robust power-law…
Older male workers exhibit diverse retirement behaviors across occupations and respond differently to policy changes, influenced significantly by the part-time penalty-wage reduction faced by part-time workers compared to their full-time…
A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…
Systems that evolve towards a state from which they cannot depart are common in nature. But the fluctuation-dissipation theorem, a fundamental result in statistical mechanics, is mainly restricted to systems near-stationarity. In processes…
In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are…
One dimensional stylized model taking into account spatial activity of firms with uniformly distributed customers is proposed. The spatial selling area of each firm is defined by a short interval cut out from selling space (large interval).…
The emergence of labor division in multi-agent system is analyzed by the method of statistical physics. Considering a system consists of N homogeneous agents. Their behaviors are determined by the returns from their production. Using the…
The FAO-GAEZ productivity data are widely used in Economics. However, the empirical literature rarely discusses measurement error. We use two proxies to derive analytical bounds around the effect of agricultural productivity in a setting…
Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the equilibrium properties of the model with constant global…
Pareto distributions are widely used models in economics, finance and actuarial sciences. As a result, a number of goodness-of-fit tests have been proposed for these distributions in the literature. We provide an overview of the existing…
A growing body of research documents that the size and growth of an industry in a place depends on how much related activity is found there. This fact is commonly referred to as the "principle of relatedness". However, there is no consensus…
Recent advances in extreme value theory have established $\ell$-Pareto processes as the natural limits for extreme events defined in terms of exceedances of a risk functional. Here we provide methods for the practical modelling of data…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
The field of performative prediction had its beginnings in 2020 with the seminal paper "Performative Prediction" by Perdomo et al., which established a novel machine learning setup where the deployment of a predictive model causes a…
This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to personal income in the USA (chapter 6). We first…
Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most popular approach in extreme value statistics. This method typically requires high thresholds in order for the (G)PD to fit…
Arrival processes to service systems often display fluctuations that are larger than anticipated under the Poisson assumption, a phenomenon that is referred to as overdispersion. Motivated by this, we analyze a class of discrete stochastic…
We show that there is a common mode of origin for the power laws observed in two different models: (i) the Pareto law for the distribution of money among the agents with random saving propensities in an ideal gas-like market model and (ii)…
The power law is useful in describing count phenomena such as network degrees and word frequencies. With a single parameter, it captures the main feature that the frequencies are linear on the log-log scale. Nevertheless, there have been…