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We propose a simple dynamical model of wealth evolution. The invariant distributions are of Pareto type and are dynamically stable as conjectured by Pareto.
We discuss a possibility of deriving an H-theorem for nonlinear discrete time evolution equation that describes random wealth exchanges. In such kinetic models economical agents exchange wealth in pairwise collisions just as particles in a…
Statistical system models provide the basis for the examination of various sorts of distributions. Classification distributions are a very common and versatile form of statistics in e.g. real economic, social, and IT systems. The…
We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…
What is the best macroprudential regulation when households differ in their exposure to profits from the financial sector? To answer the question, I study a real business cycle model with household heterogeneity and market incompleteness.…
In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that…
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved so they can be applied in applications such as optimal…
Using the superstatistics method, we propose an extension of the random matrix theory to cover systems with mixed regular-chaotic dynamics. Unlike most of the other works in this direction, the ensembles of the proposed approach are basis…
The dynamics of wealth distribution plays a critical role in the economic market, hence an understanding of its nonequilibrium statistical mechanics is of great importance to human society. For this aim, a simple and efficient…
Galaxies and clusters distributions show two major properties: (i) the positions of galaxies and clusters are characterized by a power law distribution indicating properties with respect to their positions. (ii) The distribution of masses…
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first set of simulations, correctly…
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior),…
We present an approach to model-based hierarchical clustering by formulating an objective function based on a Bayesian analysis. This model organizes the data into a cluster hierarchy while specifying a complex feature-set partitioning that…
This paper studies the optimal extraction policy of an oil field as well as the efficient taxation of the revenues generated. Taking into account the fact that the oil price in worldwide commodity markets fluctuates randomly following…
Based on an invariant embedding principle for the backscattering function we calculate the electron emission yield for metal surfaces at very low electron impact energies. Solving the embedding equation within a quasi-isotropic…
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the transfer of capital between distinct…
We describe a new method for evaluating Bayes factors. The key idea is to introduce a hypermodel in which the competing models are components of a mixture distribution. Inference for the mixing probabilities then yields estimates of the…
We introduce a novel linear transport equation that models the evolution of a one-particle distribution subject to free transport and two distinct scattering mechanisms: one affecting the particle's speed and the other its direction. These…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…