Related papers: Economic Models with Chaotic Money Exchange
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
Collective behavior of the complex socio-economic systems is heavily influenced by the herding, group, behavior of individuals. The importance of the herding behavior may enable the control of the collective behavior of the individuals. In…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
We study the behaviour of a Schelling-class system in which a fraction $f$ of spatially-fixed switching agents is introduced. This new model allows for multiple interpretations, including: (i) random, non-preferential allocation…
Previous work has shown that species interacting in an ecosystem and actors transacting in an economic context may have notable similarities in behavior. However, the specific mechanism that may underlie similarities in nature and human…
We present a new chaotic system of three coupled ordinary differential equations, limited to quadratic nonlinear terms. A wide variety of dynamical regimes are reported. For some parameters, chaotic reversals of the amplitudes are produced…
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…
We introduce a class of Kac-like kinetic equations on the real line, with general random collisional rules, which include as particular cases models for wealth redistribution in an agent-based market or models for granular gases with a…
The striking fractal geometry of strange attractors underscores the generative nature of chaos: like probability distributions, chaotic systems can be repeatedly measured to produce arbitrarily-detailed information about the underlying…
We provide an exact solution to the ideal-gas-like models studied in econophysics to understand the microscopic origin of Pareto-law. In these class of models the key ingredient necessary for having a self-organized scale-free steady-state…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
In this paper the chaotic properties of the TCP congestion avoidance mechanism are investigated. The analysis focuses on the origin of the complex behavior appearing in deterministic TCP/IP networks. From the traffic modeling point of view…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
The spectral properties of interacting strongly chaotic systems are investigated for growing interaction strength. A very sensitive transition from Poisson statistics to that of random matrix theory is found. We introduce a new random…
We analyze the ideal gas like models of markets and review the different cases where a `savings' factor changes the nature and shape of the distribution of wealth. These models can produce similar distribution of wealth as observed across…
We present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…
With the constant increase of the number of autonomous vehicles and connected objects, tools to understand and reproduce their mobility models are required. We focus on chaotic dynamics and review their applications in the design of…