Related papers: Introducing Chaos in Economic Gas-like Models
Recently research on bubble and its burst attract much interest of researchers in various field such as economics and physics. Economists have been regarding bubble as a disorder in prices. However, this research strategy has overlooked an…
This talk summarises what is currently understood about the phenomenon that has come to be known as {\it chaotic mixing}. The first part presents a concise statement as to what chaotic mixing actually is, and then explains why it should be…
The stable matching problem is a prototype model in economics and social sciences where agents act selfishly to optimize their own satisfaction, subject to mutually conflicting constraints. A stable matching is a pairing of adjacent…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
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 develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
Two kinetic exchange models are proposed to explore the dynamics of closed economic markets characterized by random exchanges, saving propensities, and collective transactions. Model I simulates a system where individual transactions occur…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…
We analyze the convergence to equilibrium in a family of Kac-like kinetic equations in multiple space dimensions. These equations describe the change of the velocity distribution in a spatially homogeneous gas due to binary collisions…
We study the collective behavior of interacting agents in a simple model of market economics originally introduced by N{\o}rrelykke and Bak. A general theoretical framework for interacting traders on an arbitrary network is presented, with…
Many recent models of trade dynamics use the simple idea of wealth exchanges among economic agents in order to obtain a stable or equilibrium distribution of wealth among the agents. In particular, a plain analogy compares the wealth in a…
The wide adoption of gas fired units and power-to-gas technology brings remarkable interdependency between natural gas and electricity infrastructures. This paper studies the equilibria of coupled gas and electricity energy markets driven…
Boltzmann-Gibbs distribution arises as the statistical equilibrium probability distribution of money among the agents of a closed economic system where random and undirected exchanges are allowed. When considering a model with uniform…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to…
The agent-based Yard-Sale model of wealth inequality is generalized to incorporate exponential economic growth and its distribution. The distribution of economic growth is nonuniform and is determined by the wealth of each agent and a…
The character of the time-asymptotic evolution of physical systems can have complex, singular behavior with variation of a system parameter, particularly when chaos is involved. A perturbation of the parameter by a small amount $\epsilon$…