Related papers: Econophysics: Empirical facts and agent-based mode…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
This review deals with several microscopic (``agent-based'') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch,…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Economies and societal structures in general are complex stochastic systems which may not lend themselves well to algebraic analysis. An addition of subjective value criteria to the mechanics of interacting agents will further complicate…
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…
Competition between varying ideas, people and institutions fuels the dynamics of socio-economic systems. Numerous analyses of the empirical data extracted from different financial markets have established a consistent set of stylized facts…
A brief overview of the models and data analyses of income, wealth, consumption distributions by the physicists, are presented here. It has been found empirically that the distributions of income and wealth possess fairly robust features,…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
This paper reviews recent attempts at modelling inequality of wealth as an emergent phenomenon of interacting-agent processes. We point out that recent models of wealth condensation which draw their inspiration from molecular dynamics have,…
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow…
This contribution discusses in what respect Econophysics may be able to contribute to the rebuilding of economics theory. It focuses on aggregation, individual vs collective learning and functional wisdom of the crowds.
We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main…
Bridging the gap between individual agent behavior and macroscopic societal patterns is a central challenge in the social sciences. In this work, we propose a solution to this problem via a kinetic theory formulation. We demonstrate that…
We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
We have used agent-based modeling as our numerical method to artificially simulate a dynamic real economy where agents are rational maximizers of an objective function of Cobb-Douglas type. The economy is characterised by heterogeneous…
The clarion call for causal reduction in the study of capital markets is intensifying. However, in self-referencing and open systems such as capital markets, the idea of unidirectional causation (if applicable) may be limiting at best, and…
Processes of mass communications in complicated social or sociobiological systems such as marketing, economics, politics, animal populations, etc. as a subject for the special scientific discipline - "mediaphysics" - are considered in its…
Computational models pervade all branches of the exact sciences and have in recent times also started to prove to be of immense utility in some of the traditionally 'soft' sciences like ecology, sociology and politics. This volume is a…
The law of proportionate growth simply states that the time dependent change of a quantity $x$ is proportional to $x$. Its applicability to a wide range of dynamic phenomena is based on various assumptions for the proportionality factor,…