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We present an agent-based model of microscopic wealth exchange in a dynamic network to study the topological features associated with economic inequality. The model evolves through two alternating processes, the conservative exchange of…
Transfer entropy provides a general tool for analyzing the magnitudes and directions---but not the \emph{kinds}---of information transfer in a system. We extend transfer entropy in two complementary ways. First, we distinguish…
An important class of economic models involve agents whose wealth changes due to transactions with other agents. Several authors have pointed out an analogy with kinetic theory, which describes molecules whose momentum and energy changes…
In this paper, we present a novel test for determining equality in distribution of matrix distributions. Our approach is based on the integral squared difference of the empirical Laplace transforms with respect to the noncentral Wishart…
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the influence of knowledge in the evolution of wealth in a system of agents which interact through the binary trades introduced in Cordier, Pareschi,…
We demonstrate that in the space of distributions operated on by lattice Boltzmann methods that there exists a vicinity of the equilibrium where collisions with entropy balance are possible and, at the same time, there exist an area of…
We review some approaches to the understanding of fluctuations in some models used to describe socio and economic systems. Our approach builds on the development of a simple Langevin equation that characterises stochastic processes. This…
We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
Transfer entropy is capable of capturing nonlinear source-destination relations between multi-variate time series. It is a measure of association between source data that are transformed into destination data via a set of linear…
In this article we study the behavior of a group of economic agents in the context of cooperative game theory, interacting according to rules based on the Potts Model with suitable modifications. Each agent can be thought of as belonging to…
The transfer entropy is a well-established measure of information flow, which quantifies directed influence between two stochastic time series and has been shown to be useful in a variety fields of science. Here we introduce the transfer…
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is…
We consider specification and inference for the stochastic scale of discretely-observed pure-jump semimartingales with locally stable L\'{e}vy densities in the setting where both the time span of the data set increases, and the mesh of the…
Simple agent based exchange models are a commonplace in the study of wealth distribution in an artificial economy. Generally, in a system that is composed of many agents characterized by their wealth and risk-aversion factor, two agents are…
Many flexible families of positive random variables exhibit non-closed forms of the density and distribution functions and this feature is considered unappealing for modelling purposes. However, such families are often characterized by a…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive the wealth distribution using discrete…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the evolution of wealth in a pure gambling process, where the entire sum of wealths of two agents is up for gambling, and randomly shared between the…
Transfer entropy is used to establish a measure of causal relationships between two variables. Symbolic transfer entropy, as an estimation method for transfer entropy, is widely applied due to its robustness against non-stationarity. This…