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We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…
This paper develops a nonparametric statistical model of wealth distribution that imposes little structure on the fluctuations of household wealth. In this setting, we use new techniques to obtain a closed-form household-by-household…
We present a detailed description of the essentially entropic lattice Boltzmann model. The entropic lattice Boltzmann model guarantees unconditional numerical stability by iteratively solving the nonlinear entropy evolution equation. In…
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,…
The extension of thermodynamic principles to active matter remains a challenge due to the non-equilibrium nature inherent to active systems. In this study, we introduce a framework to assess entropy in our minimal macroscopic experiment…
In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing…
Transfer entropy measures directed information flow in time series, and it has become a fundamental quantity in applications spanning neuroscience, finance, and complex systems analysis. However, existing estimation methods suffer from the…
We generate the fractional Poisson process by subordinating the standard Poisson process to the inverse stable subordinator. Our analysis is based on application of the Laplace transform with respect to both arguments of the evolving…
The Laplace transform is a widely used tool in the study of probability distributions, often allowing for a probability density functions and distribution functions simpler determination and being a moments generating function. In this…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
We look at the meaning of 'relaxation' in the wealth exchange models that are recently proposed in Econophysics to interpret the wealth distributions. To quantify and characterise the process of relaxation, we define an appropriate quantity…
The increasing reliance on ML models in high-stakes tasks has raised a major concern on fairness violations. Although there has been a surge of work that improves algorithmic fairness, most of them are under the assumption of an identical…
We study the properties of nonequilibrium systems modelled as spin models without defined Hamiltonian as the majority voter model. This model has transition probabilities that do not satisfy the condition of detailed balance. The lack of…
We present a simplified model for the exploitation of finite resources by interacting agents, where each agent receives a random fraction of the available resources. An extremal dynamics ensures that the poorest agent has a chance to change…
We investigate the unbiased model for money exchanges with collective debt limit: agents give at random time a dollar to one another as long as they have at least one dollar or they can borrow a dollar from a central bank if the bank is not…
In this paper, from the structural perspective, we propose a new stability analysis approach for the consensus of linear multi-agent systems. Different from the general tools: the Laplacian matrix based method and the Lyapunov's method,…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
We develop a mean-field theory of the growth, exchange and distribution (GED) model introduced by Kang et al. (preceding paper) that accurately describes the phase transition in the limit that the number of agents $N$ approaches infinity.…
Information theory allows us to investigate information processing in neural systems in terms of information transfer, storage and modification. Especially the measure of information transfer, transfer entropy, has seen a dramatic surge of…
We consider the asymmetric random average process which is a one-dimensional stochastic lattice model with nearest neighbour interaction but continuous and unbounded state variables. First, the explicit functional representations, so-called…