Related papers: A Chaotic Approach to Market Dynamics
A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…
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…
A model of distribution of the wealth in a society based on the properties of complex networks has been proposed. The wealth is interpreted as a consequence of communication possibilities and proportional to the number of connections…
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most…
Why are human societies unstable? Theories based on the observation of recurring patterns in historical data indicate that economic inequality, as well as social factors are key drivers. So far, models of this phenomenon are more…
Chaotic systems arise naturally in Statistical Mechanics and in Fluid Dynamics. A paradigm for their modelization are smooth hyperbolic systems. Are there consequences that can be drawn simply by assuming that a system is hyperbolic? here…
We develop a framework based on microeconomic theory from which the ideal gas like market models can be addressed. A kinetic exchange model based on that framework is proposed and its distributional features have been studied by considering…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
We investigate the accumulated wealth distribution by adopting evolutionary games taking place on scale-free networks. The system self-organizes to a critical Pareto distribution (1897) of wealth $P(m)\sim m^{-(v+1)}$ with $1.6 < v <2.0$…
Here we define natural chaotic systems, like the earths weather and climate system, as chaotic systems which are open to the world so have constantly changing boundary conditions, and measurements of their states are subject to errors. In…
In this paper we study the dynamics and ergodic theory of certain economic models which are implicitly defined. We consider 1-dimensional and 2-dimensional overlapping generations models, a cash-in-advance model, heterogeneous markets and a…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that…
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…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
We study the poor-biased model for money exchange introduced in [2]: agents are being randomly picked at a rate proportional to their current wealth, and then the selected agent gives a dollar to another agent picked uniformly at random.…
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…
Public Goods Games represent one of the most useful tools to study group interactions between individuals. However, even if they could provide an explanation for the emergence and stability of cooperation in modern societies, they are not…
The first (Russian) edition of the book was among the first monographs on econophysics. The book gives an explanation of several intriguing phenomena, providing new insights and answers to some deeply vexing questions. Why the economic…
This is a review about financial dependencies which merges efforts in econophysics and financial economics during the last few years. We focus on the most relevant contributions to the analysis of asset markets' dependencies, especially…