Related papers: A Chaotic Approach to Market Dynamics
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the equilibrium properties of the model with constant global…
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…
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
Many-body dynamical models in which Boltzmann statistics can be derived directly from the underlying dynamical laws without invoking the fundamental postulates of statistical mechanics are scarce. Interestingly, one such model is found in…
This article examines the subtle relationship between chaos and randomness, two concepts that, although they refer to seemingly unpredictable phenomenon, are based on fundamentally different principles. Chaos manifests in deterministic…
An array system of coupled maps is proposed as a model for economy evolution. The local dynamics of each map or agent is controlled by two parameters. One of them represents the growth capacity of the agent and the other one is a control…
We present a new chaotic system of three coupled ordinary differential equations, limited to quadratic nonlinear terms. A wide variety of dynamical regimes are reported. For some parameters, chaotic reversals of the amplitudes are produced…
Physical analogs have shown considerable promise for understanding the behavior of complex adaptive systems, including macroeconomics, biological systems, social networks, and electric power markets. Many of today's most challenging…
How can we limit wealth disparities while stimulating economic flows in sustainable societies? To examine the link between these concepts, we propose an econophysics asset exchange model with the surplus stock of the wealthy. The wealthy…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
The article examines how institutions, automation, unemployment and income distribution interact in the context of a neoclassical growth model where profits are interpreted as a surplus over costs of production. Adjusting the model to the…
This paper proposes a statistical mechanics approach to the analysis of income distribution and inequality. A new distribution function, having its roots in the framework of k-generalized statistics, is derived that is particularly suitable…
Models of chaotic inflation with a fractional power-law potential are not only viable but also testable in the foreseeable future. We show that such models can be realized in simple strongly coupled supersymmetric gauge theories. In these…
When the probability of measuring a particular value of some quantity varies inversely as a power of that value, the quantity is said to follow a power law, also known variously as Zipf's law or the Pareto distribution. Power laws appear…
The widening inequality in income distribution in recent years, and the associated excessive pay packages of CEOs in the U.S. and elsewhere, is of growing concern among policy makers as well as the common person. However, there seems to be…
We study the finite-size effects in some scaling systems, and show that the finite number of agents N leads to a cut-off in the upper value of the Pareto law for the relative individual wealth. The exponent $\alpha$ of the Pareto law…
This article is a follow-up of a short essay that appeared in Nature 455, 1181 (2008) [arXiv:0810.5306]. It has become increasingly clear that the erratic dynamics of markets is mostly endogenous and not due to the rational processing of…
This paper presents a conceptual model describing the medium and long-term co-evolution of natural and socio-economic subsystems of Earth. An economy is viewed as an out-of-equilibrium dissipative structure that can only be maintained with…