Related papers: A Chaotic Approach to Market Dynamics
General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system.…
One 'problem' with the 21st century world, particularly the economic and business worlds, is the phenomenal and increasing number of interconnections between economic agents (consumers, firms, banks, markets, national economies). This…
The ergodic hypothesis outgrew from the ancient conception of motion as periodic or quasi periodic. It did cause a revision of our views of motion, particularly through Boltzmann and Poincar\'e: we discuss how Boltmann's conception of…
Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
We propose a stochastic model of evolution of wealth in a society of economic agents. In the model, an agent can be in two states: inactive and active. Transitions between the states occur at random time intervals. In the active state, the…
In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…
In many complex systems, large events are believed to follow power-law, scale-free probability distributions, so that the extreme, catastrophic events are unpredictable. Here, we study coupled chaotic oscillators that display extreme…
Close examination of wealth distributions reveal the existence of two distinct power law regimes. The Pareto exponents of the super-rich, identified for example in rich lists such as provided by Forbes are smaller than the Pareto exponents…
Over the last decades, the distribution of income and wealth has been deteriorating in many countries, leading to increased inequalities within and between societies. This tendency has revived the interest in the subject greatly, yet it…
An agent-based model of the economy is generalized to incorporate investment and guaranteed income mechanisms in addition to the exchange and distribution mechanisms considered in earlier models. We find realistic wealth distributions and…
We introduce and discuss optimal control strategies for kinetic models for wealth distribution in a simple market economy, acting to minimize the variance of the wealth density among the population. Our analysis is based on a finite time…
In many real world chaotic systems, the interest is typically in determining when the system will behave in an extreme manner. Flooding and drought, extreme heatwaves, large earthquakes, and large drops in the stock market are examples of…
We consider a version of D. Price's model for the growth of a bibliographic network, where in each iteration a constant number of citations is randomly allocated according to a weighted combination of accidental (uniformly distributed) and…
We discuss the equivalence between kinetic wealth-exchange models, in which agents exchange wealth during trades, and mechanical models of particles, exchanging energy during collisions. The universality of the underlying dynamics is shown…
Recent studies of cluster distribution in various ecosystems revealed Pareto statistics for the size of spatial colonies. These results were supported by cellular automata simulations that yield robust criticality for endogenous pattern…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…