Related papers: Exponential wealth distribution in a random market…
We find the wealth distribution for an economic agent in the financial market, in analogy with standard derivation of generaliz Boltzman (Tsallis) factor in statistical mechanics. In this respect, Tsallis entropic index separates two…
Exponential random graph models have attracted significant research attention over the past decades. These models are maximum-entropy ensembles under the constraints that the expected values of a set of graph observables are equal to given…
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…
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…
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…
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…
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…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…
We consider the diffusion of independent particles experiencing random accelerations by a space- and time-dependent force as well as viscous damping. This model can exhibit several asymptotic behaviours, depending upon the limiting cases…
We study the asymptotics for sparse exponential random graph models where the parameters may depend on the number of vertices of the graph. We obtain exact estimates for the mean and variance of the limiting probability distribution and the…
We find the exponential exact two-terms non-asymptotic expression for the maximum and minimum distribution of a non-Gaussian, in general case, random vector.
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of…
A brief overview of the models and data analyses of income, wealth, consumption distributions by the physicists, are presented here. It has been found empirically that the distributions of income and wealth possess fairly robust features,…
The paper presents a novel asymptotic distribution for a mle when the log--likelihood is strictly concave in the parameter for all data points; for example, the exponential family. The new asymptotic distribution can be seen as a refinement…
Many models of market dynamics make use of the idea of wealth exchanges among economic agents. A simple analogy compares the wealth in a society with the energy in a physical system, and the trade between agents to the energy exchange…
The energy of an elastic manifold in a random landscape at T=0 is shown numerically to obey a probability distribution that depends on size of the box it is put into. If the extent of the spatial fluctuations of the manifold is much less…
Power spectrum of the distributed chaos can be represented by a weighted superposition of the exponential functions which is converged to a stretched exponential $\propto \exp-(k/k_{\beta})^{\beta }$. An asymptotic theory has been developed…
This paper is concerned with general spatially explicit versions of three stochastic models for the dynamics of money that have been introduced and studied numerically by statistical physicists: the uniform reshuffling model, the immediate…
Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uniqueness, rate of convergence, and the asymptotic…