Related papers: A Generalized Continuous Model for Random Markets

We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…

It is known that asset exchange models with symmetric interaction between agents show either a Gibbs/log-normal distribution of assets among the agents or condensation of the entire wealth in the hands of a single agent, depending upon the…

We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…

We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…

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…

We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…

Measures of wealth and production have been found to scale superlinearly with the population of a city. Therefore, it makes economic sense for humans to congregate together in dense settlements. A recent model of population dynamics showed…

A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness.…

We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…

In a money exchange process involving a seller and a buyer, we develop a straightforward model encompassing conservative, non-conservative, and systems with or without debt. Our model integrates the Fermi function to capture the behavior of…

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…

Many models of market dynamics make use of the idea of conservative wealth exchanges among economic agents. A few years ago an exchange model using extremal dynamics was developed and a very interesting result was obtained: a self-generated…

Increasingly, a huge amount of statistics have been gathered which clearly indicates that income and wealth distributions in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas…

In this work, an ensemble of economic interacting agents is considered. The agents are arranged in a linear array where only local couplings are allowed. The deterministic dynamics of each agent is given by a map. This map is expressed by…

We study the model of interacting agents proposed by Chatterjee et al that allows agents to both save and exchange wealth. Closed equations for the wealth distribution are developed using a mean field approximation. We show that when all…

In this report I present a possible scenario which can lead to the emergence of a generalised Gamma distribution first presented by R. Osorio et al. as the distribution of traded volumes of stocks in financial markets. This propose is…

Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…

Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…

Binary kinetic exchange models, where money is shuffled between two agents at a time, reproduce the Boltzmann Gibbs exponential wealth distribution but cannot address the multi party trades common in real markets. We generalize the exchange…

A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…