Related papers: A Generalized Continuous Model for Random Markets
We investigate the repeated averaging model for money exchanges: two agents picked uniformly at random share half of their wealth to each other. It is intuitively convincing that a Dirac distribution of wealth (centered at the initial…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
Across the sciences, the statistical analysis of networks is central to the production of knowledge on relational phenomena. Because of their ability to model the structural generation of networks, exponential random graph models are a…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
In light of the growing interest in agent-based market models, we bring together several earlier works in which we considered the topic of self-consistent market modelling. Building upon the binary game structure of Challet and Zhang, we…
Continuous time random Walk model has been versatile analytical formalism for studying and modeling diffusion processes in heterogeneous structures, such as disordered or porous media. We are studying the continuous limits of Heterogeneous…
The Kinetic Gas Theory like two-agent money exchange models, recently introduced in the Econophysics of Wealth distributions, are revisited. The emergence of Boltzmann-Gibbs like distribution of individual money to Pareto's law in the tail…
We propose and compare new global solution algorithms for continuous time heterogeneous agent economies with aggregate shocks. First, we approximate the agent distribution so that equilibrium in the economy can be characterized by a high,…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We consider a large community of individuals who mix strongly and meet in pairs to bet on a coin toss. We investigate the asset distribution of the players involved in this zero-sum repeated game. Our main result is that the asset…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
We investigate a model of stratified economic interactions between agents when the notion of spatial location is introduced. The agents are placed on a network with near-neighbor connections. Interactions between neighbors can occur only if…
This paper investigates the emergence of wealth inequality through a minimalist kinetic exchange model that incorporates two fundamental economic features: fixed-amount transactions and hard budget constraints. In contrast to the maximum…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…