Related papers: Dynamical fluctuations in a simple housing market …
We propose a simple semi-discrete spatial model where rents, wages and the density of population in a city can be deduced from free-mobility and equilibrium conditions on the labour and residential housing markets. We prove existence and…
Motivated by the need to understand the factors driving gentrification, we introduce and analyze two simple dynamical systems that model the interplay between three potential drivers of the phenomenon. The constructed systems are based on…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…
Addressing issues of social diversity, we introduce a model of housing transactions between agents who are heterogeneous in their willingness to pay. A key assumption is that agents' preferences for a location depend on both an intrinsic…
We propose a simple probabilistic model to explain the spatial structure of the rent distribution of housing market in city of Sapporo. Here we modify the mathematical model proposed by Gauvin et. al. Especially, we consider the competition…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic…
We analyze how equilibrium housing prices are determined in the process of economic development within an overlapping generations model with perfect housing and rental markets. We characterize the rent growth rate in all equilibria. The…
Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale.…
We develop a stochastic free-boundary model of housing tenure decisions in markets with high mobility risk, such as areas near military installations. Housing prices and rents follow correlated diffusion processes, and households face an…
The unique fluctuation-dissipation theorem for equilibrium stands in contrast with the wide variety of nonequilibrium linear response formulae. Their most traditional approach is "analytic", which, in the absence of detailed balance,…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
In this paper we analyze urban spatial segregation phenomenon in terms of the income distribution over a population, and inflationary parameter weighting the evolution of housing prices. For this, we develop a discrete, spatially extended…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
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 present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
In recent years it has been increasing evidence that lognormal distributions are widespread in physical and biological sciences, as well as in various phenomena of economics and social sciences. In social sciences, the appearance of…
The fluctuations in nonequilibrium systems are under intense theoretical and experimental investigation. Topical ``fluctuation relations'' describe symmetries of the statistical properties of certain observables, in a variety of models and…
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…