Related papers: Dynamical fluctuations in a simple housing market …
In most major cities and urban areas, residents form homogeneous neighborhoods along ethnic or socioeconomic lines. This phenomenon is widely known as residential segregation and has been studied extensively. Fifty years ago, Schelling…
We report the statistical properties of the fluctuations of the energy flux in an electronic RC circuit driven with a stochastic voltage. The fluctuations of the power injected in the circuit are measured as a function of the damping rate…
We propose a model for the dynamics of a probe embedded in a living cell, where both thermal fluctuations and nonequilibrium activity coexist. The model is based on a confining harmonic potential describing the elastic cytoskeletal matrix,…
A natural phenomenon occurring in a living system is an outcome of the dynamics of the specific biological network underlying the phenomenon. The collective dynamics have both deterministic and stochastic components. The stochastic nature…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
We consider a simple model of a closed economic system where the total money is conserved and the number of economic agents is fixed. In analogy to statistical systems in equilibrium, money and the average money per economic agent are…
Traditionally, it is understood that fluctuations in the equilibrium distribution are not evident in thermodynamic systems of large $N$ (the number of particles in the system) \cite{Huang1}. In this paper we examine the validity of this…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
Correlations and other collective phenomena in a schematic model of heterogeneous binary agents (individual spin-glass samples) are considered on the complete graph and also on 2d and 3d regular lattices. The system's stochastic dynamics is…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
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…
We study a minimalist kinetic model for economies. A system of agents with local trading rules display emergent demand behaviour. We examine the resulting wealth distribution to look for non-thermal behaviour. We compare and contrast this…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
The relaxation towards equilibrium of systems with long range interactions is not yet fully understood. As a step towards such a comprehension, we propose the study of the dynamical equilibrium fluctuations in a model system with long range…
We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy. In this model only a fraction of…
The structure of very complicated irregular "microscopic" (local) entropy fluctuations around a big separated "macroscopic" (global) fluctuation in the statistical equilibrium was studied in numerical experiments on a simple 2--freedom…