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We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…
The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma…
We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…
As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…
We discuss the effect of stochastic resonance in a simple model of magnetic reversals. The model exhibits statistically stationary solutions and bimodal distribution of the large scale magnetic field. We observe a non trivial amplification…
Many-body stochastic processes with weighted multiplicative interactions are investigated analytically and numerically. An interaction rate between particles with quantities $x, y$ is controlled by a homogeneous symmetric kernel $K(x, y)…
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the…
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…
Traffic fluctuation has so far been studied on unweighted networks. However many real traffic systems are better represented as weighted networks, where nodes and links are assigned a weight value representing their physical properties such…
The dynamics of adaptation is difficult to predict because it is highly stochastic even in large populations. The uncertainty emerges from number fluctuations, called genetic drift, arising in the small number of particularly fit…
The theory of Balanced Neural Networks is a very popular explanation for the high degree of variability and stochasticity in the brain's activity. Roughly speaking, it entails that typical neurons receive many excitatory and inhibitory…
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 propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
We discuss an extension of the fluctuation theorem to stochastic models that, in the limit of zero external drive, are not able to equilibrate with their environment, extending results presented by Sellitto (cond-mat/9809186). We show that…
This paper develops a nonparametric statistical model of wealth distribution that imposes little structure on the fluctuations of household wealth. In this setting, we use new techniques to obtain a closed-form household-by-household…
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…