Related papers: Bouchaud-M\'ezard model on a random network
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is…
It has been conjectured that canonical Bewley--Huggett--Aiyagari heterogeneous-agent models cannot explain the joint distribution of income and wealth. The results stated below verify this conjecture and clarify its implications under very…
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 studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
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…
Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that describes the exchange of wealth between $n$ economic agents, we analyze the evolution of the corresponding economies under the assumption of a Gaussian background,…
Recently several authors have proposed stochastic evolutionary models for the growth of complex networks that give rise to power-law distributions. These models are based on the notion of preferential attachment leading to the ``rich get…
Let E_i be a collection of i.i.d. exponential random variables. Bouchaud's model on Z is a Markov chain X(t) whose transition rates are given by w_{ij}=\nu \exp(-\beta ((1-a)E_i-aE_j)) if i, j are neighbors in Z. We study the behavior of…
I introduce a new way of decomposing the evolution of the wealth distribution using a simple continuous time stochastic model, which separates the effects of mobility, savings, labor income, rates of return, demography, inheritance, and…
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 consider the estimation of wealth inequality measures with their confidence interval, based on survey data with interval censoring. We rely on a Bayesian hierarchical model. It consists of a model where, due to survey sampling and unit…
In Chakraborti's yard-sale model of an economy, identical agents engage in trades that result in wealth exchanges, but conserve the combined wealth of all agents and each agent's expected wealth. In this model, wealth condensation, that is,…
In view of some persistent recent reports on a singular kind of growth of the world wealth inequality, where a finite (often handful) number of people tend to possess more than the wealth of the planet's 50\% population, we explore here if…
This paper presents an asset pricing model in an incomplete market involving a large number of heterogeneous agents based on the mean field game theory. In the model, we incorporate habit formation in consumption preferences, which has been…
Random networks with complex topology are common in Nature, describing systems as diverse as the world wide web or social and business networks. Recently, it has been demonstrated that most large networks for which topological information…
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior),…
In order to describe the properties of the observed distribution of wealth in a population, most economic models rely on the existence of an asymptotic equilibrium state. In addition, the process generating the equilibrium distribution is…
We represent the functioning of the housing market and study the relation between income segregation, income inequality and house prices by introducing a spatial Agent-Based Model (ABM). Differently from traditional models in urban…
In this article, we proposed a new probability distribution named as power Maxwell distribution (PMaD). It is another extension of Maxwell distribution (MaD) which would lead more flexibility to analyze the data with non-monotone failure…
Distorted distributions were introduced in the context of actuarial science for several variety of insurance problems. In this paper we consider the quantile-based probabilistic mean value theorem given in Di Crescenzo et al. [4] and…