Related papers: Random Market Models with an H-Theorem
A game-theoretic model of scrip (artificial currency) systems is analyzed. It is shown that relative entropy can be used to characterize the distribution of agent wealth when all agents use threshold strategies---that is, they volunteer to…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
Economic systems are similar with physic systems for their large number of individuals and the exist of equilibrium. In this paper, we present a model applying the equilibrium statistical model in economic systems. Consistent with…
This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding…
Maximum-entropy distributions are shown to appear in the probability calculus as approximations of a model by exchangeability or a model by sufficiency, the former model being preferable. The implications of this fact are discussed,…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
Models in econophysics, i.e., the emerging field of statistical physics that applies the main concepts of traditional physics to economics, typically consist of large systems of economic agents who are characterized by the amount of money…
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…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
In this communication, complex systems with a near trivial dynamics are addressed. First, under the hypothesis of equiprobability in the asymptotic equilibrium, it is shown that the (hyper) planar geometry of an $N$-dimensional multi-agent…
A computational model for the distribution of wealth among the members of an ideal society is presented. It is determined that a realistic distribution of wealth depends upon two mechanisms: an asymmetric flux of wealth in trading…
We develop a statistical framework for wealth allocation in which agents hold discrete units of wealth and macrostates are defined by how wealth is distributed across agents. The structure of the economic state space is characterized…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the…
We develop a mathematical framework to study the economic impact of infectious diseases by integrating epidemiological dynamics with a kinetic model of wealth exchange. The multi-agent description leads to study the evolution over time of a…
We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…
A novel formalism, called H-theory, is applied to the problem of statistical equilibrium of a hierarchical complex system with multiple time and length scales. In this approach, the system is formally treated as being composed of a small…
We analyze a conservative market model for the competition among economic agents in a close society. A minimum dynamics ensures that the poorest agent has a chance to improve its economic welfare. After a transient, the system…
Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…