Related papers: Random Market Models with an H-Theorem
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
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…
In our model, $n$ traders interact with each other and with a central bank; they are taxed on the money they make, some of which is dissipated away by corruption. A generic feature of our model is that the richest trader always wins by…
We derive representation theorems for exchangeable distributions on finite and infinite graphs using elementary arguments based on geometric and graph-theoretic concepts. Our results elucidate some of the key differences, and their…
In this paper we discuss some examples of systems composed of $N$ units, which exchange a conserved quantity $x$ according to some given stochastic rule, from some standard kinetic model of condensed matter physics to the kinetic exchange…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
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…
We propose some kinetic models of wealth exchange and investigate their behavior on directed networks though numerical simulations. We observe that network topology and directedness yields a variety of interesting features in these models.…
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…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
We study the question of existence and fast computation of fair and efficient allocations of indivisible resources among agents with additive valuations. As such allocations may not exist for arbitrary instances, we ask if they exist for…
In the context of a large class of stochastic processes used to describe the dynamics of wealth growth, we prove a set of inequalities establishing necessary and sufficient conditions in order to avoid infinite wealth concentration. These…
This paper studies an interacting particle system of interest in econophysics inspired from a model introduced in the physics literature. The original model consists of the customers of a single bank characterized by their capital, and the…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
This study investigates the emergence of power-law and other concentrated distributions through a feedback loop model in crowd interactions. Agents act by their response functions to observations and external forces, while observations…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
$H$-theorem states that the entropy production is nonnegative and, therefore, the entropy of a closed system should monotonically change in time. In information processing, the entropy production is positive for random transformation of…
H-theorem gives necessary conditions for a system to evolve in time with a non-diminishing entropy. In a quantum case the role of H-theorem plays the unitality criteria of a quantum channel transformation describing the evolution of the…