Related papers: A kinetic equation for economic value estimation w…
Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must…
Kinetics of systems specified by anharmonic, nonconservative and nonlocally coupled model Hamiltonians is reproduced in the Fokker-Planck and imaginary time Schrodinger equation techniques with subsequent symplectic integration. Test…
Half-space problems in the kinetic theory of gases are of great importance in the study of the asymptotic behavior of solutions of boundary value problems for the Boltzmann equation for small Knudsen numbers. In this work a generally…
In this work, we study the formal connections between the non-linear Fokker-Planck Equation associated with the non-additive entropy and the Boltzmann Equation with the non-additive correlation functional. The collisional term following the…
A new type of kinetic models with non-instantaneous binary collisions is considered. Collisions are described by a transport process in the joint state space of a pair of particles. The interactions are of alignment type, where the states…
The Boltzmann and Gibbs approaches to statistical mechanics have very different definitions of equilibrium and entropy. The problems associated with this are discussed and it is suggested that they can be resolved, to produce a version of…
We propose a method to infer lead-lag networks of traders from the observation of their trade record as well as to reconstruct their state of supply and demand when they do not trade. The method relies on the Kinetic Ising model to describe…
The framework of Mean-field Games (MFGs) is used for modelling the collective dynamics of large populations of non-cooperative decision-making agents. We formulate and analyze a kinetic MFG model for an interacting system of non-cooperative…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
We introduce a model of long-range interacting particles evolving under a stochastic Monte Carlo dynamics, in which possible increase or decrease in the values of the dynamical variables is accepted with preassigned probabilities. For…
The game dynamical equations are derived from Boltzmann-like equations for individual pair interactions by assuming a certain kind of imitation behavior, the so-called proportional imitation rule. They can be extended to a stochastic…
We present a new approach to analyze homogeneous nucleation based on non-equilibrium thermodynamics. The starting point is the formulation of a Gibbs equation for the variations of the entropy of the system, whose state is characterized by…
The standard Fermi-Hubbard chain becomes non-integrable by adding to the nearest neighbor hopping additional longer range hopping amplitudes. We assume that the quartic interaction is weak and investigate numerically the dynamics of the…
We study the Boltzmann transport equation for the Bose-Hubbard chain in the kinetic regime. The time-dependent Wigner function is matrix-valued with odd dimension due to integer spin. For nearest neighbor hopping only, there are infinitely…
Under low-collisionality conditions the isotropic part of the electron velocity distribution function in a plasma becomes non-local and the electrons can be described by a single global distribution function . This is also the regime…
The basic purpose of this work was to suggest universal quantitative description of ergodic system intermediate bifurcation and obligatory conditions of this transition. Conditions for existence of phase state and first order phase…
We consider the herding to non-herding transition caused by idiosyncratic choices or imperfect imitation in the context of the Kirman Model for financial markets, or equivalently the Noisy Voter Model for opinion formation. In these…
We introduce and discuss spatially homogeneous Maxwell-type models of the nonlinear Boltzmann equation undergoing binary collisions with a random component. The random contribution to collisions is such that the usual collisional invariants…
Random exchange kinetic models are widely employed to describe the conservative dynamics of large interacting systems. Due to their simplicity and generality, they are quite popular in several fields, from statistical mechanics to…
In this paper we study the asymptotic behavior of a Boltzmann type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transactions costs.…