Related papers: Empirical Methods for Dynamic Power Law Distributi…
In this paper, we propose an optimization-based mechanism to explain power law distributions, where the function that the optimization process is seeking to optimize is derived mathematically, then the behavior and interpretation of this…
A class of conserved models of wealth distributions are studied where wealth (or money) is assumed to be exchanged between a pair of agents in a population like the elastically colliding molecules of a gas exchanging energy. All sorts of…
Many studies in Economics and other disciplines have been reporting distributions following power-law behavior (i.e distributions of incomes (Pareto's law), city sizes (Zipf's law), frequencies of words in long sequences of text etc.)[1, 6,…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
We report empirical studies on the personal income distribution, and clarify that the distribution pattern of the lognormal with power law tail is the universal structure. We analyze the temporal change of Pareto index and Gibrat index to…
Income and wealth distribution affect stability of a society to a large extent and high inequality affects it negatively. Moreover, in the case of developed countries, recently has been proven that inequality is closely related to all…
In nature or societies, the power-law is present ubiquitously, and then it is important to investigate the mathematical characteristics of power-laws in the recent era of big data. In this paper we prove the superposition of non-identical…
Statistical modeling of experimental physical laws is based on the probability density function of measured variables. It is expressed by experimental data via a kernel estimator. The kernel is determined objectively by the scattering of…
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 study a stochastic multiplicative process with reset events. It is shown that the model develops a stationary power-law probability distribution for the relevant variable, whose exponent depends on the model parameters. Two qualitatively…
In this short paper, we overview and extend the results of our papers cond-mat/0001432, cond-mat/0008305, and cond-mat/0103544, where we use an analogy with statistical physics to describe probability distributions of money, income, and…
We introduce a solvable model of randomly growing systems consisting of many independent subunits. Scaling relations and growth rate distributions in the limit of infinite subunits are analysed theoretically. Various types of scaling…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
In this paper we give a brief review of semiparametric theory, using as a running example the common problem of estimating an average causal effect. Semiparametric models allow at least part of the data-generating process to be unspecified…
We address this work to investigate some statistical properties of symbolic sequences generated by a numerical procedure in which the symbols are repeated following a power law probability density. In this analysis, we consider that the sum…
We show that an economic system populated by multiple agents generates an equilibrium distribution in the form of multiple scaling laws of conditional PDFs, which are sufficient for characterizing the probability distribution. The existence…
We study a modified version of a model previously proposed by Jackson and Wolinsky to account for communicating information and allocating goods in socioeconomic networks. In the model, the utility function of each node is given by a…
Election results are determined by numerous social factors that affect the formation of opinion of the voters, including the network of interactions between them and the dynamics of opinion influence. In this work we study the result of…
We show that size-rank distributions with power-law decay (often only over a limited extent) observed in a vast number of instances in a widespread family of systems obey Tsallis statistics. The theoretical framework for these distributions…
Probability distributions having power-law tails are observed in a broad range of social, economic, and biological systems. We describe here a potentially useful common framework. We derive distribution functions $\{p_k\}$ for situations in…