Related papers: Empirical Methods for Dynamic Power Law Distributi…
We briefly review 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 agents…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
This paper considers the problem of estimating a power-law degree distribution of an undirected network using sampled data. Although power-law degree distributions are ubiquitous in nature, the widely used parametric methods for estimating…
We examine random variables in the power law/regularly varying class with stochastic tail exponent, the exponent $\alpha$ having its own distribution. We show the effect of stochasticity of $\alpha$ on the expectation and higher moments of…
We propose coalescent mechanism of economic grow because of redistribution of external resources. It leads to Zipf distribution of firms over their sizes, turning to stretched exponent because of size-dependent effects, and predicts…
In this paper we delve into some important properties of probability distributions of the power type in order to provide some answers to questions recently raised in the literature. More precisely, we focus on the properties of maximizers…
The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…
According to many phenomenological and theoretical studies the distribution of family name frequencies in a population can be asymptotically described by a power law. We show that the Galton-Watson process corresponding to the dynamics of a…
We present a method for sampling microscopic configurations of a physical system distributed according to a canonical (Boltzmann-Gibbs) measure, with a constraint holding in average. Assuming that the constraint can be controlled by the…
Starting from the BBGKY hierarchy, describing the kinetics of nonlinear particle system, we obtain the relevant entropy and stationary distribution function. Subsequently, by employing the Lorentz transformations we propose the relativistic…
It is well known that non-parametric methods suffer from the "curse of dimensionality". We propose here a new estimation method for a multivariate distribution, using sub-sampling and ranks, which seems not to suffer from this "curse". We…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
We review briefly the concepts underlying complex systems and probability distributions. The later are often taken as the first quantitative characteristics of complex systems, allowing one to detect the possible occurrence of regularities…
Statistical properties of coupled dynamic-stochastic systems are studied within a combination of the maximum information principle and the superstatistical approach. The conditions at which the Shannon entropy functional leads to a…
We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [Lux and Sornette, 1999] that the distribution of returns is a power law with exponent less than 1, in contradiction with…
The distribution of impact factors has been modeled in the recent informetric literature using two-exponent law proposed by Mansilla et al. (2007). This paper shows that two distributions widely-used in economics, namely the Dagum and…
We consider a model of power distribution in a social system where a set of agents play a simple game on a graph: the probability of winning each round is proportional to the agent's current power, and the winner gets more power as a…
We consider a model of socially interacting individuals that make a binary choice in a context of positive additive endogenous externalities. It encompasses as particular cases several models from the sociology and economics literature. We…
We consider a class of biologically-motivated stochastic processes in which a unicellular organism divides its resources (volume or damaged proteins, in particular) symmetrically or asymmetrically between its progeny. Assuming the final…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…