Related papers: Stock-flow consistent macroeconomic model with non…
We show that a steady-state stock-flow consistent macro-economic model can be represented as a Constraint Satisfaction Problem (CSP).The set of solutions is a polytope, which volume depends on the constraintsapplied and reveals the…
A function for the dependence of flow on pedestrian density is derived analytically from the Social Force Model (SFM) for the case of a homogeneous population walking in the same direction and being in steady state. Assuming that only…
The collective motion of self-driven particles shows interesting novel phenomena such as swarming and the emergence of patterns. We have recently proposed a model for counterflowing particles that captures this idea and exhibits clogging…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
We show how every stock-flow consistent model of the macroeconomy can be represented as a directed acyclic graph. The advantages of representing the model in this way include graphical clarity, causal inference, and model specification. We…
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…
We investigate the dynamics of wealth inequality in an economy where households have positional preferences, with the strength of the positional concern determined endogenously by inequality of wealth distribution in the society. We…
This paper presents a unified multi-asset, multi-group asset-flow model that integrates three foundational frameworks from the behavioral finance literature. The model captures the dynamics of financial markets where multiple assets are…
We introduce a mean-field framework for the study of systems of interacting particles sharing a conserved quantity. The work generalises and unites the existing fields of asset-exchange models, often applied to socio-economic systems, and…
We investigate a stochastic model hierarchy for pedestrian flow. Starting from a microscopic social force model, where the pedestrians switch randomly between the two states stop-or-go, we derive an associated macroscopic model of…
The sampling of probability distributions specified up to a normalization constant is an important problem in both machine learning and statistical mechanics. While classical stochastic sampling methods such as Markov Chain Monte Carlo…
A proportional wealth tax - a levy on the stock of wealth - preserves portfolio neutrality by acting as a uniform drift shift in the Fokker-Planck equation for wealth dynamics. We extend this result to the full system of ownership taxes…
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…
A mean-field like stochastic evolution equation with growth and reset terms (LGGR model) is used to model wealth distribution in modern societies. The stationary solution of the model leads to an analytical form for the density function…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
We introduce a traffic flow model that incorporates clustering and passing. We obtain analytically the steady state characteristics of the flow from a Boltzmann-like equation. A single dimensionless parameter, R=c_0v_0t_0 with c_0 the…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…
We present a new method, Non-Stationary Forward Flux Sampling, that allows efficient simulation of rare events in both stationary and non-stationary stochastic systems. The method uses stochastic branching and pruning to achieve uniform…
We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…
Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…