Related papers: Stock-flow consistent macroeconomic model with non…
The shape and tails of partial distribution functions (PDF) for a financial signal, i.e. the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
A macroscopic model-based approach for estimation of the traffic state, specifically of the (total) density and flow of vehicles, is developed for the case of "mixed" traffic, i.e., traffic comprising both ordinary and connected vehicles.…
For a stationary sequence that is regularly varying and associated we give conditions which guarantee that partial sums of this sequence, under normalization related to the exponent of regular variation, converge in distribution to a…
We explore analytically and numerically agglomeration driven by advection and localized source. The system is inhomogeneous in one dimension, viz. along the direction of advection. We analyze a simplified model with mass-independent…
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with…
A continuum model for self-organized dynamics is numerically investigated. The model describes systems of particles subject to alignment interaction and short-range repulsion. It consists of a non-conservative hyperbolic system for the…
The aim of this paper it to establish sufficient conditions for consistency of moving block bootstrap for non-stationary time series with periodic and almost periodic structure. The parameter of the study is the mean value of the…
We present an intuitive, conceptual, but semi-rigorous introduction to the celebrated Markov Chain Monte Carlo method using a simple model of population dynamics as our motivation and focusing on a few elementary distributions.…
Modeling the evolution of a financial index as a stochastic process is a problem awaiting a full, satisfactory solution since it was first formulated by Bachelier in 1900. Here it is shown that the scaling with time of the return…
This paper proposes a new Bayesian machine learning model that can be applied to large datasets arising in macroeconomics. Our framework sums over many simple two-component location mixtures. The transition between components is determined…
We propose a stochastic dynamic model of migration and economic aggregation in a system of employed (immobile) and unemployed (mobile) agents which respond to local wage gradients. Dependent on the local economic situation, described by a…
Recent efforts have extended the flow-matching framework to discrete generative modeling. One strand of models directly works with the continuous probabilities instead of discrete tokens, which we colloquially refer to as Continuous-State…
It was recently found that the Social Force Model of pedestrian dynamics in a macroscopic limit for 1d movement does not reproduce the empirically found inflection point of the speed-density relation. It could be shown that, however, a…
We discuss a Pareto macro-economy (a) in a closed system with fixed total wealth and (b) in an open system with average mean wealth and compare our results to a similar analysis in a super-open system (c) with unbounded wealth. Wealth…
The paper is concerned with a scalar conservation law with discontinuous gradient-dependent flux. Namely, the flux is described by two different functions $f(u)$ or $g(u)$, when the gradient $u_x$ of the solution is positive or negative,…
The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…
We introduce a cellular automaton model coupled with a transport equation for flows on graphs. The direction of the flow is described by a switching process where the switching probability dynamically changes according to the value of the…
We consider a mean-field model of firms competing \`a la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry-aggregate production. Investment is irreversible and…
We introduce a persistent random walk model for the stochastic transport of particles involving self-reinforcement and a rest state with Mittag-Leffler distributed residence times. The model involves a system of hyperbolic partial…