Related papers: Financial accumulation implies ever-increasing wea…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
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…
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…
We have shown, in a series of articles, that a classical description of a large number of economic agents can be replaced by a statistical fields formalism. To better understand the accumulation and allocation of capital among different…
In the last decade, a large body of literature has been developed to explain the universal features of inequality in terms of income and wealth. By now, it is established that the distributions of income and wealth in various economies show…
We consider a stochastic game-theoretic model of a discrete-time asset market with short-lived assets and endogenous asset prices. We prove that the strategy which invests in the assets proportionally to their expected relative payoffs…
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
Reducing wealth inequality and increasing utility are critical issues. This study reveals the effects of redistribution and consumption morals on wealth inequality and utility. To this end, we present a novel approach that couples the…
How can we limit wealth disparities while stimulating economic flows in sustainable societies? To examine the link between these concepts, we propose an econophysics asset exchange model with the surplus stock of the wealthy. The wealthy…
We develop a statistical framework for wealth allocation in which agents hold discrete units of wealth and macrostates are defined by how wealth is distributed across agents. The structure of the economic state space is characterized…
We address the issue of the dynamics of wealth accumulation and economic crisis triggered by extreme inequality, attempting to stick to most possibly intrinsic assumptions. Our general framework is that of pure or modified multiplicative…
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on…
We examine the statistical properties of a closed monetary economy with multi-aggregates interactions. Building upon Yakovenko's single-agent monetary model (Dragulescu and Yakovenko, 2000), we investigate the joint equilibrium distribution…
This paper provides a general method to directly translate a classical economic framework with a large number of agents into a field-formalism model. This type of formalism allows the analytical treatment of economic models with an…
This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding…
Persistent wealth inequality, where a small fraction of the population accumulates most resources while the majority remains economically vulnerable, is a widespread phenomenon. We investigate its underlying mechanisms using an agent-based…
Inequality and its consequences are the subject of intense recent debate. Using a simplified model of the economy, we address the relation between inequality and liquidity, the latter understood as the frequency of economic exchanges.…
Empirical distributions of wealth and income can be reproduced using simplified agent-based models of economic interactions, analogous to microscopic collisions of gas particles. Building upon these models of freely interacting agents, we…