Related papers: From Disequilibrium Markets to Equilibrium
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
We study the full class of kinetically constrained models in arbitrary dimension and out of equilibrium, in the regime where the density $q$ of facilitating sites in the equilibrium measure (but not necessarily in the initial measure) is…
We reformulate the Cont-Bouchaud model of financial markets in terms of classical "super-spins" where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend…
We establish a theorem on bifurcation of limit cycles from a focus boundary equilibrium of an impacting system, which is universally applicable to prove bifurcation of limit cycles from focus boundary equilibria in other types of…
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu model of general…
The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets…
We study the dynamics of weakly deformed interfaces separating two stable phases, starting from the fluctuating hydrodynamics of the phase-separating fields. Using a well-chosen definition for the interface and the dynamical-action…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
We relate progress in statistical mechanics, both at and far from equilibrium, to advances in the theory of dynamical systems. We consider computer simulations of time-reversible deterministic chaos in small systems with three- and…
We consider scalar equilibrium problems governed by a bifunction in a finite-dimensional framework. By using classical arguments in Convex Analysis, we show that under suitable generalized convexity assumptions imposed on the bifunction,…
In this paper, we propose a minimal model beyond geometric Brownian motion that aims to describe price actions with market inefficiency. From simple financial theory considerations, we arrive at a simple two-variable hidden Markovian time…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
In this paper we discuss some examples of systems composed of $N$ units, which exchange a conserved quantity $x$ according to some given stochastic rule, from some standard kinetic model of condensed matter physics to the kinetic exchange…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration schemes, opening the possibility of calibrating individual…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
The advancement of generalized deepfake disruption is constrained by the interruption imbalance, a fundamental bottleneck inherent to the generation of universal perturbations. We reveal that conventional static gradient normalization…
This paper presents an analytically tractable and practically-oriented model of non-linear dynamics of a multi-asset market in the limit of a large number of assets. The asset price dynamics are driven by money flows into the market from…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
We consider the efficient outcome of a canonical economic market model involving buyers and sellers with independent and identically distributed random valuations and costs, respectively. When the number of buyers and sellers is large, we…