Related papers: A versatile stochastic dissemination model
In our simplified description `wealth' is money ($m$). A kinetic theory of gas like model of money is investigated where two agents interact (trade) selectively and exchange some amount of money between them so that sum of their money is…
We show how Markov mixed membership models (MMMM) can be used to predict the degradation of assets. We model the degradation path of individual assets, to predict overall failure rates. Instead of a separate distribution for each hidden…
For a two-dimensional system of agents modeled by molecular dynamics, we simulate epidemics spreading, which was recently studied on complex networks. Our resulting network model is time-evolving. We study the transitions to spreading as…
We look at the meaning of 'relaxation' in the wealth exchange models that are recently proposed in Econophysics to interpret the wealth distributions. To quantify and characterise the process of relaxation, we define an appropriate quantity…
We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description…
In this paper, we develop a variational method to track and make predictions about a real-world system from continuous imperfect observations about this system, using an agent-based model that describes the system dynamics. By combining the…
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…
We propose a rumor propagation model in which individuals within a homogeneously mixed population can assume one of infinitely many possible states. To analyze this model, we extend the classical law of large numbers for density-dependent…
We study stochastic particle systems made up of heterogeneous units. We introduce a general framework suitable to analytically study this kind of systems and apply it to two particular models of interest in economy and epidemiology. We show…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
We propose a model for the diffusion of several products competing in a common market based on the generalization of the Ising model of statiscal mechanics (Potts model). Using an agent based implementation, we analyze two problems: (i) a…
We propose a simple dynamical model of wealth evolution. The invariant distributions are of Pareto type and are dynamically stable as conjectured by Pareto.
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
The so-called "Yard-Sale Model" of wealth distribution posits that wealth is transferred between economic agents as a result of transactions whose size is proportional to the wealth of the less wealthy agent. In recent work [B.M. Boghosian,…
We develop a class of exponential-family point processes based on a latent social space to model the coevolution of social structure and behavior over time. Temporal dynamics are modeled as a discrete Markov process specified through…
We present a simple dynamical model for describing trading interactions between agents in a social network by considering only two dynamical variables, namely money and goods or services, that are assumed conserved over the whole time span…
Opinion diffusion is a crucial phenomenon in social networks, often underlying the way in which a collective of agents develops a consensus on relevant decisions. The voter model is a well-known theoretical model to study opinion spreading…
We study a stochastic multiplicative process with reset events. It is shown that the model develops a stationary power-law probability distribution for the relevant variable, whose exponent depends on the model parameters. Two qualitatively…
Recent work on modeling influence propagation focus on progressive models, i.e., once a node is influenced (active) the node stays in that state and cannot become inactive. However, this assumption is unrealistic in many settings where…