Related papers: The Micro-Aggregated Profit Share
The impact of rising consumption on wealth inequality remains an open question. Here we revisit and extend the Social Architecture of Capitalism agent-based model proposed by Ian Wright, which reproduces stylized facts of wealth and income…
The paper introduces a new type of constant function market maker, the constant power root market marker. We show that the constant sum (used by mStable), constant product (used by Uniswap and Balancer), constant reserve (HOLD-ing), and…
Antitrust authorities frequently rely on structural divestitures to address competitive concerns raised by mergers. Using census-level establishment data and proprietary transaction records from the U.S. grocery sector, we provide…
We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked assets. This decomposition is general and consistent with…
We make an extensive empirical study of the market impact of large orders (metaorders) executed in the U.S. equity market between 2007 and 2009. We show that the square root market impact formula, which is widely used in the industry and…
Data regulations increasingly enable consumers to switch among market segments, making segmentation an endogenous outcome of strategic interaction. We study a model in which consumers choose segments before a monopolist sets…
Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which…
The primary objective of this paper was to investigate whether the growth in the major US asset indices could be a function of the US broad money supply and/or US GDP, over the time period 2001 to 2019, using an information entropy…
There are many benefits and costs that come from people and firms clustering together in space. Agglomeration economies, in particular, are the manifestation of centripetal forces that make larger cities disproportionately more wealthy than…
Although recent studies have shown that electricity systems with shares of wind and solar above 80% can be affordable, economists have raised concerns about market integration. Correlated generation from variable renewable sources depresses…
We study the finite-size effects in some scaling systems, and show that the finite number of agents N leads to a cut-off in the upper value of the Pareto law for the relative individual wealth. The exponent $\alpha$ of the Pareto law…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
The emergence of distributed energy resources has led to new challenges in the operation and planning of power networks. Of particular significance is the introduction of a new layer of complexity that manifests in the form of new…
Data from national accounts show no effect of change in net saving or consumption, in ratio to market-value capital, on change in growth rate of market-value capital (capital acceleration). Thus it appears that capital growth and…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
We investigate the accumulated wealth distribution by adopting evolutionary games taking place on scale-free networks. The system self-organizes to a critical Pareto distribution (1897) of wealth $P(m)\sim m^{-(v+1)}$ with $1.6 < v <2.0$…
We analyse the effect of a proportional wealth tax on asset returns, portfolio choice, and asset pricing. The tax is levied annually on the market value of all holdings at a uniform rate. We show that such a tax is economically equivalent…
A central socioeconomic concern about Artificial Intelligence is that it will lower wages by depressing the labor share - the fraction of economic output paid to labor. We show that declining labor share is more likely to raise wages. In a…
A microscopic model of aggregation and fragmentation is introduced to investigate the size distribution of businesses. In the model, businesses are constrained to comply with the market price, as expected by the customers, while customers…