Related papers: Limiting distributions of generalized money exchan…
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
The exchange algorithm is one of the most popular extensions of the Metropolis--Hastings algorithm to sample from doubly-intractable distributions. However, the theoretical exploration of the exchange algorithm is very limited. For example,…
We discuss various limits of a simple random exchange model that can be used for the distribution of wealth. We start from a discrete state space - discrete time version of this model and, under suitable scaling, we show its functional…
We present a stochastic, agent-based, binary-transaction Asset-Exchange Model (AEM) for wealth distribution that allows for agents with negative wealth. This model retains certain features of prior AEMs such as redistribution and…
The individual-based models constitute a set of widely implemented tools to analyze the incidence of individuals heterogeneities in the spread of an infectious disease. In this work we focus our attention on human contacts heterogeneities…
We develop a general framework to analyze the distribution functions of wealth and income. Within this framework we study wealth distribution in a society by using a model which turns on two-party trading for poor people while for rich…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
A money-based model for the power law distribution (PLD) of wealth in an economically interacting population is introduced. The basic feature of our model is concentrating on the capital movements and avoiding the complexity of micro…
Using the analogy with inelastic granular gasses we introduce a model for wealth exchange in society. The dynamics is governed by a kinetic equation, which allows for self-similar solutions. The scaling function has a power-law tail, the…
We present a detailed numerical analysis of the modified version of a conservative self-organized extremal model introduced by Pianegonda et. al. for the distribution of wealth of the people in a society. Here the trading process has been…
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…
In the so-called ``fair'' models of peer-to-peer wealth exchanges, economic inequality tends to reach its maximum value asymptotically. This global trend is evident as the richest continuously accumulate a larger share of wealth at the…
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the evolution of wealth in a pure gambling process, where the entire sum of wealths of two agents is up for gambling, and randomly shared between the…
One of the key socioeconomic phenomena to explain is the distribution of wealth. Bouchaud and M\'ezard have proposed an interesting model of economy [Bouchaud and M\'ezard (2000)] based on trade and investments of agents. In the mean-field…
Wealth distribution is a complex and critical aspect of any society. Information exchange is considered to have played a role in shaping wealth distribution patterns, but the specific dynamic mechanism is still unclear. In this research, we…
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
A set of many identical interacting agents obeying a global additive constraint is considered. Under the hypothesis of equiprobability in the high-dimensional volume delimited in phase space by the constraint, the statistical behavior of a…
In this invited book chapter, we draw the reader to a brief review of the different Kinetic Exchange Models (KEMs) that have gradually developed for markets and how they can be employed to quantitatively study inequalities (the Gini Index…