Related papers: Land and Infinite Debt Rollover
We present a macro-finance model with innovation and knowledge spillover. Skilled agents engage in R&D activities (establish firms) or work in the knowledge-intensive sector. Unskilled agents work in the traditional sector. Knowledge…
In order to describe the properties of the observed distribution of wealth in a population, most economic models rely on the existence of an asymptotic equilibrium state. In addition, the process generating the equilibrium distribution is…
Generalized Lotka-Volterra (GLV) models extending the (70 year old) logistic equation to stochastic systems consisting of a multitude of competing auto-catalytic components lead to power distribution laws of the (100 year old) Pareto-Zipf…
A model of distribution of the wealth in a society based on the properties of complex networks has been proposed. The wealth is interpreted as a consequence of communication possibilities and proportional to the number of connections…
In this paper we deal with the optimal bankruptcy problem for an agent who can optimally allocate her consumption rate, the amount of capital invested in the risky asset as well as her leisure time. In our framework, the agent is endowed by…
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…
Diffusive operations, which mix the populations of different elements of phase space, can irreversibly transform a given initial state into any of a spectrum of different states from which no further energy can be extracted through…
This paper combines ideas from classical economics and modern finance with the general Lotka-Volterra models of Levy & Solomon to provide straightforward explanations of wealth and income distributions. Using a simple and realistic economic…
Contrary to common belief, both the Earth's human population and its economic output have grown faster than exponential, i.e., in a super-Malthusian mode, for most of the known history. These growth rates are compatible with a spontaneous…
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most…
The one-dimensional deterministic economic model recently studied by Gonzalez-Estevez et al. [Physica A 387, 4367 (2008)] is considered on a two-dimensional square lattice with periodic boundary conditions. In this model, the evolution of…
We consider linear programming (LP) problems in infinite dimensional spaces that are in general computationally intractable. Under suitable assumptions, we develop an approximation bridge from the infinite-dimensional LP to tractable finite…
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability…
General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…
We theorize the financial health of a company and the risk of its default. A company is financially healthy as long as its equilibrium in the financial system is maintained, which depends on the cost attributable to the probability that…
Studies of wealth inequality often assume that an observed wealth distribution reflects a system in equilibrium. This constraint is rarely tested empirically. We introduce a simple model that allows equilibrium but does not assume it. To…
Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of…
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…
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.…
Recent progress in model selection raises the question of the fundamental limits of these techniques. Under specific scrutiny has been model selection for general contextual bandits with nested policy classes, resulting in a COLT2020 open…