Related papers: Stochastic Multiplicative Processes for Financial …
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
We study the wealth distribution of UK households through a detailed analysis of data from wealth surveys and rich lists, and propose a non-linear Kesten process to model the dynamics of household wealth. The main features of our model are…
We propose a kinetic model to describe the dynamical evolution of wealth and knowledge in national and global markets, starting from a microscopic description of individual interactions. The model is built upon interaction rules that…
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…
The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
I introduce a new way of decomposing the evolution of the wealth distribution using a simple continuous time stochastic model, which separates the effects of mobility, savings, labor income, rates of return, demography, inheritance, and…
Stochastic models, based on random processes, may lead to power law distributions, which provide long range correlations. The observation of power law behavior and the presence of long range correlations in biological systems has been…
A deterministic system of coupled maps is proposed as a model for economic activity among interacting agents. The values of the maps represent the wealth of the agents. The dynamics of the system is controlled by two parameters. One…
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
We introduce a class of stochastic volatility models $(X_t)_{t \geq 0}$ for which the absolute moments of the increments exhibit anomalous scaling: $\E\left(|X_{t+h} - X_t|^q \right)$ scales as $h^{q/2}$ for $q < q^*$, but as $h^{A(q)}$…
Understanding the evolutionary stability of cooperation is a central problem in biology, sociology, and economics. There exist only a few known mechanisms that guarantee the existence of cooperation and its robustness to cheating. Here, we…