Related papers: Correlation between Risk Aversion and Wealth distr…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
Online gambling sites offer many different gambling games. In this work we analyse the gambling logs of numerous solely probability-based gambling games and extract the wager and odds distributions. We find that the log-normal distribution…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
Over the last decades, the distribution of income and wealth has been deteriorating in many countries, leading to increased inequalities within and between societies. This tendency has revived the interest in the subject greatly, yet it…
Cooperative dynamics are central to our understanding of many phenomena in living and complex systems. However, we lack a universal mechanism to explain the emergence of cooperation. We present a novel framework for modelling social dilemma…
Two critical questions about intergenerational outcomes are: one, whether significant barriers or traps exist between different social or economic strata; and two, the extent to which intergenerational outcomes do (or can be used to) affect…
This paper investigates the interplay between information diffusion in social networks and its impact on financial markets with an Agent-Based Model (ABM). Agents receive and exchange information about an observable stochastic component of…
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…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
We uncover a close link between outside options and risk attitude: when a decision-maker gains access to an outside option, her behaviour becomes less risk-averse, and conversely, any observed decrease of risk-aversion can be explained by…
Models in econophysics, i.e., the emerging field of statistical physics that applies the main concepts of traditional physics to economics, typically consist of large systems of economic agents who are characterized by the amount of money…
This paper is concerned with the uniqueness issue of open-loop equilibrium investment strategies of dynamic mean-variance portfolio selection problems with random coefficients. A unified method is developed to treat both the problems with…
We consider the ideal-gas models of trading markets, where each agent is identified with a gas molecule and each trading as an elastic or money-conserving (two-body) collision. Unlike in the ideal gas, we introduce saving propensity…
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and…
Providing commons in the risky world is crucial for human survival, however, suffers more from the "free-riding" problem. Here, we proposed a solution that limits the access of the resource to an agent and tested its efficiency with a novel…
We analyze a conservative market model for the competition among economic agents in a close society. A minimum dynamics ensures that the poorest agent has a chance to improve its economic welfare. After a transient, the system…
Take up of microcredit by the poor for investment in businesses or human capital turned out to be very low. We show that this could be explained by risk aversion, without relying on fixed costs or other forms of non-convexity in the…