Related papers: Correlation between Risk Aversion and Wealth distr…
We introduce a minimal agent-based model to qualitatively conceptualize the allocation of limited wealth among more abundant opportunities. We study the interplay of power, satisfaction and frustration in distribution, concentration, and…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
This paper is concerned with general spatially explicit versions of three stochastic models for the dynamics of money that have been introduced and studied numerically by statistical physicists: the uniform reshuffling model, the immediate…
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…
The conservative wealth-exchange process derived from trade interactions is modeled as a multiplicative stochastic transference of value, where each interaction multiplies the wealth of the poorest of the two intervening agents by a random…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…
We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed…
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…
For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and the aggregated risk in the market. Risk is measured by…
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 investigate the detailed dynamics of gains and losses made by agents in some kinetic models of wealth exchange. The concept of a walk in an abstract gain-loss space for the agents had been introduced in an earlier work. For models in…
Exponential distribution is ubiquitous in the framework of multi-agent systems. An alternative approach with an economic motivation to derive the exponential distribution in the framework of iterations in the space of distributions is…
Income and wealth distribution affect stability of a society to a large extent and high inequality affects it negatively. Moreover, in the case of developed countries, recently has been proven that inequality is closely related to all…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
Agents' learning from feedback shapes economic outcomes, and many economic decision-makers today employ learning algorithms to make consequential choices. This note shows that a widely used learning algorithm, $\varepsilon$-Greedy, exhibits…
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…
We study the poor-biased model for money exchange introduced in [2]: agents are being randomly picked at a rate proportional to their current wealth, and then the selected agent gives a dollar to another agent picked uniformly at random.…
Multi-agent models have been used in many contexts to study generic collective behavior. Similarly, complex networks have become very popular because of the diversity of growth rules giving rise to scale-free behavior. Here we study…