Related papers: Capital flow in a two-component dynamical system
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…
As an example for the optimization of unstable flows, we present an economics-based method for deciding the optimal rates at which vehicles are allowed to enter a highway. It exploits the naturally occuring fluctuations of traffic flow and…
We analyze the probability distribution for entropy production rates of trajectories evolving on a class of out-of-equilibrium kinetic networks. These networks can serve as simple models for driven dynamical systems, which are of particular…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
Modern economies evolved from simpler human exchanges into very convoluted systems. Today, a multitude of aspects can be regulated, tampered with, or left to chance; these are economic {\em degrees of freedom} which together shape the flow…
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
Most complex networks serve as conduits for various dynamical processes, ranging from mass transfer by chemical reactions in the cell to packet transfer on the Internet. We collected data on the time dependent activity of five natural and…
How is it that entropy derivatives almost in their own are characterizing the state of a system close to equilibrium, and what happens further away from it? We explain within the framework of Markov jump processes why fluctuation theory can…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are at odds with the…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
The opinion dynamics of economic agents is modeled with the link structure influenced by the resulting opinions: Links between people of nearly the same opinion are more stable than those between people of vastly different opinions. A…
This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to understand the interactions of the different aspects within…
We introduce a mathematical model on the dynamics of demand and supply incorporating collectability and saturation factors. Our analysis shows that when the fluctuation of the determinants of demand and supply is strong enough, there is…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…