Related papers: Properties of the wealth process in a market micro…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
One of the key socioeconomic phenomena to explain is the distribution of wealth. Bouchaud and M\'ezard have proposed an interesting model of economy [Bouchaud and M\'ezard (2000)] based on trade and investments of agents. In the mean-field…
Lattice investment projects support process model with corruption is formulated and analyzed. The model is based on the Ising lattice model of ferromagnetic but takes deal with the social phenomenon. Set of corruption agents is considered.…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price…
We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
We examine the statistical properties of a closed monetary economy with multi-aggregates interactions. Building upon Yakovenko's single-agent monetary model (Dragulescu and Yakovenko, 2000), we investigate the joint equilibrium distribution…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
The addition of wealth-attained advantage (WAA) to the Yard-Sale Model (YSM) of asset exchange has been demonstrated to induce wealth condensation. In a model of WAA for which the bias is a continuous function of the wealth difference of…
We study the role of heterogeneous volatility in a networked wealth dynamics model and its impact on the wealth condensation transition. Extending the Bouchaud--M{\'e}zard framework, we introduce binary volatility in networks and…
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…
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…
A continuous-path semimartingale market model with wealth processes discounted by a riskless asset is considered. The numeraire portfolio is the unique strictly positive wealth process that, when used as a benchmark to denominate all other…
We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual…
In the standard minority game, every agent switches to his best strategy in hand at each time step. If only a small number of agents are allowed to switch their strategies at each time step, the population variance of the system plunges.…
We study the evolution of social clusters, in an analogy with physical spin systems, and in detail show the importance of the concept of the "self" of each agent with quantifiable variable attributes. We investigate the effective influence…
Existing theories of migration either focus on micro- or macroscopic behavior of populations; that is, either the average behavior of entire population is modeled directly, or decisions of individuals are modeled directly. In this work, we…