Related papers: Transfer Potentials shape and equilibrate Monetary…
This paper studies the role of banks' money creation in monetary transmission. I develop a monetary-search model where demand for the monetary base and the money multiplier are endogenously determined through banks' money creation. The…
The monetary transmission channel is disrupted by many factors, especially securitization and liquidity traps. In our study we try to estimate the effect of securitization on the interest elasticity and to identify if a liquidity trap…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
We derive detailed and intergral fluctuation relations as well as a Thermodynamic Uncertainty Relation constraining the exchange statistics of an arbitrary number of non-commuting conserved quantities among two quantum systems in transport…
Consider the following collective choice problem: a group of budget constrained agents must choose one of several alternatives. Is there a budget balanced mechanism that: i) does not depend on the specific characteristics of the group, ii)…
Exchangeability -- in which the distribution of an infinite sequence is invariant to reorderings of its elements -- implies the existence of a simple conditional independence structure that may be leveraged in the design of statistical…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
We analyse the sensitivity of a spin chain modelled by an undirected weighted connected graph exhibiting perfect state transfer to small perturbations in readout time and edge weight in order to obtain physically relevant bounds on the…
This note explains why a large class of fair, or reversible "money games", i.e., stochastic models of wealth redistribution among agents, lead to steady states described by canonical and microcanonical distributions. The games considered…
We employ the density matrix renormalization group to construct the exact time-dependent exchange correlation potential for an impurity model with an applied transport voltage. Even for short-ranged interaction we find an infinitely…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow…
This research studies the relation between money and prices and its practical implications analyzing quarterly data from United States (1959-2022), Canada (1961-2022), United Kingdom (1986-2022), and Brazil (1996-2022). The historical,…
Boltzmann-Gibbs distribution arises as the statistical equilibrium probability distribution of money among the agents of a closed economic system where random and undirected exchanges are allowed. When considering a model with uniform…
We study multidimensional mechanism design in a common scenario where players have private information about their willingness to pay and their ability to pay. We provide a complete characterization of dominant-strategy incentive-compatible…
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad…
This work solves the equilibrium price formation problem for the risky stock by combining mean-field game theory with the binomial tree framework, adapting the classic approach of Cox, Ross \& Rubinstein. For agents with exponential and…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
Asset exchange models (AEMs) provide a physics-inspired framework for studying wealth formation. These models capture wealth distribution dynamics via pairwise money exchanges, yielding steady-state distributions from exponential to…
Transfer entropy (TE) captures the directed relationships between two variables. Partial transfer entropy (PTE) accounts for the presence of all confounding variables of a multivariate system and infers only about direct causality. However,…