Related papers: Money Exchange Model and a general Outlook
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 look at how asset exchange models can be mapped to random iterated function systems (IFS) giving new insights into the dynamics of wealth accumulation in such models. In particular, we focus on the "yard-sale" (winner gets a random…
In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of this statistical equilibrium for this…
We analyze an ideal gas like model of a trading market with quenched random saving factors for its agents and show that the steady state income ($m$) distribution $P(m)$ in the model has a power law tail with Pareto index $\nu$ exactly…
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…
Kinetic lattice-gas models display fragile glass behavior, in spite of their trivial Gibbs-Boltzmann measure. This suggests that the nature of glass transition might be, at least in some cases, understood in purely kinetic or dynamical…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
Pareto distributions, and power laws in general, have demonstrated to be very useful models to describe very different phenomena, from physics to finance. In recent years, the econophysical literature has proposed a large amount of papers…
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was…
We argue that a stochastic model of economic exchange, whose steady-state distribution is a Generalized Beta Prime (also known as GB2), and some unique properties of the latter, are the reason for GB2's success in describing wealth/income…
We formulate a flexible micro-to-macro kinetic model which is able to explain the emergence of income profiles out of a whole of individual economic interactions. The model is expressed by a system of several nonlinear differential…
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
We present analytical results for the Gini coefficient of economic inequality under the dynamics of a modified Yard-Sale Model of kinetic asset exchange. A variant of the Yard-Sale Model is introduced by modifying the underlying binary…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
In most countries, alcohol consumption distributions have been shown to possess universal features. Their unimodal right-skewed shape is usually modeled in terms of the Lognormal distribution, which is easy to fit, test, and modify.…
Homogeneous Boltzmann-type equations are an established tool for modelling interacting multi-agent systems in sociophysics by means of the principles of statistical mechanics and kinetic theory. A customary implicit assumption is that…
Owing to the analogies between the problem of wealth redistribution with taxation in a multi-agent society, we introduce and discuss a kinetic model describing the statistical distributions in time of the sizes of groups of biological…
In this paper, we continue our analysis of spatial versions of agent-based models for the dynamics of money that have been introduced in the statistical physics literature, focusing on two models with debts. Both models consist of systems…
We prove that Pareto theory of circulation of elites results from our wealth evolution model, Kelly criterion for optimal betting and Keynes' observation of "animal spirits" that drive the economy and cause that human financial decisions…
We consider an ideal closed stock market, in which 100 traders have economic activities. The assets of the traders change through buying and selling stocks. We simulate the assets under conservation of both total currency and total number…