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Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
This study investigates the emergence of power-law and other concentrated distributions through a feedback loop model in crowd interactions. Agents act by their response functions to observations and external forces, while observations…
A mapping of nonextensive statistical mechanics into Gibbs' statistical mechanics exists, which leads to a generalization of Einstein's formula for fluctuations. A unified treatment of stability of relaxed states in nonextensive statistical…
Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two…
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…
Stochastic systems characterised by a random driving in a form of the general stable noise are considered. The particle experiences long rests due to the traps the density of which is position-dependent and obeys a power-law form attributed…
Statistical properties of coupled dynamic-stochastic systems are studied within a combination of the maximum information principle and the superstatistical approach. The conditions at which the Shannon entropy functional leads to a…
We study a stochastic model for the diffusion of competing opinions in a population composed of three types of agents: trend-followers, opposers, and indifferent individuals. The decision dynamics are driven by reinforcement mechanisms,…
Throughout history most young adults have chosen to live where their parents did while a smaller number moved away. This is sufficient, by proof and simulation, to account for the well-known power law distributions of city sizes. The model…
Empirical evidence shows that wealthy households have substantially higher saving rates and markedly lower marginal propensity to consume (MPC) than other groups. Existing theory cannot account for this pattern unless under restrictive…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
We report on a fundamental role of a non-normalized formal steady state, i.e., an infinite invariant density, in a semi-Markov process where the state is determined by the inter-event time of successive renewals. The state describes certain…
We present the data on wealth and income distributions in the United Kingdom, as well as on the income distributions in the individual states of the USA. In all of these data, we find that the great majority of population is described by an…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times…
We introduce and solve a model that mimics the herding effect in financial markets when groups of agents share information. The number of agents in the model is growing and at each time step either (i) with probability $p$ an incoming agent…
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness…
This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…
By convention, and even more often, as an unintentional consequence of design, time distributions of latency and infectious durations in stochastic epidemic simulations are often exponential. The skewed distribtion typically leads to…
The frequency of the preferred order for a noun phrase formed by demonstrative, numeral, adjective and noun has received significant attention over the last two decades. We investigate the actual distribution of the 24 possible orders.…