Related papers: Effects of Saving and Spending Patterns on Holding…
It is a challenging task to identify the best possible models based on given empirical data of observed time series. Though the financial markets provide us with a vast amount of empirical data, the best model selection is still a big…
This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…
For various species of biological cells, experimental observations indicate the existence of universal distributions of the cellular size, scaling relations between the cell-size moments and simple rules for the cell-size control. We…
We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…
Extensive simulations are performed to study the persistence behavior of a conserved lattice gas model exhibiting an absorbing phase transition from an active phase into an inactive phase. Both the global and the local persistence exponents…
Models in econophysics, i.e., the emerging field of statistical physics that applies the main concepts of traditional physics to economics, typically consist of large systems of economic agents who are characterized by the amount of money…
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
We present a stylized model with feedback loops for the evolution of a population's wealth over generations. Individuals have both talent and wealth: talent is a random variable distributed identically for everyone, but wealth is a random…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
The exponential upper bounds for the convergence rate of the distribution of restorable element with partially energized standby redundancy are founded, in the case when all working and repair times are bounded by exponential random…
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset…
This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account…
Zipf's power-law distribution is a generic empirical statistical regularity found in many complex systems. However, rather than universality with a single power-law exponent (equal to 1 for Zipf's law), there are many reported deviations…
Complex systems can be characterized by classes of equivalency of their elements defined according to system specific rules. We propose a generalized preferential attachment model to describe the class size distribution. The model…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
It has experimentally been found by Lampo et al. [Biophys. J. 112, 532 (2017)] that, for two different types of cell, the distribution of the diffusivities of RNA-protein particles over cytoplasm obeys an exponential law. Then, an…
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…