Related papers: Dynamic Process of Money Transfer Models
The interaction of all mobile species with their environment hinges on their movement patterns: the places they visit and how frequently they go there. In human society, where the prevalent form of cohabitation is in cities, the highly…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
Consider a model where $N$ equal agents possess `values', belonging to $\mathbb{N}_0$, that are subject to incremental growth over time. More precisely, the values of the agents are represented by $N$ independent, increasing $\mathbb{N}_0$…
Stochastic dynamical systems arise as models for fluid particle motion in geophysical flows with random velocity fields. Escape probability (from a fluid domain) and mean residence time (in a fluid domain) quantify fluid transport between…
We introduce a new formulation of asset trading games in continuous time in the framework of the game-theoretic probability established by Shafer and Vovk (Probability and Finance: It's Only a Game! (2001) Wiley). In our formulation, the…
We investigate fluid transport in random velocity fields with unsteady drift. First, we propose to quantify fluid transport between flow regimes of different characteristic motion, by escape probability and mean residence time. We then…
In this paper, we analyze the dynamics of spreading processes taking place over time-varying networks. A common approach to model time-varying networks is via Markovian random graph processes. This modeling approach presents the following…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
We study here the random diffusion model. This is a continuum model for a conserved scalar density field $\phi$ driven by diffusive dynamics. The interesting feature of the dynamics is that the {\it bare} diffusion coefficient $D$ is…
Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population.…
The conservative wealth-exchange process derived from trade interactions is modeled as a multiplicative stochastic transference of value, where each interaction multiplies the wealth of the poorest of the two intervening agents by a random…
We report the numerical results for the steady state income or wealth distribution $P(m)$ and the resulting inequality measures (Gini $g$ and Kolkata $k$ indices) in the kinetic exchange models of market dynamics. We study the variations of…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
The transport equation of active motion is generalised to consider time-fractional dynamics for describing the anomalous diffusion of self-propelled particles observed in many different systems. In the present study, we consider an…
With the popularity of portable wireless devices it is important to model and predict how information or contagions spread by natural human mobility -- for understanding the spreading of deadly infectious diseases and for improving delay…
The rich-get-richer mechanism (agents increase their ``wealth'' randomly at a rate proportional to their holdings) is often invoked to explain the Pareto power-law distribution observed in many physical situations, such as the degree…
We consider the discrete time unitary dynamics given by a quantum walk on the lattice $\Z^d$ performed by a quantum particle with internal degree of freedom, called coin state, according to the following iterated rule: a unitary update of…
This Colloquium reviews statistical models for money, wealth, and income distributions developed in the econophysics literature since the late 1990s. By analogy with the Boltzmann-Gibbs distribution of energy in physics, it is shown that…