Related papers: Dynamical change of Pareto index in Japanese land …
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…
Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the equilibrium properties of the model with constant global…
The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…
In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
Some ground state static correlation functions for the $1/r^2$ exchange $t-J$ model of Kuramoto and Yokoyama are calculated exactly. The correlations calcualted are the pair distribution functions between two down spins, a down spin and a…
In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the…
As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years…
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 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…
We consider the ideal-gas models of trading markets, where each agent is identified with a gas molecule and each trading as an elastic or money-conserving (two-body) collision. Unlike in the ideal gas, we introduce saving propensity…
We study the finite-size effects in some scaling systems, and show that the finite number of agents N leads to a cut-off in the upper value of the Pareto law for the relative individual wealth. The exponent $\alpha$ of the Pareto law…
One dimensional stylized model taking into account spatial activity of firms with uniformly distributed customers is proposed. The spatial selling area of each firm is defined by a short interval cut out from selling space (large interval).…
We explore the house price distributions for the English cities of London, Manchester, Bristol, Newcastle, Birmingham and Leeds. We find Pareto (power law) behaviour in their upper tails, which is clearly distinct from lognormal and gamma…
The LLS stock market model is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We…
Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an…
While tourism is widely regarded as a catalyst for economic and urban transformation, its effects on land prices remain contested. This study examines tourism and land prices using a panel of 1,724 Japanese municipalities from 2021 to 2024,…