Related papers: Dynamical change of Pareto index in Japanese land …
In a recent article [Nature 421, 130 (2003)], Plerou, Gopikrishnan and Stanley report some evidence for an intriguing two-phase behavior of financial markets when studying the distribution of volume imbalance conditional to the local…
In this paper, we discuss the large--time behavior of solution of a simple kinetic model of Boltzmann--Maxwell type, such that the temperature is time decreasing and/or time increasing. We show that, under the combined effects of the…
We consider the phase-ordering kinetics of one-dimensional scalar systems. For attractive long-range ($r^{-(1+\sigma)}$) interactions with $\sigma>0$, ``Energy-Scaling'' arguments predict a growth-law of the average domain size $L \sim…
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are influenced by claim management and claims may for instance…
We solve in closed-form an equilibrium model in which a finite number of exponential investors continuously consume and trade with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification…
This paper explores when the financial market lost the price formation function in prewar Japan in the sense of Fama's (1970) semi-strong form market efficiency using a new dataset. We particularly focus on the relationship between the…
Statistical models of economic distributions lead to Boltzmann distributions rather than a Pareto power law. This result is supported by two facts: 1. the distributions of income, car sales, marriages or jobs are a matter of chances and…
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces…
A computational model for the distribution of wealth among the members of an ideal society is presented. It is determined that a realistic distribution of wealth depends upon two mechanisms: an asymmetric flux of wealth in trading…
Consistency relations for chaotic inflation with a monomial potential and natural inflation and hilltop inflation are given which involve the scalar spectral index $n_s$, the tensor-to-scalar ratio $r$ and the running of the spectral index…
We use the theory of complex networks in order to quantitatively characterize the formation of communities in a particular financial market. The system is composed by different banks exchanging on a daily basis loans and debts of liquidity.…
A new non-parametric statistic is introduced for the characterization of deviations from power laws. It is tested on the distribution of seismic energies given by the Gutenberg-Richter law. Based on the two first statistical log-moments, it…
Finding equilibria of the finite size Kuramoto model amounts to solving a nonlinear system of equations, which is an important yet challenging problem. We translate this into an algebraic geometry problem and use numerical methods to find…
We propose an efficient estimation method for the income Pareto exponent when only certain top income shares are observable. Our estimator is based on the asymptotic theory of weighted sums of order statistics and the efficient minimum…
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal…
In this study, the authors examine exhaustive business data on Japanese firms, which cover nearly all companies in the mid- and large-scale ranges in terms of firm size, to reach several key findings on profits/sales distribution and…
The distribution of wealth in the Hungarian medieval aristocratic society is reported and studied. The number of serf families belonging to a noble is taken as a measure of the corresponding wealth. Our results reveal the power-law nature…
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form $Pr(X>x) ~ x**(-alpha) for…
In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…
Competition is a main tenet of economics, and the reason is that a perfectly competitive equilibrium is Pareto-efficient in the absence of externalities and public goods. Whether a product is selected in a market crucially relates to its…