Related papers: Dynamical change of Pareto index in Japanese land …
Social inequalities are ubiquitous and here we show that the values of the Gini ($g$) and Kolkata ($k$) indices, two generic inequality indices, approach each other (starting from $g = 0$ and $k = 0.5$ for equality) as the competitions grow…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…
In this paper, non-life insurance claims were modelled under the three parameter discrete generalised Pareto distribution. Data from the National Insurance Commission of Ghana on reported and settled claims were considered for the period…
Distant regional cross correlations are analyzed for seismicity in Japan by making use of the theory of random matrices as the null hypothesis. The empirical correlation matrix is shown to strongly deviate from the random matrix of the…
In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative…
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at…
We study the time change of the relation between the rank of a racehorse in the Japan Racing Association and the result of victory or defeat. Horses are ranked according to the win bet fractions. As the vote progresses, the racehorses are…
This article contains new tools for studying the shape of the stationary distribution of sizes in a dynamic economic system in which units experience random multiplicative shocks and are occasionally reset. Each unit has a Markov-switching…
In this article we apply the technique proposed in Deng-Hou-Yu (Comm. PDE, 2005) to study the level set dynamics of the 2D quasi-geostrophic equation. Under certain assumptions on the local geometric regularity of the level sets of…
We analyze regional earthquake energy statistics from the Southern California and Japan seismic catalogs and find scale-invariant energy distributions characterized by an exponent $\tau \simeq 1.67$. To quantify how closely scale-invariant…
Understanding the impact of trades on prices is a crucial question for both academic research and industry practice. It is well established that impact follows a square-root impact as a function of traded volume. However, the microscopic…
We study the optimal decisions and equilibria of agents who aim to minimize their risks by allocating their positions over extremely heavy-tailed (i.e., infinite-mean) and possibly dependent losses. The loss distributions of our focus are…
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral…
In our simplified description `wealth' is money ($m$). A kinetic theory of gas like model of money is investigated where two agents interact (trade) selectively and exchange some amount of money between them so that sum of their money is…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
The dynamics of coupled 2D chaotic maps with time-delay on a scalefree-tree is studied, with different types of the collective behaviors already been reported for various values of coupling strength [1]. In this work we focus on the…
We consider $n$ independent random points uniformly distributed in the $d_n$-dimensional unit cube and study Pareto points, that is, points that do not coordinatewise dominate any other point. We identify the critical growth rate of $d_n$…
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x,…
We show that an economic system populated by multiple agents generates an equilibrium distribution in the form of multiple scaling laws of conditional PDFs, which are sufficient for characterizing the probability distribution. The existence…
We propose a kinetic model to describe the dynamical evolution of wealth and knowledge in national and global markets, starting from a microscopic description of individual interactions. The model is built upon interaction rules that…