综合金融
General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system.…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the influence of knowledge in the evolution of wealth in a system of agents which interact through the binary trades introduced in Cordier, Pareschi,…
We introduce a probabilistic model of labor markets for university graduates, in particular, in Japan. To make a model of the market efficiently, we take into account several hypotheses. Namely, each company fixes the (business year…
Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors,…
Using public data (Forbes Global 2000) we show that the asset sizes for the largest global firms follow a Pareto distribution in an intermediate range, that is ``interrupted'' by a sharp cut-off in its upper tail, where it is totally…
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general…
Firm growth process in the developing economies is known to produce divergence in their growth path giving rise to bimodality in the size distribution. Similar bimodality has been observed in wealth distribution as well. Here, we introduce…
We investigate the community structure of the global ownership network of transnational corporations. We find a pronounced organization in communities that cannot be explained by randomness. Despite the global character of this network,…
We demonstrate by mathematical analysis and systematic computer simulations that redistribution can lead to sustainable growth in a society. The human capital dynamics of each agent is described by a stochastic multiplicative process which,…
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…
Yard-Sale (YS) is a stochastic multiplicative wealth-exchange model with two phases: a stable one where wealth is shared, and an unstable one where wealth condenses onto one agent. YS is here studied numerically on 1d rings, 2d square…
The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat's law of proportionate effects as the result of…
We propose a novel approach and an empirical procedure to test direct contagion of growth rate in a trade credit network of firms. Our hypotheses are that the use of trade credit contributes to contagion (from many customers to a single…
We present a model of an economy inspired by individual based model approaches in evolutionary ecology. We demonstrate that evolutionary dynamics in a space of companies interconnected through a correlated interaction matrix produces time…
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through…
The aim of this work is to establish the personal income distribution from the elementary constituents of a free market; products of a representative good and agents forming the economic network. The economy is treated as a self-organized…
High-value transactions between Australian banks are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles…
We present a model of predatory traders interacting with each other in the presence of a central reserve (which dissipates their wealth through say, taxation), as well as inflation. This model is examined on a network for the purposes of…
The space of probability distributions on a given sample space possesses natural geometric properties. For example, in the case of a smooth parametric family of probability distributions on the real line, the parameter space has a…