相关论文: Twenty-five years of random asset exchange modelin…
This paper presents a discrete-event stochastic model for the redistribution of indistinguishable personal items, exemplified by socks, among multiple cohabitants sharing a communal laundry system. Drawing on concepts from ecological…
Self-similarity of systems is very popular and intensively developing field during last decades. To this field belong so-called stable distributions and their generalization. In Klebanov and Sl\'amov\'a (2014) there was given an approach to…
Survey data are widely used to study how income inequality, poverty, and welfare evolve over time. A common practice is to estimate the income distribution separately for each year, treating annual observations as independent…
In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing…
We study a model of wealth dynamics [Bouchaud and M\'ezard 2000, \emph{Physica A} \textbf{282}, 536] which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of…
We investigate the relation between economic growth and equality in a modified version of the agent-based asset exchange model (AEM). The modified model is a driven system that for a range of parameter space is effectively ergodic in the…
In a series of precedent papers, we have presented a comprehensive methodology, termed Field Economics, for translating a standard economic model into a statistical field-formalism framework. This formalism requires a large number of…
This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
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 review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
In Chakraborti's yard-sale model of an economy, identical agents engage in trades that result in wealth exchanges, but conserve the combined wealth of all agents and each agent's expected wealth. In this model, wealth condensation, that is,…
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
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…
This article provides a self-contained overview of the theory of rational asset price bubbles. We cover topics from basic definitions, properties, and classical results to frontier research, with an emphasis on bubbles attached to real…
This short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial…
We study conditional independence relationships for random networks and their interplay with exchangeability. We show that, for finitely exchangeable network models, the empirical subgraph densities are maximum likelihood estimates of their…
This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets `a la Duffie, Garleanu, and Pedersen, and a search-theoretic…
Several works have observed heavy-tailed behavior in the distributions of returns in different markets, which are observable indicators of underlying complex dynamics. Such prior works study return distributions that are marginalized across…