相关论文: Twenty-five years of random asset exchange modelin…
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior),…
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the…
Socio-economic inequalities derived from an exhaustive wealth distribution is studied in a closed geographical region from Transylvania (Romania). Exhaustive wealth data is computed from the agricultural records of the Sancraiu commune for…
Simple stochastic exchange games are based on random allocation of finite resources. These games are Markov chains that can be studied either analytically or by Monte Carlo simulations. In particular, the equilibrium distribution can be…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
The enterprise of trying to explain different social and economic phenomena using concepts and ideas drawn from physics has a long history. Statistical mechanics, in particular, has been often seen as most likely to provide the means to…
We discuss a possibility of deriving an H-theorem for nonlinear discrete time evolution equation that describes random wealth exchanges. In such kinetic models economical agents exchange wealth in pairwise collisions just as particles in a…
Random partition models are widely used in Bayesian methods for various clustering tasks, such as mixture models, topic models, and community detection problems. While the number of clusters induced by random partition models has been…
We investigate the accumulated wealth distribution by adopting evolutionary games taking place on scale-free networks. The system self-organizes to a critical Pareto distribution (1897) of wealth $P(m)\sim m^{-(v+1)}$ with $1.6 < v <2.0$…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…
Studies of wealth inequality often assume that an observed wealth distribution reflects a system in equilibrium. This constraint is rarely tested empirically. We introduce a simple model that allows equilibrium but does not assume it. To…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
Relational arrays represent measures of association between pairs of actors, often in varied contexts or over time. Trade flows between countries, financial transactions between individuals, contact frequencies between school children in…
The conservative wealth-exchange process derived from trade interactions is modeled as a multiplicative stochastic transference of value, where each interaction multiplies the wealth of the poorest of the two intervening agents by a random…
Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that describes the exchange of wealth between $n$ economic agents, we analyze the evolution of the corresponding economies under the assumption of a Gaussian background,…
Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…
Linear stochastic models and discretized kinetic theory are two complementary analytical techniques used for the investigation of complex systems of economic interactions. The former employ Langevin equations, with an emphasis on stock…