相关论文: Detailed simulation results for some wealth distri…

Kingman's model describes the evolution of a one-locus haploid population of infinite size and discrete generations under the competition of selection and mutation. A random generalisation has been made in a previous paper which assumes all…

A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…

The distribution of income and wealth in developed economies exhibits a robust two-class structure: an exponential (Boltzmann--Gibbs) bulk covering $\sim\!97\%$ of the population, and a power-law (Pareto) tail in the upper $\sim\!3\%$. We…

In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…

In this work, we modify the affine wealth model of wealth distributions to examine the effects of nonconstant redistribution on the very wealthy. Previous studies of this model, restricted to flat redistribution schemes, have demonstrated…

We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large-sample limit. The asymptotic distributions are derived for both the case where the estimators are tuned to perform consistent…

We present a novel reshuffling exchange model and investigate its long time behavior. In this model, two individuals are picked randomly, and their wealth $X_i$ and $X_j$ are redistributed by flipping a sequence of fair coins leading to a…

We address the issue of the dynamics of wealth accumulation and economic crisis triggered by extreme inequality, attempting to stick to most possibly intrinsic assumptions. Our general framework is that of pure or modified multiplicative…

We provide an exact solution to the ideal-gas-like models studied in econophysics to understand the microscopic origin of Pareto-law. In these class of models the key ingredient necessary for having a self-organized scale-free steady-state…

In this paper we review some general properties of probability distributions which exibit a singular behavior. After introducing the matter with several examples based on various models of statistical mechanics, we discuss, with the help of…

I present here some results on the statistical behaviour of large random matrices in an ensemble where the probability distribution is not a function of the eigenvalues only. The perturbative expansion can be cast in a closed form and the…

In this work the diffusion in the quenched trap model with diverging mean waiting times is examined. The approach of randomly stopped time is extensively applied in order to obtain asymptotically exact representation of the disorder…

We focus on the problem of how wealth is distributed among the units of a networked economic system. We first review the empirical results documenting that in many economies the wealth distribution is described by a combination of…

We study the properties of a subclass of stochastic processes called discrete time nonlinear Markov chains with an aggregator, which naturally appear in various topics such as strategic queueing systems, inventory dynamics, opinion…

The dynamics of generalized Lotka-Volterra systems is studied by theoretical techniques and computer simulations. These systems describe the time evolution of the wealth distribution of individuals in a society, as well as of the market…

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…

The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…

In the context of Monte Carlo simulations, the analysis of the probability distribution $P_L(m)$ of the order parameter $m$, as obtained in simulation boxes of finite linear extension $L$, allows for an easy estimation of the location of…

Empirical distributions of wealth and income can be reproduced using simplified agent-based models of economic interactions, analogous to microscopic collisions of gas particles. Building upon these models of freely interacting agents, we…

We analyze three sets of income data: the US Panel Study of Income Dynamics PSID), the British Household Panel Survey (BHPS), and the German Socio-Economic Panel (GSOEP). It is shown that the empirical income distribution is consistent with…