相关论文: Dynamic Process of Money Transfer Models

The transfer entropy is a well-established measure of information flow, which quantifies directed influence between two stochastic time series and has been shown to be useful in a variety fields of science. Here we introduce the transfer…

We live in a world increasingly dominated by networks -- communications, social, information, biological etc. A central attribute of many of these networks is that they are dynamic, that is, they exhibit structural changes over time. While…

Systems switching between different dynamical phases is an ubiquitous phenomenon. The general understanding of such a process is limited. To this end, we present a general expression that captures fluctuations of a system exhibiting a…

The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…

We study time series concerning rare events. The occurrence of a rare event is depicted as a jump of constant intensity always occurring in the same direction, thereby generating an asymmetric diffusion process. We consider the case where…

Human activity patterns display a bursty dynamics, with interevent times following a heavy tailed distribution. This behavior has been recently shown to be rooted in the fact that humans assign their active tasks different priorities, a…

Prize linked savings accounts provide a return in the form of randomly chosen accounts receiving large cash prizes, in lieu of a guaranteed and uniform interest rate. This model became legal for American national banks upon bipartisan…

Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…

In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…

The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…

The aim of this paper is to analyze a class of random motions which models the motion of a particle on the real line with random velocity and subject to the action of the friction. The speed randomly changes when a Poissonian event occurs.…

We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…

Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…

We consider a random trial-based telegraph process, which describes a motion on the real line with two constant velocities along opposite directions. At each epoch of the underlying counting process the new velocity is determined by the…

We study the stochastic motion of active particles that undergo spontaneous transitions between two distinct modes of motion. Each mode is characterized by a velocity distribution and an arbitrary (anti-)persistence. We present an…

The last twenty-five years have seen the development of a significant literature within the subfield of econophysics which attempts to model economic inequality as an emergent property of stochastic interactions among ensembles of agents.…

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…

We introduce a statistical mechanics formalism for the study of constrained graph evolution as a Markovian stochastic process, in analogy with that available for spin systems, deriving its basic properties and highlighting the role of the…

The prediction of both the existence and weight of network links at future time points is essential as complex networks evolve over time. Traditional methods, such as vector autoregression and factor models, have been applied to small,…

The dynamics of a one dimensional quantum walker on the lattice with two internal degrees of freedom, the coin states, is considered. The discrete time unitary dynamics is determined by the repeated action of a coin operator in U(2) on the…