相关论文: Ideal-gas like market models with savings: quenche…

This paper links matching markets with aligned preferences to optimal transport theory. We show that stability, efficiency, and fairness emerge as solutions to a parametric family of optimal transport problems. The parameter reflects…

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…

We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…

In fair division, equitability dictates that each participant receives the same level of utility. In this work, we study equitable allocations of indivisible goods among agents with additive valuations. While prior work has studied…

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…

We study the effect of altruism in two simple asset exchange models: the yard sale model (winner gets a random fraction of the poorer player's wealth) and the theft and fraud model (winner gets a random fraction of the loser's wealth). We…

We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…

We study an ideal-gas-like model where the particles exchange energy stochastically, through energy conserving scattering processes, which take place if and only if at least one of the two particles has energy below a certain energy…

The richness of the mean-field solution of simple glasses leaves many of its features challenging to interpret. A minimal model that illuminates glass physics the same way the random energy model clarifies spin glass behavior would…

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 $1.6 < v <2.0$…

Rising inequalities around the globe bring into question our economic systems and the origin of such inequalities. Here we propose a toy agent-based model where each entity is simultaneously producing and consuming indivisible goods. We…

We study distributions which have both fractal and non-fractal scale regions by introducing a typical scale into a scale invariant system. As one of models in which distributions follow power law in the large scale region and deviate…

It has been conjectured that canonical Bewley--Huggett--Aiyagari heterogeneous-agent models cannot explain the joint distribution of income and wealth. The results stated below verify this conjecture and clarify its implications under very…

We study the equilibrium properties of an Ising frustrated lattice gas with a mean field replica approach. This model bridges usual {\em Spin Glasses} and a version of {\em Frustrated Percolation} model, and has proven relevant to describe…

This paper combines ideas from classical economics and modern finance with the general Lotka-Volterra models of Levy & Solomon to provide straightforward explanations of wealth and income distributions. Using a simple and realistic economic…

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 order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…

The addition of wealth-attained advantage (WAA) to the Yard-Sale Model (YSM) of asset exchange has been demonstrated to induce wealth condensation. In a model of WAA for which the bias is a continuous function of the wealth difference of…

In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…

Why are human societies unstable? Theories based on the observation of recurring patterns in historical data indicate that economic inequality, as well as social factors are key drivers. So far, models of this phenomenon are more…