A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study approximates kinetic VFP in bounded domains using weak compactness.
We briefly review results on nonlinear kinetic equation of Boltzmann type which describe the evolution of wealth in a simple agents market. The mathematical structure of the underlying kinetic equations allows to use well-known techniques of wide use in kinetic theory of rarefied gases to obtain information on the proc…
In this paper, we consider a simple kinetic model of economy involving both exchanges between agents and speculative trading. We show that the kinetic model admits non trivial quasi-stationary states with power law tails of Pareto type. In order to do this we consider a suitable asymptotic limit of the model yielding a…
A new model connects stochastic effects to economic inequality.
Kinetic theory explains financial Brownian motion from trader dynamics.
Exact solution found for two-body financial dealer model using kinetic theory.
A kinetic model explains firm number distribution following Gibrat's law.
Kinetic models predict speculators' strategy can affect market prices.
In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in price theory, in particular by using Cobb-Douglas utility functions for the bina…
This review introduces methods for modeling and inferring stochastic biochemical kinetics.
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of agents' heterogeneity in emerging power laws for price distributions is emphasized and…
In this paper, we discuss the uniqueness in an integral geometry problem in a strongly convex domain. Our problem is related to the problem of finding a Riemannian metric by the distances between all pairs of the boundary points. For the proof, the problem is reduced to an inverse source problem for a kinetic equation …
Optimal control strategies modify wealth inequality variance.
New proof shows nonholonomic motions are geodesics, minimizing distance.
Study on kinetic Langevin diffusions and their couplings, showing subtle TV bounds and new non-Markovian couplings.
LSS learns molecular trajectories from MD data.
Study nonrigid dynamics of unitary groups on Lie groups via kinetic energy metrics.
This paper analyzes how kinetic terms in stock market equations can affect symmetry breaking.
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the evolution of wealth in a pure gambling process, where the entire sum of wealths of two agents is up for gambling, and randomly shared between the agents. For this equation the analytical form of the steady states is found for va…
A fast method learns plasma collision kernels from simulations, improving kinetic models.
Rate GENERIC extends thermodynamics principles to non-equilibrium systems.
A step by step procedure to derive analytically the exact dynamical evolution equations of the probability density functions (PDF) of well known kinetic wealth exchange economic models is shown. This technique gives a dynamical insight into the evolution of the PDF, e.g., allowing the calculation of its relaxation time…
Novel approaches for studying dynamics of Ising models, focusing on kinetic Ising model.
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the stock. The model has been inspired by the microscopic Lux-Marchesi model (T.Lux, M.…
New algorithms improve sampling from complex distributions.
Koopman models improve molecular kinetics analysis from short off-equilibrium simulations.
In this thesis, we consider the suitability of using the charged cold fluid model in the description of ultra-relativistic beams. The method that we have used is the following. Firstly, the necessary notions of kinetic theory and differential geometry of second order differential equations are explained. Then an averag…
An important class of economic models involve agents whose wealth changes due to transactions with other agents. Several authors have pointed out an analogy with kinetic theory, which describes molecules whose momentum and energy changes due to interactions with other molecules. We pursue this analogy and derive a Bolt…
Modeling high-frequency traders' behavior in financial markets using microscopic dynamics.
Using the analogy with inelastic granular gasses we introduce a model for wealth exchange in society. The dynamics is governed by a kinetic equation, which allows for self-similar solutions. The scaling function has a power-law tail, the exponent being given by a transcendental equation. In the limit of continuous trad…
Proposes a new method for constrained generative modeling using Langevin dynamics.
RC flow learns molecular kinetics in low dimensions.
Revises mean-field theory of Santa Fe model using kinetic theory.
Reduces nonlinear electromechanical dynamics through quasi-steady state hypothesis.
The paper extends Vlasov kinetic theory to time-dependent dynamics using cosymplectic and cocontact manifolds.
The paper calculates how random changes affect paths on a complex geometric space.
We deal with Lagrangian systems that are invariant under the action of a symmetry group. The mechanical connection is a principal connection that is associated to Lagrangians which have a kinetic energy function that is defined by a Riemannian metric. In this paper we extend this notion to arbitrary Lagrangians. We the…
A simplified model shows how wealth distribution can be derived from random exchanges.
Proposes new genetic algorithm rule for market competition.
Statistical evaluations of the economic mobility of a society are more difficult than measurements of the income distribution, because they require to follow the evolution of the individuals' income for at least one or two generations. In micro-to-macro theoretical models of economic exchanges based on kinetic equation…
We study the heat flow in the loop space of a closed Riemannian manifold as an adiabatic limit of the Floer equations in the cotangent bundle. Our main application is a proof that the Floer homology of the cotangent bundle, for the Hamiltonian function kinetic plus potential energy, is naturally isomorphic to the h…
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model (Econ. Lett., 45, (1994), 103--111) using the methods of kin…
We analyze an ideal gas like model of a trading market with quenched random saving factors for its agents and show that the steady state income () distribution in the model has a power law tail with Pareto index exactly equal to unity, confirming the earlier numerical studies on this model. The analysis s…
CausalKinetiX identifies stable kinetic models from noisy data.
We extend Routh's reduction procedure to an arbitrary Lagrangian system (that is, one whose Lagrangian is not necessarily the difference of kinetic and potential energies) with a symmetry group which is not necessarily Abelian. To do so we analyse the restriction of the Euler-Lagrange field to a level set of momentum i…
We introduce a new topological sigma model, whose fields are bundle maps from the tangent bundle of a 2-dimensional world-sheet to a Dirac subbundle of an exact Courant algebroid over a target manifold. It generalizes simultaneously the (twisted) Poisson sigma model as well as the G/G-WZW model. The equations of motion…
Geometric model for flag waving motion.
In this article, we briefly review the different aspects and applications of kinetic exchange models in economics and sociology. Our main aim is to show in what manner the kinetic exchange models for closed economic systems were inspired by the kinetic theory of gas molecules. The simple yet powerful framework of kinet…