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.
We propose some kinetic models of wealth exchange and investigate their behavior on directed networks though numerical simulations. We observe that network topology and directedness yields a variety of interesting features in these models. The nature of asset distribution in such directed networks show varied results, …
New models reduce regional inequality by adjusting exchange range and asset distribution bias.
Analytical results bound the approach to oligarchy in a modified asset exchange model.
Study explores how wealth dynamics change with preferential interactions in kinetic exchange models.
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…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we examine a few models in and out of the domain of standard neo-classical economics t…
We discuss several multi-agent models that have their origin in the kinetic exchange theory of statistical mechanics and have been recently applied to a variety of problems in the social sciences. This class of models can be easily adapted for simulations in areas other than physics, such as the modeling of income and …
New method trains deep neural networks for non-interacting kinetic-energy functionals in DFT.
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or uni-directional movements of wealth. Such dynamics produces wealth distributions …
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges. We describe the trading of the goods by means of some fundamental rules in price…
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…
Firm growth process in the developing economies is known to produce divergence in their growth path giving rise to bimodality in the size distribution. Similar bimodality has been observed in wealth distribution as well. Here, we introduce a modified kinetic exchange model which can reproduce such features. In particul…
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…
We review the basic kinetic wealth-exchange models of Angle [J. Angle, Social Forces 65 (1986) 293; J. Math. Sociol. 26 (2002) 217], Bennati [E. Bennati, Rivista Internazionale di Scienze Economiche e Commerciali 35 (1988) 735], Chakraborti and Chakrabarti [A. Chakraborti, B. K. Chakrabarti, Eur. Phys. J. B 17 (2000) 1…
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…
An original method, assuming potential and kinetic energy for prices and conservation of their sum is developed for forecasting exchanges. Connections with power law are shown. Semiempirical applications on S&P500, DJIA, and NASDAQ predict a coming recession in them. An emerging market, Istanbul Stock Exchange index IS…
The Kinetic Gas Theory like two-agent money exchange models, recently introduced in the Econophysics of Wealth distributions, are revisited. The emergence of Boltzmann-Gibbs like distribution of individual money to Pareto's law in the tail of the distribution is examined in terms of 2x2 Transition matrix with a general…
It has been pointed out by Patriarca et al. (2005) that the power-law tailed equilibrium distribution in heterogeneous kinetic exchange models with a distributed saving parameter can be resolved as a mixture of Gamma distributions corresponding to particular subsets of agents. Here, we propose a new four-parameter stat…
In this paper, we study the inequality indices for some models of wealth exchange. We calculated Gini index and newly introduced k-index and compare the results with reported empirical data available for different countries. We have found lower and upper bounds for the indices and discuss the efficiencies of the models…
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 trade; the latter is based on systems of ordinary differential equations and is bett…
We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics. In this scheme the mechanisms of the particle interaction can be widely investiga…
In the last decade, a large body of literature has been developed to explain the universal features of inequality in terms of income and wealth. By now, it is established that the distributions of income and wealth in various economies show a number of statistical regularities. There are several models to explain such …
A new method for pricing exchange options under stochastic volatility and jumps.
The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive the wealth distribution using discrete and continuous stochastic processes (random exchange models) as well as related…
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population. This distribution is determined for generic exchange rules --- transactions that…
Optimal design of automated market makers for decentralized exchanges.
The statistical mechanics approach to wealth distribution is based on the conservative kinetic multi-agent model for money exchange, where the local interaction rule between the agents is analogous to the elastic particle scattering process. Here, we discuss the role of a class of conservative local operators, and we s…
Develops numerical methods for pricing exchange options in a market with limited liquidity.
CFMMs solve complex multi-asset trades via convex optimization.
It is known that asset exchange models with symmetric interaction between agents show either a Gibbs/log-normal distribution of assets among the agents or condensation of the entire wealth in the hands of a single agent, depending upon the rules of exchange. Here we explore the effects of introducing asymmetry in the i…
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…
We discuss the equivalence between kinetic wealth-exchange models, in which agents exchange wealth during trades, and mechanical models of particles, exchanging energy during collisions. The universality of the underlying dynamics is shown both through a variational approach based on the minimization of the Boltzmann e…
Study examines the impact of employment benefit costs on firm profitability.
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be stronger than in the one-currency case. By combining well-known models by Merton …
Increasingly, a huge amount of statistics have been gathered which clearly indicates that income and wealth distributions in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium. However, it also deviates in the low income and more significantl…
We propose in this work a kinetic wealth-exchange model of economic growth by introducing saving as a non consumed fraction of production. In this new model, which starts also from microeconomic arguments, it is found that economic transactions between pairs of agents leads the system to a macroscopic behavior where to…
SVAR-LiNGAM reveals causal order in crypto-asset markets.
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…
MiCA regulation led to a shift in stablecoin dominance.
Numerical method for pricing exchange options with stochastic volatility and jumps.
Study shows SEC crypto classification led to significant market reactions.
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient measures such as the means and covariances of the respective log returns. Here, we dev…
Study exchange option pricing with stochastic volatility and correlation.
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular atten…
The study assesses music as an investment asset class using discounted cashflow models.
This paper compares AMMs and LOBs in exchange mechanisms, formalizing complexity vs. expressiveness trade-offs.
Study compares Web3 tokens to traditional assets, finding similar statistical properties.
New dynamic curves improve cryptocurrency exchange liquidity.