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.
Model compares altruism and individualism in wealth dynamics.
Study explores how wealth dynamics change with preferential interactions in kinetic exchange models.
Spectral portfolio theory links neural networks to wealth dynamics via SGD weight matrices.
We reformulate wealth taxation using Fokker-Planck equations to ensure tax neutrality.
Reproductive success and survival are influenced by wealth in human populations. Wealth is transmitted to offsprings and strategies of transmission vary over time and among populations, the main variation being how equally wealth is transmitted to children. Here we propose a model where we simulate both the dynamics of…
Tax dynamics affects wealth distribution in a linearly growing socio-economic model.
The study applies wealth thermalization hypothesis to social networks and explains inequality.
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on how much they invest, and stochastically on how much they gain from the noisy mark…
Extends DeTEcT framework for token economies with dynamic and probabilistic parameters.
The paper analyzes how wealth affects investment strategies in incomplete markets.
Study growth of LP wealth in G3Ms affected by trading fees and arbitrage.
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general assumptions on the cost function. This evolution drives the dynamic of the agents i…
Study chaotic dynamics in social stratification models leading to thermalization and turbulence.
The so-called "Yard-Sale Model" of wealth distribution posits that wealth is transferred between economic agents as a result of transactions whose size is proportional to the wealth of the less wealthy agent. In recent work [B.M. Boghosian, "Kinetics of Wealth and the Pareto Law," {\it Phys. Rev. E} {\bf 89} (2014) 042…
Paper proposes a framework for token economy simulation and wealth distribution.
Many models of market dynamics make use of the idea of wealth exchanges among economic agents. A simple analogy compares the wealth in a society with the energy in a physical system, and the trade between agents to the energy exchange between molecules during collisions. However, while in physical systems the equiparti…
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…
We introduce a minimal agent-based model to qualitatively conceptualize the allocation of limited wealth among more abundant opportunities. We study the interplay of power, satisfaction and frustration in distribution, concentration, and inequality of wealth. Our framework allows us to compare subjective measures of fr…
Many models of market dynamics make use of the idea of conservative wealth exchanges among economic agents. A few years ago an exchange model using extremal dynamics was developed and a very interesting result was obtained: a self-generated minimum wealth or poverty line. On the other hand, the wealth distribution exhi…
We develop a model for the evolution of wealth in a non-conservative economic environment, extending a theory developed earlier by the authors. The model considers a system of rational agents interacting in a game theoretical framework. This evolution drives the dynamic of the agents in both wealth and economic configu…
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 …
Voluntary insurance contracts constitute a puzzle because they increase the expectation value of one party's wealth, whereas both parties must sign for such contracts to exist. Classically, the puzzle is resolved by introducing non-linear utility functions, which encode asymmetric risk preferences; or by assuming the p…
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…
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent. By contrast, if poor agents are…
Optimal asset allocation strategy outperforms stochastic benchmark.
Optimizes dynamic investment portfolios with correlated jumps.
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new generalized stochastic Riccati equations from which a candidate portfolio in feedback for…
We give a microscopic representation of the stock-market in which the microscopic agents are the individual traders and their capital. Their basic dynamics consists in the auto-catalysis of the individual capital and in the global competition/cooperation between the agents mediated by the total wealth invested in the s…
Study extends wealth tax neutrality framework to heterogeneous investors.
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow for a redistribution of the wealth. However, the detailed influence of the amoun…
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate) marked point processes and so-called non-linear wealth dynamics which allows to take …
This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding behavior, we find that the emergence of volatility clustering can be induced by the …
Statistical mechanics explains income and wealth distribution in developed economies.
We study a model of wealth dynamics [Bouchaud and Mézard 2000, \emph{Physica A} \textbf{282}, 536] which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of the underlying transaction network. The extreme cases of a fully connected and a ful…
We conduct a market experiment with human agents in order to explore the structure of transaction networks and to study the dynamics of wealth accumulation. The experiment is carried out on our platform for 97 days with 2,095 effective participants and 16,936 times of transactions. From these data, the hybrid distribut…
I show that if the capital accumulation dynamics is stochastic a new term, in addition to that given by accounting prices, has to be introduced in order to derive a correct estimate of the genuine wealth of an economy. In a simple model with multiplicative accumulation dynamics I show that: 1) the value function is alw…
Two critical questions about intergenerational outcomes are: one, whether significant barriers or traps exist between different social or economic strata; and two, the extent to which intergenerational outcomes do (or can be used to) affect individual investment and consumption decisions. We develop a model to explicit…
Study optimal portfolio choice with risk control for log-returns.
We study the model of interacting agents proposed by Chatterjee et al that allows agents to both save and exchange wealth. Closed equations for the wealth distribution are developed using a mean field approximation. We show that when all agents have the same fixed savings propensity, subject to certain well defined app…
Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two characteristic regimes. For large values of wealth it takes the form of a Pareto style…
Flow taxes and stock taxes preserve portfolio neutrality under specific conditions.
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty, and the trading intensity of all or a part of the market participants. We study…
Inequality persists as wealth concentrates in a few agents.
Punctuated Equilibrium (PE) states that after long periods of evolutionary quiescence, species evolution can take place in short time intervals, where sudden differentiation makes new species emerge and some species extinct. In this paper, we introduce and study the effect of punctuated equilibrium on two different ass…
We look at how asset exchange models can be mapped to random iterated function systems (IFS) giving new insights into the dynamics of wealth accumulation in such models. In particular, we focus on the "yard-sale" (winner gets a random fraction of the poorer players wealth) and the "theft-and-fraud" (winner gets a rando…
We present a detailed numerical analysis of the modified version of a conservative self-organized extremal model introduced by Pianegonda et. al. for the distribution of wealth of the people in a society. Here the trading process has been modified by the stochastic bipartite trading rule. More specifically in a trade o…
We present a model in which we investigate the structure and evolution of a random network that connects agents capable of exchanging wealth. Economic interactions between neighbors can occur only if the difference between their wealth is less than a threshold value that defines the width of the economic classes. If th…
Multi-agent models have been used in many contexts to study generic collective behavior. Similarly, complex networks have become very popular because of the diversity of growth rules giving rise to scale-free behavior. Here we study adaptive networks where the agents trade ``wealth'' when they are linked together while…