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 analyze wealth condensation for a wide class of stochastic economy models on the basis of the economic analog of thermodynamic potentials, termed transfer potentials. The economy model is based on three common transfers modes of wealth: random transfer, profit proportional to wealth and motivation of poor agents to …
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of individual agents, a pile of money and a specific trading rule. Whatever the trad…
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…
Algorithm improves blockchain bridge efficiency.
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…
Prediction markets can be manipulated by traders who can move contract settlements, harming price discovery.
In this paper the dependence of wealth distribution and the velocity of money on the required reserve ratio is examined based on a random transfer model of money and computer simulations. A fractional reserve banking system is introduced to the model where money creation can be achieved by bank loans and the monetary a…
Model studies money exchange stability in social networks.
In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing their volatility. We also compare the mobility quantitatively by employing an index,…
Wealth redistribution through Fokker-Planck equation controls preserves Gini coefficient.
We analyze a simple asset transfer model in which the transfer amount is a fixed fraction of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, solving it analytically and numerically for the steady-state distribution, and exploring the solutions for various values o…
The conservative wealth-exchange process derived from trade interactions is modeled as a multiplicative stochastic transference of value, where each interaction multiplies the wealth of the poorest of the two intervening agents by a random gain eta=(1+kappa), with kappa a random return. Analyzing the kinetic equation f…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected lifetime utility from consumption of risk averse equity investors. We give a comple…
A new method combines multiple bounds and betting strategies for selective prediction, improving risk coverage in data-scarce settings.
Model compares altruism and individualism in wealth dynamics.
A framework for goal-based investing with penalties for fund transfers.
We model a closed economic system with interactions that generates the features of empirical wealth distribution across all wealth brackets, namely a Gibbsian trend in the lower and middle wealth range and a Pareto trend in the higher range, by simply limiting the an agents' interaction to only agents with nearly the s…
Combines absolute and relative wealth in portfolio optimization with power utility functions.
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading strategies that are optimal with respect to the total return, the Sterling ratio…
New proof shows local wealth condensation in economic models with biases.
Short proof shows wealth condensation in trading model.
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…
Study explores how wealth dynamics change with preferential interactions in kinetic exchange models.
Some general features of kinetic multi-agent models are reviewed, with particular attention to the relation between the agent saving propensities and the form of the equilibrium wealth distribution. The effect of a finite cutoff of the saving propensity distribution on the corresponding wealth distribution is studied. …
A wealth-process set is abstractly defined to consist of nonnegative càdlàg processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales and that t…
Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing literature on wealth distribution connects the origins of wealth inequality with a v…
Study shows bifurcation in optimal retirement planning.
Analyzes how economic policies affect wealth distribution in Bitcoin token economy.
Inequality persists as wealth concentrates in a few agents.
A computational model for the distribution of wealth among the members of an ideal society is presented. It is determined that a realistic distribution of wealth depends upon two mechanisms: an asymmetric flux of wealth in trading transactions that advantages the poorer of the two traders and a non-stationary creation …
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…
Study shows wealth distribution tails near criticality are not universal.
The higher-end tail of the wealth distribution in India is studied using recently published lists of the wealth of richest Indians between the years 2002-4. The resulting rank distribution seems to imply a power-law tail for the wealth distribution, with a Pareto exponent between 0.81 and 0.92 (depending on the year un…
Almost universally, wealth is not distributed uniformly within societies or economies. Even though wealth data have been collected in various forms for centuries, the origins for the observed wealth-disparity and social inequality are not yet fully understood. Especially the impact and connections of human behavior on …
Study extends wealth tax neutrality framework to heterogeneous investors.
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most of the agent based models assume the conservation of number of agents and wealt…
We investigate the wealth evolution in a system of agents that exchange wealth through a disordered network in presence of an additive stochastic Gaussian noise. We show that the resulting wealth distribution is shaped by the degree distribution of the underlying network and in particular we verify that scale free netw…
We reformulate wealth taxation using Fokker-Planck equations to ensure tax neutrality.
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is conserved, and each individual agent saves a fraction (0 < lambda < 1) of wealt…
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…
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…
Confocal quadrics capture (encode) and geometrize spectral properties of symmetric operators. Certain metric-projective properties of confocal quadrics (most of them established in the first half of the XIX century) {\it carry out} (stick and transfer) by rolling to and influence surfaces {\it applicabl…
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal…
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 the transacting agents, the condensation was shown to arise from a second-order ph…
We discuss a Pareto macro-economy (a) in a closed system with fixed total wealth and (b) in an open system with average mean wealth and compare our results to a similar analysis in a super-open system (c) with unbounded wealth. Wealth condensation takes place in the social phase for closed and open economies, while it …
The accumulation of individual fitness or wealth is modelled as a population game in which pairs of individuals are recurrently and randomly matched to play a game over a resource. In addition, all individuals have random access to a constant background resource, and their fitness or wealth depreciates over time. For b…
Unbiased wealth exchanges always lead to inequality.
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…