arXiv research

We consider here a Fokker--Planck equation with variable coefficient of diffusion which appears in the modeling of the wealth distribution in a multi-agent society. At difference with previous studies, to describe a society in which agents can have debts, we allow the wealth variable to be negative. It is shown that, e…

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 …

We focus on the problem of how wealth is distributed among the units of a networked economic system. We first review the empirical results documenting that in many economies the wealth distribution is described by a combination of log--normal and power--law behaviours. We then focus on the Bouchaud--Mézard model of wea…

Yard-Sale (YS) is a stochastic multiplicative wealth-exchange model with two phases: a stable one where wealth is shared, and an unstable one where wealth condenses onto one agent. YS is here studied numerically on 1d rings, 2d square lattices, and random graphs with variable average coordination, comparing its propert…

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…

Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes. Utility functions aim to capture individual psychological characteristics, but thei…

In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that it fits very well the annual data for the entire income interval including for u…

The paper analyzes optimal consumption with past spending maximum as a reference.

Study resolves duality gap in optimal consumption with random income termination.

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…

A brief overview of the models and data analyses of income, wealth, consumption distributions by the physicists, are presented here. It has been found empirically that the distributions of income and wealth possess fairly robust features, like the bulk of both the income and wealth distributions seem to reasonably fit …

Model compares altruism and individualism in wealth dynamics.

Semi-analytical approach for optimal wealth management contributions.

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…

Proposes a new framework for optimizing utility with state-dependent benchmarks.

Combines absolute and relative wealth in portfolio optimization with power utility functions.

We provide an explicit aggregation in the neoclassical growth model with aggregate shocks and uninsurable employment risk. We show there are two restrictions on the unemployment shock for approximate aggregation to occur. First the probability of unemployment must be positive for each agent in each time period. That en…

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 …

We report on results concerning a partially aggregated Stock Flow Consistent (SFC) macroeconomic model in the stationary state where the sectors of banks and firms are aggregated, the sector of households is dis-aggregated, and the probability density function (pdf) of the wealth of households is exogenous, constrained…

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…

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…

Extends utility maximization theory for infinite horizons without strong no-arbitrage assumptions.

Study explores how wealth dynamics change with preferential interactions in kinetic exchange models.

Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the equilibrium properties of the model with constant global saving propensity, resulting in Gamma distributions, and their equivalence to the Ma…

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 …

We study the distribution P(ω) of the random variable ω= x_1/(x_1 + x_2), where x_1 and x_2 are the wealths of two individuals selected at random from the same tempered Paretian ensemble characterized by the distribution Ψ(x) \sim φ(x)/x^{1 + α}, where α> 0 is the Pareto index and $φ(x)$ is the cut-off function. We con…

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…

Study Nash equilibrium in market with relative wealth concerns under partial information and heterogeneous priors.

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…

We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover, to have a minimum guarantee for the final annuity, a safety level for the wealt…

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…