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, …
We look at the meaning of 'relaxation' in the wealth exchange models that are recently proposed in Econophysics to interpret the wealth distributions. To quantify and characterise the process of relaxation, we define an appropriate quantity and evaluate that numerically for the systems of many agents. Also, the numeric…
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…
Model shows economic growth without total wealth conservation.
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the relaxation process depends on the parameters of the system, in particular on the savin…
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…
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…
Unbiased wealth exchanges always lead to inequality.
Inequality persists as wealth concentrates in a few agents.
Short proof shows wealth condensation in trading model.
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…
We investigate the relation between economic growth and equality in a modified version of the agent-based asset exchange model (AEM). The modified model is a driven system that for a range of parameter space is effectively ergodic in the limit of an infinite system. We find that the belief that "a rising tide lifts all…
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 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…
New proof shows local wealth condensation in economic models with biases.
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 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 …
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…
Many recent models of trade dynamics use the simple idea of wealth exchanges among economic agents in order to obtain a stable or equilibrium distribution of wealth among the agents. In particular, a plain analogy compares the wealth in a society with the energy in a physical system, and the trade between agents to the…
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…
Novel approach to high frequency trading microstructure.
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 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…
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…
Study develops time-continuous models and probabilistic descriptions for agent-based economic market models.
Hybrid model combines interpretable and black-box models for better transparency and performance.
The paper introduces BCART models for aggregate claim amount, improving frequency-severity and joint modeling.
Boosts generative models by combining multiple meta-models.
The paper uses model-based trees to create interpretable surrogate models for complex machine learning models.
Study on limits of community detection in various network models.
Gauge Flow Models use a learnable Gauge Field in Generative Flow Models.
The study examines how model predictions hold up under model extensions.
MALC combines interpretable linear models with black-box models for better predictions and transparency.
Revises Bayesian model averaging for foundation models.
Paper introduces symmetric divergence link models for probability distributions.
The paper tests stock return models and uses LSTM to predict stock returns.
New method to handle credit portfolio model uncertainties.
Researchers review challenges in interpreting additive models, especially neural additive models.
Distill-and-Compare audits black-box models by training transparent models to mimic them.
Proposes a decision-theoretic approach for enhancing model interpretability in Bayesian frameworks.
Novel hybrid modeling combines ML and physics for real-time diagnosis.
CRS model improves ranking data modeling with theoretical guarantees.
Sigma models linked to Gross-Neveu models via quiver varieties.
Simple models are preferred over complex models, but over-simplistic models could lead to erroneous interpretations. The classical approach is to start with a simple model, whose shortcomings are assessed in residual-based model diagnostics. Eventually, one increases the complexity of this initial overly simple model a…
Matryoshka hides secret models in a carrier model, achieving high capacity and robustness.
Eigen-stratified models reduce model size and improve performance.
Semi-parametric models improve robot dynamics modeling accuracy.
A novel kernel approach for model selection in simulator-based models.