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Colloquium: Statistical mechanics of money, wealth, and income
 Review of Modern Physics
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Statistical mechanics approach to the probability distribution of money
, 1007
"... This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents in payment for goods and services. Starting from the ini ..."
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This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents in payment for goods and services. Starting from the initially equal distribution of money, the system spontaneously develops a highly unequal distribution of money analogous to the BoltzmannGibbs distribution of energy in physics. Boundary conditions are crucial for achieving a stationary distribution. When debt is permitted, it destabilizes the system, unless some sort of limitis imposed on maximal debt.
A stable and robust calibration scheme of the logperiodic power law model. ArXiv eprints 1108.0099
, 2011
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A Simple Agentbased Financial Market Model: Direct Interactions and Comparisons of Trading Profits
"... In the recent past, a number of interesting agentbased financial market models have been proposed. These models successfully explain some important stylized facts of financial markets, such as bubbles and crashes, fat tails for the distribution of returns ..."
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In the recent past, a number of interesting agentbased financial market models have been proposed. These models successfully explain some important stylized facts of financial markets, such as bubbles and crashes, fat tails for the distribution of returns
Validation of a Structural Stochastic Volatility Model of Asset Pricing
, 2009
"... The paper proposes an elementary agentbased asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the population ..."
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The paper proposes an elementary agentbased asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the population shares of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. The interaction of these elements is studied in the phase plane of the price and a majority index. Referring to daily data on the returns of S&P 500, it is demonstrated that besides the uncorrelated raw returns, this model can match remarkably well the stylized facts of fat tails, volatility clustering and long memory in the absolute returns—so well that the model can be considered validated.
M AMBERG CONOMIC
, 2009
"... A simple agentbased financial market model: direct interactions and comparisons of trading profits ..."
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A simple agentbased financial market model: direct interactions and comparisons of trading profits
INTERACTION OF AGENTS
, 2014
"... This project has received funding from the European Union’s Seventh Framework Programme for research, technological development and demonstration under grant agreement no. 612955 ..."
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This project has received funding from the European Union’s Seventh Framework Programme for research, technological development and demonstration under grant agreement no. 612955
Contents
"... To Vladimir Igorevich Arnold who taught us to study classics We discuss the problem of finding an upper bound for the number of equilibrium points of a potential of several fixed point charges in R n. This question goes back to J. C. Maxwell [12] and M. Morse [14]. Using fewnomial theory we show tha ..."
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To Vladimir Igorevich Arnold who taught us to study classics We discuss the problem of finding an upper bound for the number of equilibrium points of a potential of several fixed point charges in R n. This question goes back to J. C. Maxwell [12] and M. Morse [14]. Using fewnomial theory we show that for a given number of charges there exists an upper bound independent of the dimension, and show it to be at most 12 for three charges. We conjecture an exact upper bound for a given configuration of nonnegative charges in terms of
III. Statistical Mechanics of Money Distribution 3
, 709
"... This is a review article for Encyclopedia of Complexity and System Science, to be published by ..."
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This is a review article for Encyclopedia of Complexity and System Science, to be published by