摘要翻译:
帕累托定律指出社会财富分配具有幂律尾,是统计物理学界研究的热点。几个模型已经被用来解释这种行为。然而,大多数基于agent的模型都假设agent数量和财富守恒。这两种假设都是不切实际的。本文研究了当这两个假设中的一个或两个都不成立时的极限财富分配问题。鉴于这一规律的普遍性,本文试图从资产交换模型的角度来研究财富分配问题。我们考虑了以下模型:a)新的代理人以恒定的速度进入市场;b)更丰富的代理人以更高的概率分裂,在系统中引入新的代理人;c)新代理人的分裂和进入都在发生;当模型a)和c)不保持总财富或代理人数量时,模型b)保持总财富。所有这些模型都导致财富分布中的幂律尾,这表明更广义的资产交换模型可以帮助我们解释财富分布中幂律尾的出现。
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英文标题:
《Effects of introduction of new resources and fragmentation of existing
resources on limiting wealth distribution in asset exchange models》
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作者:
M. Ali Saif and Prashant M. Gade
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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英文摘要:
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 wealth. Both these assumptions are unrealistic. In this paper, we study the limiting wealth distribution when one or both of these assumptions are not valid. Given the universality of the law, we have tried to study the wealth distribution from the asset exchange models point of view. We consider models in which a) new agents enter the market at constant rate b) richer agents fragment with higher probability introducing newer agents in the system c) both fragmentation and entry of new agents is taking place. While models a) and c) do not conserve total wealth or number of agents, model b) conserves total wealth. All these models lead to a power-law tail in the wealth distribution pointing to the possibility that more generalized asset exchange models could help us to explain emergence of power-law tail in wealth distribution.
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PDF链接:
https://arxiv.org/pdf/0902.2070