摘要翻译:
本文考虑了理想的类气体交易市场模型,其中每个个体都被定义为气体分子,与其他个体在弹性或货币保守的碰撞中相互作用。传统上,该模型引入了不同的随机选择规则和对代理之间的交换规则。实体经济交易是复杂的,但显然是非随机的。因此,与传统模型不同的是,本研究在经济系统的演化过程中引入了混沌元素。特别地,我们使用了一个混沌信号,它打破了随机类气体模型的自然配对对称性$(i,j)\leftrightarrow(j,i)$。因此,我们发现,像这样的混乱市场可以再现在实际经济中观察到的参考财富分布(伽马分布、指数分布和帕累托分布)。
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英文标题:
《Money Distributions in Chaotic Economies》
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作者:
Carmen Pellicer-Lostao and Ricardo Lopez-Ruiz
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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:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics 物理学
二级分类:Statistical Mechanics 统计力学
分类描述:Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变,热力学,场论,非平衡现象,重整化群和标度,可积模型,湍流
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一级分类:Physics 物理学
二级分类:Chaotic Dynamics 混沌动力学
分类描述:Dynamical systems, chaos, quantum chaos, topological dynamics, cycle expansions, turbulence, propagation
动力系统,混沌,量子混沌,拓扑动力学,循环展开,湍流,传播
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英文摘要:
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces different rules of random selection and exchange between pair agents. Real economic transactions are complex but obviously non-random. Consequently, unlike this traditional model, this work implements chaotic elements in the evolution of an economic system. In particular, we use a chaotic signal that breaks the natural pairing symmetry $(i,j)\Leftrightarrow(j,i)$ of a random gas-like model. As a result of that, it is found that a chaotic market like this can reproduce the referenced wealth distributions observed in real economies (the Gamma, Exponential and Pareto distributions).
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PDF链接:
https://arxiv.org/pdf/0906.1899