TY  - JOUR
A1  - Aydiner, Ekrem
A1  - Cherstvy, Andrey G.
A1  - Metzler, Ralf
T1  - Wealth distribution, Pareto law, and stretched exponential decay of money
BT  - Computer simulations analysis of agent-based models
JF  - Physica : europhysics journal ; A, Statistical mechanics and its applications
N2  - We study by Monte Carlo simulations a kinetic exchange trading model for both fixed and distributed saving propensities of the agents and rationalize the person and wealth distributions. We show that the newly introduced wealth distribution – that may be more amenable in certain situations – features a different power-law exponent, particularly for distributed saving propensities of the agents. For open agent-based systems, we analyze the person and wealth distributions and find that the presence of trap agents alters their amplitude, leaving however the scaling exponents nearly unaffected. For an open system, we show that the total wealth – for different trap agent densities and saving propensities of the agents – decreases in time according to the classical Kohlrausch–Williams–Watts stretched exponential law. Interestingly, this decay does not depend on the trap agent density, but rather on saving propensities. The system relaxation for fixed and distributed saving schemes are found to be different.
KW  - Econophysics
KW  - Wealth and income distribution
KW  - Pareto law
KW  - Scaling exponents
Y1  - 2017
U6  - https://doi.org/10.1016/j.physa.2017.08.017
SN  - 0378-4371
SN  - 1873-2119
VL  - 490
SP  - 278
EP  - 288
PB  - Elsevier
CY  - Amsterdam
ER  - 
TY  - BOOK
A1  - Kauper, Benjamin
A1  - Kunze, Karl-Kuno
T1  - Modellierung von Aktienkursen im Lichte der Komplexitätsforschung
N2  - This paper offers empirical evidence on the power of Sornette et al's [2001] model of bubbles and crashes regarding the German stock market between 1960 and 2009. We identify relevant time periods and describe them with the function given by Sornette et al's model. Our results show some evidence in predicting crashes with the understanding of logarithmic periodic structures that are hidden in the stock price trajectories. It was shown that for the DAX most of the relevant parameters determining the shape of the logarithmic periodic structures are lying in the expected interval researched by Sornette et al. Further more the paper implicitly shows that the point of time of former crashes can be predicted with the presented formula. We conclude that the concept of financial time series conceived as purely random objects should be generalised as to admit complexity.
T3  - Statistische Diskussionsbeiträge - 49 
KW  - Bubble Theory
KW  - Complexity Sciences
KW  - Crash Prediction
KW  - Econophysics
KW  - Nonlinear Dynamics
KW  - System Theory
Y1  - 2011
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-52285
ER  -