Current Search:  Consumption Economics -- Mathematical models (x)

View All Items

  • CSV Spreadsheet
(1 - 2 of 2)
Stochastic processes in the social sciences
Title
Stochastic processes in the social sciences: markets, prices and wealth distributions.
Creator
Romero, Natalia E., Charles E. Schmidt College of Science, Department of Physics
Abstract/Description
The present work uses statistical mechanics tools to investigate the dynamics of markets, prices, trades and wealth distribution. We studied the evolution of market dynamics in different stages of historical development by analyzing commodity prices from two distinct periods : ancient Babylon, and medieval and early modern England. We find that the first-digit distributrions of both Babylon and England commodity prices follow Benford's Law, indicating that the data represent empirical...
Show moreThe present work uses statistical mechanics tools to investigate the dynamics of markets, prices, trades and wealth distribution. We studied the evolution of market dynamics in different stages of historical development by analyzing commodity prices from two distinct periods : ancient Babylon, and medieval and early modern England. We find that the first-digit distributrions of both Babylon and England commodity prices follow Benford's Law, indicating that the data represent empirical observations typically arising from a free market. Further, we find that the normalized prices of both Babylon and England agricultural commodities are characterized by stretched exponential distributions, and exhibit persistent correlations of a power law type over long periods of up to several centuries, in contrast to contemporary markets. Our findings suggest that similar market interactions may underlie the dynamics of ancient agricultural commodity prices, and that these interactions may remain stable across centuries. To further investigate the dynamics of markets, we present the analogy between transfers of money between individuals and the transfer of energy through particle collisions by means of the kinetic theory of gases. We introduce a theoretical framework of how micro rules of trading lead to the emergence of income and wealth distribution. Particularly, we study the effects of different types of distribution of savings/investments among individuals in a society and different welfare/subsidies redistribution policies. Results show that while considering savings propensities, the models approach empirical distributions of wealth quite well. The effect of redistribution better captures specific features of the distributions which earlier models failed to do. Moreover, the models still preserve the exponential decay observed in empirical income distributions reported by tax data and surveys.
Show less
Date Issued
2012
PURL
http://purl.flvc.org/FAU/3352825
Subject Headings
Stochastic processes, Mathematical models, Consumption (Economics), Mathematical models, Business cycles, Mathematical models, Statics and dynamics (Social sciences), Mathematical models
Format
Document (PDF)
Juicing the Potato: The Giffen Effect and Market Volatility
Title
Juicing the Potato: The Giffen Effect and Market Volatility.
Creator
Fiske, Brian, Van Tassel, Eric, Florida Atlantic University
Abstract/Description
The key objective of this thesis is to explain how aggregate agent investment behavior, in the presence of a Giffen Good, leads to excess market volatility. The thesis relies on two microeconomic models. The first model demonstrates how, in the presence of a Giffen Good, the demand curve is discontinuous and upward sloping. By analyzing the demand curve, price regions of potential volatility are identified. Using the first model as a foundation, a second model is introduced in which a...
Show moreThe key objective of this thesis is to explain how aggregate agent investment behavior, in the presence of a Giffen Good, leads to excess market volatility. The thesis relies on two microeconomic models. The first model demonstrates how, in the presence of a Giffen Good, the demand curve is discontinuous and upward sloping. By analyzing the demand curve, price regions of potential volatility are identified. Using the first model as a foundation, a second model is introduced in which a speculator trades in a dynamic setting. In this dynamic framework, opportunities for profit making by the speculator are identified. The speculative behavior aggravates market volatility.
Show less
Date Issued
2007
PURL
http://purl.flvc.org/fau/fd/FA00000302
Subject Headings
Investment analysis--Mathematics, Giffen, Robert,--1837-1910, Consumption (Economics)--Mathematical models--Ireland, Consumer behavior--Ireland, Microeconomics
Format
Document (PDF)