Analytic Treatment of a Trading Market Model

DOI10.1238/PHYSICA.TOPICAL.106A00039MaRDI QIDQ4825218zbMATH OpenOpenAlexFDO

Authors Arnab Das, S. Yarlagadda

Publication date 28 October 2004

Published in Physica Scripta (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0304685

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Abstract: We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process. The exchange involves random re-distribution among the two players of a fixed fraction of their total money. We obtain a simple integral nonlinear equation for the money distribution. We find that the zero savings and finite savings cases belong to different universality classes. While the zero savings case can be solved analytically, the finite savings solution is obtained by numerically solving the integral equation. We find remarkable agreement with results obtained by other researchers using sophisticated numerical techniques.

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(8)

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• A new \(\kappa\)-deformed parametric model for the size distribution of wealth
• On steady distributions of kinetic models of conservative economies
• Methodological Issues in Analyzing Market Dynamics
• Mathematical modelling of system trade in currencies, shares, and financial futures
• TRADER DYNAMICS IN A MODEL MARKET
• The Strategic Analysis of Financial Markets
• Kinetic market models with single commodity having price fluctuations

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