The mechanism of double-exponential growth in hyper-inflation

DOI10.1016/S0378-4371(02)00598-8zbMATH Open0995.91014arXivcond-mat/0112441OpenAlexW3100649233MaRDI QIDQ1598566FDOQ1598566

Authors: M. Takayasu, H. Takayasu, Takayuki Mizuno 

Publication date: 23 May 2002

Published in: Physica A (Search for Journal in Brave)

Abstract: Analyzing historical data of price indices we find an extraordinary growth phenomenon in several examples of hyper-inflation in which price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining technique in physics, the Monte Carlo renormalization group method, to the price dynamics. Starting from a microscopic stochastic equation describing dealers' actions in open markets we obtain a macroscopic noiseless equation of price consistent with the observation. The effect of auto-catalytic shortening of characteristic time caused by mob psychology is shown to be responsible for the double-exponential behavior.

Full work available at URL: https://arxiv.org/abs/cond-mat/0112441

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zbMATH Keywords

coarse-graining techniquemacrsocopic noiseless price equationMonte Carlo renormalization group method

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Introduction to Econophysics
• Stable infinite variance fluctuations in randomly amplified Langevin systems
• Continuum Limit and Renormalization of Market Price Dynamics Based on PUCK Model

Cited In (6)

• Extended nonlinear feedback model for describing episodes of high inflation
• Finite-time singularity signature of hyperinflation
• People's collective behavior in a hyperinflation
• Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
• MODELLING INFLATION AS A RANDOM PROCESS
• Firm growth function and extended-Gibrat's property

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