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On the estimation of the power-law exponent in the mean-field Bouchaud–Mézard model

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  • Hu, Feng-Rung

Abstract

In this article, our primary objective is to develop an estimator of the power-law exponent based on the observable individual wealth in the mean-field Bouchaud–Mézard model. As a result, a simple and strongly consistent estimator of the power-law exponent in the mean-field Bouchaud–Mézard model has been established and performs well on simulated data.

Suggested Citation

  • Hu, Feng-Rung, 2008. "On the estimation of the power-law exponent in the mean-field Bouchaud–Mézard model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(18), pages 4605-4614.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:18:p:4605-4614
    DOI: 10.1016/j.physa.2008.03.018
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    References listed on IDEAS

    as
    1. Jean-Philippe Bouchaud & Marc Mezard, 2000. "Wealth condensation in a simple model of economy," Science & Finance (CFM) working paper archive 500026, Science & Finance, Capital Fund Management.
    2. Clementi, F. & Di Matteo, T. & Gallegati, M., 2006. "The power-law tail exponent of income distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 49-53.
    3. Pianegonda, S & Iglesias, J.R & Abramson, G & Vega, J.L, 2003. "Wealth redistribution with conservative exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 667-675.
    4. Hegyi, Géza & Néda, Zoltán & Augusta Santos, Maria, 2007. "Wealth distribution and Pareto's law in the Hungarian medieval society," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 271-277.
    5. Bouchaud, Jean-Philippe & Mézard, Marc, 2000. "Wealth condensation in a simple model of economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(3), pages 536-545.
    6. Darooneh, Amir H., 2007. "Insurance pricing in small size markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 411-417.
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