IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1008.0758.html
   My bibliography  Save this paper

A Chaotic Approach to Market Dynamics

Author

Listed:
  • Carmen Pellicer-Lostao
  • Ricardo Lopez-Ruiz

Abstract

Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions observed in real economies. However, this model reveals some technical hitches to explain the power law (Pareto) distribution, observed in individuals with high incomes. Here, non linear dynamics is introduced in the gas-like model. The results obtained demonstrate that a chaotic gas-like model can reproduce the two money distributions observed in real economies (Exponential and Pareto). Moreover, it is able to control the transition between them. This may give some insight of the micro-level causes that originate unfair distributions of money in a global society. Ultimately, the chaotic model makes obvious the inherent instability of asymmetric scenarios, where sinks of wealth appear in the market and doom it to complete inequality.

Suggested Citation

  • Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz, 2010. "A Chaotic Approach to Market Dynamics," Papers 1008.0758, arXiv.org.
  • Handle: RePEc:arx:papers:1008.0758
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1008.0758
    File Function: Latest version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Fausto Gozzi & Tiziano Vargiolu, 2002. "Superreplication of European multiasset derivatives with bounded stochastic volatility," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(1), pages 69-91, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1008.0758. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.