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Some Asymptotic Results for the Yard-Sale Model of Asset Exchange

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  • KOBAYASHI, Kenta
  • 小林, 健太
  • TAKAOKA, Koichiro
  • 高岡, 浩一郎

Abstract

Concerning the yard-sale model of asset exchange, some refinements of the results in the literature are given in both discrete- and continuoustime settings. The wealth concentration result is extended to possibly unfair games. In a fair case, an asymptotic behavior of every player’s wealth process is derived. In the continuous-time settings, the effect of a proportional capital tax is also investigated. It is not assumed that the frequency of transactions is homogeneous for every pair of players in the discrete-time settings, or that the intensity of transactions is homogeneous in the continuous-time settings.

Suggested Citation

  • KOBAYASHI, Kenta & 小林, 健太 & TAKAOKA, Koichiro & 高岡, 浩一郎, 2016. "Some Asymptotic Results for the Yard-Sale Model of Asset Exchange," Working Paper Series G-1-17, Hitotsubashi University Center for Financial Research.
    • Handle: RePEc:hit:hcfrwp:g-1-17
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/27995/070hcfrWP_1_017.pdf
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    References listed on IDEAS

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    1. Anirban Chakraborti, 2002. "Distributions Of Money In Model Markets Of Economy," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(10), pages 1315-1321.
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