A Statistical Test of Walrasian Equilibrium by Means of Complex Networks Theory

We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables { w i j } describing the flow of a given commodity from agent i to agent j . This sequenc...

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Bibliographic Details
Published in:Journal of statistical physics 2016-10, Vol.165 (2), p.351-370
Main Authors: Bargigli, Leonardo, Viaggiu, Stefano, Lionetto, Andrea
Format: Article
Language:English
Subjects:
Economic models
Financial markets
Graph theory
Markets
Mathematical and Computational Physics
Physical Chemistry
Physics
Physics and Astronomy
Quantum Physics
Random variables
Statistical Physics and Dynamical Systems
Theoretical
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Summary:We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables { w i j } describing the flow of a given commodity from agent i to agent j . This sequence can be arranged in a nonnegative matrix W which we can regard as the representation of a weighted and directed network or digraph G . Our main result consists in showing that general equilibrium theory imposes highly restrictive conditions upon market configurations, which are in most cases not fulfilled by real markets. An explicit example with reference to the e-MID interbank credit market is provided.
ISSN:0022-4715
1572-9613
DOI:10.1007/s10955-016-1599-4