Nonlinear Financial Averaging, the Evolution Process, and Laws of Econophysics

The similarities and differences between methods as well as results of financial mathematics and quantum statistics can be of use for both sciences. We consider a process that gives the Gibbs distribution and financial averaging in the limit. The laws of econophysics for buyers are studied, which re...

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Bibliographic Details
Published in:Theory of probability and its applications 2005, Vol.49 (2), p.221-244
Main Author: Maslov, V. P.
Format: Article
Language:English
Subjects:
Eigenvalues
Eigenvectors
Expenditures
Hilbert space
Phase transitions
Probability
Random variables
Values
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Summary:The similarities and differences between methods as well as results of financial mathematics and quantum statistics can be of use for both sciences. We consider a process that gives the Gibbs distribution and financial averaging in the limit. The laws of econophysics for buyers are studied, which result in ``phase transitions' such as stock price breakouts or defaults. The Pareto and Gauss distributions are obtained for the income and expenditures of various social groups. The notion of turnover rate of capital for a quasi-stable state of society is introduced.
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X97981019