arXiv subjects
Publications and source records attributed to Arnab Chatterjee.
We find prominent similarities in the features of the time series for the (model earthquakes or) overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation method for some of the crashes have been proposed here, based on these observations.
Increasingly, a huge amount of statistics have been gathered which clearly indicates that income and wealth distributions in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium. However, it also deviates in the low income and more significantly for the high income ranges. Application of physics models provides illuminating ideas and understanding, complementing the observations.
Mounting evidences are being gathered suggesting that income and wealth distribution in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium, but also deviating significantly for high income groups. Application of physics models seem to provide illuminating ideas and understanding, complimenting the observations.
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in markets with agents having uniform and random saving factors. The self-organizing features in money distribution are similar to the cases without any commodity (or with consumable commodities), while the commodity distribution shows an exponential decay. The wealth distribution shows interesting behavior: Gamma like distribution for uniform saving propensity and has the same power-law tail, as that of the money distribution, for a market with agents having random saving propensity.
A one dimensional network on which there are long range bonds at lattice distances $l>1$ with the probability $P(l) \propto l^{-δ}$ has been taken under consideration. We investigate the critical behavior of the Ising model on such a network where spins interact with these extra neighbours apart from their nearest neighbours for $0 \leq δ< 2$. It is observed that there is a finite temperature phase transition in the entire range. For $0 \leq δ< 1$, finite size scaling behaviour of various quantities are consistent with mean field exponents while for $1\leq δ\leq 2$, the exponents depend on $δ$. The results are discussed in the context of earlier observations on the topology of the underlying network.
We analyze the ideal gas like models of markets and review the different cases where a `savings' factor changes the nature and shape of the distribution of wealth. These models can produce similar distribution of wealth as observed across varied economies. We present a more realistic model where the saving factor can vary over time (annealed savings) and yet produces Pareto distribution of wealth in certain cases. We discuss the relevance of such models in the context of wealth distribution, and address some recent issues in the context of these models.
We introduce here the two-fractal model of earthquake dynamics. As the fractured surfaces have self-affine properties, we consider the solid-solid interface of the earth's crust and the tectonic plate below as fractal surfaces. The overlap or contact area between the two surfaces give a measure of the stored elastic energy released during a slip. The overlap between two fractals change with time as one moves over the other and we show that the time average of the overlap distribution follows a Gutenberg-Richter like power-law, with similar exponent value.
We show that there is a common mode of origin for the power laws observed in two different models: (i) the Pareto law for the distribution of money among the agents with random saving propensities in an ideal gas-like market model and (ii) the Gutenberg-Richter law for the distribution of overlaps in a fractal-overlap model for earthquakes. We find that the power laws appear as the asymptotic forms of ever-widening log-normal distributions for the agents' money and the overlap magnitude respectively. The identification of the generic origin of the power laws helps in better understanding and in developing generalized views of phenomena in such diverse areas as economics and geophysics.
We find prominent similarities in the features of the time series for the overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation method for some of the crashes have been proposed here, based on these observations.
We analyze an ideal gas like model of a trading market with quenched random saving factors for its agents and show that the steady state income ($m$) distribution $P(m)$ in the model has a power law tail with Pareto index $ν$ exactly equal to unity, confirming the earlier numerical studies on this model. The analysis starts with the development of a master equation for the time development of $P(m)$. Precise solutions are then obtained in some special cases.
We discuss the ideal gas like models of a trading market. The effect of savings on the distribution have been thoroughly reviewed. The market with fixed saving factors leads to a Gamma-like distribution. In a market with quenched random saving factors for its agents we show that the steady state income ($m$) distribution $P(m)$ in the model has a power law tail with Pareto index $ν$ equal to unity. We also discuss the detailed numerical results on this model. We analyze the distribution of mutual money difference and also develop a master equation for the time development of $P(m)$. Precise solutions are then obtained in some special cases.
We analyze an ideal gas like models of a trading market. We propose a new fit for the money distribution in the fixed or uniform saving market. For the marketwith quenched random saving factors for its agents we show that the steady state income ($m$) distribution $P(m)$ in the model has a power law tail with Pareto index $ν$ exactly equal to unity, confirming the earlier numerical studies on this model. We analyze the distribution of mutual money difference and also develop a master equation for the time development of $P(m)$. Precise solutions are then obtained in some special cases.
We have numerically simulated the ideal-gas models of trading markets, where each agent is identified with a gas molecule and each trading as an elastic or money-conserving two-body collision. Unlike in the ideal gas, we introduce (quenched) saving propensity of the agents, distributed widely between the agents ($0 \le λ< 1$). The system remarkably self-organizes to a critical Pareto distribution of money $P(m) \sim m^{-(ν+ 1)}$ with $ν\simeq 1$. We analyse the robustness (universality) of the distribution in the model. We also argue that although the fractional saving ingredient is a bit unnatural one in the context of gas models, our model is the simplest so far, showing self-organized criticality, and combines two century-old distributions: Gibbs (1901) and Pareto (1897) distributions.
The dynamic magnetization-reversal phenomena in the Ising model under a finite-duration external magnetic field competing with the existing order for $T<T_c^0$ has been discussed. The nature of the phase boundary has been estimated from the mean-field equation of motion. The susceptibility and relaxation time diverge at the MF phase boundary. A Monte Carlo study also shows divergence of relaxation time around the phase boundary. Fluctuation of order parameter also diverge near the phase boundary. The behavior of the fourth order cumulant shows two distinct behavior: for low temperature and pulse duration region of the phase boundary the value of the cumulant at the crossing point for different system sizes is much less than that corersponding to the static transition in the same dimension which indicate a new universality class for the dynamic transition. Also, for higher temperature and pulse duration, the transition seem to fall in a mean-field like weak-singularity universality class.
We consider the ideal-gas models of trading markets, where each agent is identified with a gas molecule and each trading as an elastic or money-conserving (two-body) collision. Unlike in the ideal gas, we introduce saving propensity $λ$ of agents, such that each agent saves a fraction $λ$ of its money and trades with the rest. We show the steady-state money or wealth distribution in a market is Gibbs-like for $λ=0$, has got a non-vanishing most-probable value for $λ\ne 0$ and Pareto-like when $λ$ is widely distributed among the agents. We compare these results with observations on wealth distributions of various countries.
The login time distribution in e-mail servers are studied. The distribution seems to be decaying in a scale-free manner with a decay exponent lying between 1.2 and 2.2, varying from server to server. A simple mean-field theory shows that this distribution has a decay exponent 2.
The universality class of the dynamic magnetisation-reversal transition, induced by a competing field pulse, in an Ising model on a square lattice, below its static ordering temperature, is studied here using Monte Carlo simulations. Fourth order cumulant of the order parameter distribution is studied for different system sizes around the phase boundary region. The crossing point of the cumulant (for different system sizes) gives the transition point and the value of the cumulant at the transition point indicates the universality class of the transition. The cumulant value at the crossing point for low temperature and pulse width range is observed to be significantly less than that for the static transition in the same two-dimensional Ising model. The finite size scaling behaviour in this range also indicates a higher correlation length exponent value. For higher temperature and pulse width range, the transition seems to fall in a mean-field like universality class.
We consider the ideal-gas models of trading markets, where each agent is identified with a gas molecule and each trading as an elastic or money-conserving (two-body) collision. Unlike in the ideal gas, we introduce saving propensity $λ$ of agents, such that each agent saves a fraction $λ$ of its money and trades with the rest. We show the steady-state money or wealth distribution in a market is Gibbs-like for $λ=0$, has got a non-vanishing most-probable value for $λ\ne 0$ and Pareto-like when $λ$ is widely distributed among the agents. We compare these results with observations on wealth distributions of various countries.