Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders

An agent-based model of a simple financial market with arbitrary number of traders having relatively general behavioral specifications is analyzed. In a pure exchange economy with two assets, riskless and risky, trading takes place in discrete time under endogenous price formation setting. Traders' demands for the risky asset are expressed as fractions of their individual wealths, so that the dynamical system in terms of wealth and return is obtained. Agents' choices, i.e. investment fractions, are described by means of the generic smooth functions of an infinite information set. The choices can be consistent with (but not limited to) the solutions of the expected utility maximization problems. A complete characterization of equilibria is given. It is shown that irrespectively of the number of agents and of their behavior, all possible equilibria belong to a one-dimensional "Equilibrium Market Line". This geometric tool helps to illustrate possibility of different phenomena, like multiple equilibria, and also can be used for comparative static analysis. The stability conditions of equilibria are derived for general model specification and allow to discuss the relative performances of different strategies and the selection principle governing market dynamics.

Cities and Clusters: Economy-Wide and Sector-Specific Effects in Corporate Location

Are the observed spatial distributions of firms decided mostly by economy-wide urbanization economies or rather by sector-specific localization economies? This paper finds that the latter kind of forces weight systematically more than the former in deciding firm location. The analysis uses Italian data on a variety of manufacturing and service sectors spatially disaggregated at the level of local labour market areas

Pareto's Law of Income Distribution: Evidence for Germany, the United Kingdom, and the United States

We analyze three sets of income data: the US Panel Study of Income Dynamics PSID), the British Household Panel Survey (BHPS), and the German Socio-Economic Panel (GSOEP). It is shown that the empirical income distribution is consistent with a two-parameter lognormal function for the low-middle income group (97%-99% of the population), and with a Pareto or power law function for the high income group (1%-3% of the population). This mixture of two qualitatively different analytical distributions seems stable over the years covered by our data sets, although their parameters significantly change in time. It is also found that the probability density of income growth rates almost has the form of an exponential function.Comment: Latex2e v1.6; 16 pages with 5 figure

Fermat, Leibniz, Euler, and the gang: The true history of the concepts of limit and shadow

Fermat, Leibniz, Euler, and Cauchy all used one or another form of approximate equality, or the idea of discarding "negligible" terms, so as to obtain a correct analytic answer. Their inferential moves find suitable proxies in the context of modern theories of infinitesimals, and specifically the concept of shadow. We give an application to decreasing rearrangements of real functions.Comment: 35 pages, 2 figures, to appear in Notices of the American Mathematical Society 61 (2014), no.

Small-x one-particle-inclusive quantities in the CCFM approach

This article presents the results of a quantitative study of the small-x data at HERA, using the CCFM equation. The first step consists of choosing the version of the CCFM equation to be used, corresponding to selecting a particular subset of next-to-leading-logarithmic corrections --- the choice is constrained by requiring a phenomenologically reasonable small-x growth. For the time being, the parts of the splitting functions that are finite at z=0 have been left out. We then examine results for F_2^c, R, the transverse energy flow, the charged-particle transverse-momentum spectrum and the forward-jet cross section and compare to data. While some of the data is reproduced better than with DGLAP-based calculations, the agreement is not entirely satisfactory, suggesting that the approach developed here is not yet suitable for detailed phenomenology. We discuss why, and suggest directions for future work.Comment: 33 pages, 10 figures, uses cite.sty and JHEP.cls (both included). Version 2 includes additional and updated reference