Victor M. Yakovenko

Statistical Mechanics of Money

Abstract:In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Boltzmann-Gibbs law characterized by an effective temperature equal to the average amount of money per economic agent. We demonstrate how the Boltzmann-Gibbs distribution emerges in computer simulations of economic models. Then we consider a thermal machine, in which the difference of temperatures allows one to extract a monetary profit. We also discuss the role of debt, and models with broken time-reversal symmetry for which the Boltzmann-Gibbs law does not hold. The instantaneous distribution of money among the agents of a system should not be confused with the distribution of wealth. The latter also includes material wealth, which is not conserved, and thus may have a different (e.g. power-law) distribution.

Evidence for the exponential distribution of income in the USA

Abstract:Using tax and census data, we demonstrate that the distribution of individual income in the USA is exponential. Our calculated Lorenz curve without fitting parameters and Gini coefficient 1/2 agree well with the data. From the individual income distribution, we derive the distribution function of income for families with two earners and show that it also agrees well with the data. The family data for the period 1947-1994 fit the Lorenz curve and Gini coefficient 3/8 = 0.375 calculated for two-earners families.

Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact

We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the probability) follows an exponential law. The slope of the exponential function is determined by the variance of returns, which increases proportionally to the time lag. At longer times, the exponential law continuously evolves into Gaussian distribution. The exponential-to-Gaussian crossover is well described by the analytical solution of the Heston model with stochastic volatility.

Universal patterns of inequality

Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the investigated variables. A non-equilibrium difference of money temperatures between different systems generates net fluxes of money and population. To describe income distribution, a stochastic process with additive and multiplicative components is introduced. The resultant distribution interpolates between exponential at the low end and power law at the high end, in agreement with the empirical data for USA. We show that the increase of income inequality in USA originates primarily from the increase of the income fraction going to the upper tail, which now exceeds 20% of the total income. Analyzing the data from the World Resources Institute, we find that the distribution of energy consumption per capita around the world can be approximately described by the exponential function. Comparing the data for 1990, 2000, and 2005, we discuss the effect of globalization on the inequality of energy consumption.

Midgap edge states and pairing symmetry of quasi-one-dimensional organic superconductors

The singlet s-, d- and triplet p-wave pairing symmetries in quasi-one-dimensional organic superconductors can be experimentally discriminated by probing the Andreev bound states at the sample edges. These states have the energy in the middle of the superconducting gap and manifest themselves as a zero-bias peak in tunneling conductance into the corresponding edge. Their existence is related to the sign change of the pairing potential around the Fermi surface. We present an exact self-consistent solution of the edge problem showing the presence of the midgap states for p_x-wave superconductivity. The spins of the edge state respond paramagnetically to a magnetic field parallel to the vector d that characterizes triplet pairing.

Fractional ac Josephson effect in p- and d-wave superconductors

For certain orientations of Josephson junctions between two px-wave or two d-wave superconductors, the subgap Andreev bound states produce a

A Study of the Personal Income Distribution in Australia

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PARQUET SOLUTION FOR A FLAT FERMI SURFACE

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Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes

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Statistical Mechanics of Money, Income, and Wealth: A Short Survey

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