A model of city formation and evolution is elaborated, based on a multi-agent model of endogenous firm formation. Agents have heterogeneous abilities, are boundedly rational, and interact directly with one another out of equilibrium in team production environments. Each agent works in a firm and...

The paper develops a theoretical model of endogenous wealth distribution, showing that a logarithmic mean constraint in the maximum entropy formalism leads to a power law distribution. On the level of economic theory, the model implies two trade-offs: first, the higher the aggregate growth of...

Since the beginning of this century, the normal distribution has played a central role in the mathematical finance literature. However, major drawbacks insight this assumption rely in the absence of closed form expressions for both its cumulative and probability density functions. Additionally,...

The 1990‰fs has been punctuated by a series of severe financial and currency crises: the Exchange Rate Mechanism (ERM) attacks of 1992; the Mexican peso collapse of 1994; the East Asian crisis of 1997; the Russian collapse of 1998; and the Brazilian devaluation of 1999. One striking characteristic of these...

Since the beginning of this century, the normal distribution has played a central role in the mathematical finance literature. However, major drawbacks insight this assumption rely in the absence of closed form expressions for both its cumulative and probability density functions. Additionally,...

The LLS stock market model (for a review see the book in Academic Press 2000: "Microscopic Simulation of Financial Markets; From Investor Behavior to Market Phenomena" by Levy, Levy and Solomon, ISBN: 0124458904) is a model of heterogeneous quasi-rational investors operating in a complex...

In continuous time, diffusion processes have been used for modelling financial dynamics for a long time. For example the Ornstein-Uhlenbeck process (the simplest mean-reverting process)has been used to model non-speculative price processes. The Cox-Ingersoll-Ross process is widely used to model...

Generalized Lotka-Volterra (GLV) models extending the (70 year old) logistic equation to stochastic systems consisting of a multitude of competing auto-catalytic components lead to power distribution laws of the (100 year old) Pareto-Zipf type. In particular, when applied to economic systems,...