Correo Electrónico
DNINFOA - SIA
Bibliotecas
Convocatorias
Identidad U.N.
Publicado
Estudio de la dinámica de préstamos y depósitos en un sistema económico cerrado a partir de modelos cinéticos de distribución
Study of the dynamics of loans and deposits in a closed economic system based on kinetic models of distribution
DOI:
https://doi.org/10.15446/cuad.econ.v43n91.99851Palabras clave:
econofísica, distribución de ingresos, distribución de Boltzmann-Gibbs, entidad financiera, modelos basados en agentes (es)econophysics, income distribution, Boltzmann-Gibbs distribution, financial entity, agent-based models (en)
Descargas
La econofísica emplea modelos basados en agentes para describir las regularidades en las distribuciones de ingreso encontradas empíricamente. En este trabajo se estudia el efecto que tiene incluir una entidad financiera en la distribución de dinero mediante modelos cinéticos de distribución. Para esta tarea, se considera un sistema cerrado compuesto por agentes económicos que intercambian dinero aleatoriamente junto con una entidad financiera que establece una dinámica de préstamos y depósitos. Los resultados indican que son necesarias condiciones para estabilizar el sistema si se considera deuda y la distribución de probabilidad diverge con una tasa de intermediación diferente de cero.
Econophysics employs agent-based models to describe the emergent phenomenals found empirically in the income distributions. In this paper, we study the effect of a financial entity in the distribution of money through kinetic exchange models. For this aim, let us consider a closed system of many economic agents that exchange money randomly together with a financial entity that establishes a loans and deposits dynamic. The analysis indicates that a debt restriction is necessary to stabilize the system and the probability distribution diverge with an intermediation rate different from zero.
Referencias
Bonabeau, E. (2002). Agentbased modeling: Methods and techniques for simulating human systems. Proceedings of the National Academy of Sciences, 99(suppl. 3), 7280-7287. http://dx.doi.org/10.1073/pnas.082080899 DOI: https://doi.org/10.1073/pnas.082080899
Calvo-Bernardino, A., & Martín de Vidales-Carrasco, I. (2014). El rescate bancario: importancia y efectos sobre algunos sistemas financieros afectados. Revista de Economía Mundial, 37, 125-150. http://dx.doi.org/10.33776/rem.v0i37.4009 DOI: https://doi.org/10.33776/rem.v0i37.4009
Chakraborti, A., & Chakrabarti, B. K. (2000). Statistical mechanics of money: how saving propensity affects its distribution. The European Physical Journal B Condensed Matter and Complex Systems, 17(1), 167-170. http://dx.doi.org/10.1007/s100510070173 DOI: https://doi.org/10.1007/s100510070173
Chakraborti, http://dx.doi.org/10.1080/14697688.2010.539248 A., Toke, I. M., Patriarca, M., & Abergel, F. (2011a). Econophysics review: I. Empirical facts. Quantitative Finance, 11(7), 991-1012. DOI: https://doi.org/10.1080/14697688.2010.539248
Chakraborti, A., Toke, I. M., Patriarca, M., & Abergel, F. (2011b). Econophysics review: II. Agent-based models. Quantitative Finance, 11(7), 1013-1041. http://dx.doi.org/10.1080/14697688.2010.539249 DOI: https://doi.org/10.1080/14697688.2010.539249
Chatterjee, A., Chakrabarti, B. K., & Manna, S. (2004). Pareto law in a kinetic model of market with random saving propensity. Physica A: Statistical Mechanics and its Applications, 335(1-2), 155-163. http://dx.doi.org/10.1016/j.physa.2003.11.014 DOI: https://doi.org/10.1016/j.physa.2003.11.014
Clara-Rahola, J., Puertas, A. M., Sánchez-Granero, M. A., Trinidad-Segovia, J. E., & De las Nieves, F. J. (2017). Diffusive and arrestedlike dynamics in currency exchange markets. Physical Review Letters, 118(6), 068301. http://dx.doi.org/10.1103/PhysRevLett.118.068301 DOI: https://doi.org/10.1103/PhysRevLett.118.068301
Coelho, R., Richmond, P., Barry, J., & Hutzler, S. (2008). Double power laws in income and wealth distributions. Physica A: Statistical Mechanics and its Applications, 387(15), 3847-3851. http://dx.doi.org/10.1016/j.physa.2008.01.047 DOI: https://doi.org/10.1016/j.physa.2008.01.047
Díez, J. C. (2013). Hay vida después de la crisis: el economista observador. Plaza & Janés.
Diniz, M., & Mendes, F. (2012). Effects of taxation on money distribution. International Review of Financial Analysis, 23, 81-85. http://dx.doi.org/10.1016/j.irfa.2011.06.014 DOI: https://doi.org/10.1016/j.irfa.2011.06.014
Drăgulescu, A., & Yakovenko, V. M. (2000). Statistical mechanics of money. The European Physical Journal B-Condensed Matter and Complex Systems, 17(4), 723-729. http://dx.doi.org/10.1007/s100510070114 DOI: https://doi.org/10.1007/s100510070114
Drăgulescu, A., & Yakovenko, V. M. (2001). Evidence for the exponential distribution of income in the USA. The European Physical Journal B-Condensed Matter and Complex Systems, 20(4), 585-589. http://dx.doi.org/10.1007/PL00011112 DOI: https://doi.org/10.1007/PL00011112
Farmer, J. D., & Foley, D. (2009). The economy needs agent-based modelling. Nature, 460(7256), 685-686. http://dx.doi.org/10.1038/460685a DOI: https://doi.org/10.1038/460685a
Guala, S. (2009). Taxes in a wealth distribution model by inelastically scattering of particles. Interdisciplinary Description of Complex Systems: INDECS, 7(1), 1-7.
Gutiérrez-Rueda, J., Estrada, D. A., & Capera-Romero, L. (2011). Un análisis del endeudamiento de los hogares. Temas de Estabilidad Financiera, 61. https://doi.org/10.32468/tef.61 DOI: https://doi.org/10.32468/tef.61
Jaramillo-Betancur, F. (2016). Tasas de interés e intermediación. Lupa Empresarial, 4, 26-43. https://revistas.ceipa.edu.co/index.php/lupa/article/view/496
López-García, M. N., Sánchez-Granero, M. A., Trinidad-Segovia, J. E., Puertas, A. M., & De las Nieves, F. J. (2020). A new look on financial markets co-movement through cooperative dynamics in many-body physics. Entropy, 22(9), 954. https://doi.org/10.3390/e22090954 DOI: https://doi.org/10.3390/e22090954
Lux, T., & Alfarano, S. (2016). Financial power laws: Empirical evidence, models, and mechanisms. Chaos, Solitons & Fractals, 88, 3-18. DOI: https://doi.org/10.1016/j.chaos.2016.01.020
Lux, T., & Marchesi, M. (1999). Scaling and criticality in a stochastic multi-agent model of a financial market. Nature, 397(6719), 498-500. https://doi.org/10.1016/j.chaos.2016.01.020 DOI: https://doi.org/10.1038/17290
Macal, C. M., & North, M. J. (2005). Tutorial on agent-based modeling and simulation. Proceedings of the Winter Simulation Conference. https://doi.org/10.1109/WSC.2005.1574234 DOI: https://doi.org/10.1109/WSC.2006.323040
Mantegna, R. N., & Stanley, H. E. (1999). Introduction to econophysics: Correlations and complexity in finance. Cambridge University Press. https://doi.org/10.1017/CBO9780511755767 DOI: https://doi.org/10.1017/CBO9780511755767
McCauley, J., Roehner, B., Stanley, E., & Schinckus, C. (2016). The 20th anniversary of econophysics: Where we are and where we are going. International Review of Financial Analysis, 47(100), 267-269. https://doi.org/10.1016/j.irfa.2016.09.001 DOI: https://doi.org/10.1016/j.irfa.2016.09.001
Patriarca, M., & Chakraborti, A. (2013). Kinetic exchange models: From molecular physics to social science. American Journal of Physics, 81(8), 618-623. https://doi.org/10.1119/1.4807852 DOI: https://doi.org/10.1119/1.4807852
Patriarca, M., Chakraborti, A., & Kaski, K. (2004). Statistical model with a standard Γ distribution. Physical Review E, 70(1), 016104. https://doi.Org/10.1103/PhysRevE.70.016104 DOI: https://doi.org/10.1103/PhysRevE.70.016104
Pereira, E. J. A. L., Da Silva, M. F., & Pereira, H. B. B. (2017). Econophysics: Past and present. Physica A: Statistical Mechanics and its Applications, 473, 251-261. https://doi.org/10.1016/j.physa.2017.01.007 DOI: https://doi.org/10.1016/j.physa.2017.01.007
Poitras, G. (2018). The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists. Physica A: Statistical Mechanics and its Applications, 507, 89-98. https://doi.org/10.1016/j.physa.2018.05.058 DOI: https://doi.org/10.1016/j.physa.2018.05.058
Puertas, A. M., Sánchez-Granero, M. A., Clara-Rahola, J., Trinidad-Segovia, J. E., & De las Nieves, F. J. (2020). Stock markets: A view from soft matter. Physical Review E, 101(3), 032307. https://doi.org/10.1103/PhysRevE.101.032307 DOI: https://doi.org/10.1103/PhysRevE.101.032307
Pyka, A., & Fagiolo, G. (2007). Agent-based modelling: A methodology for neo-schumpeterian economics. En H. Hanusch & A. Pyka (eds.), Elgar companion to nceo-Schumpeterian Economics (pp. 467-487). Edward Elgar. DOI: https://doi.org/10.4337/9781847207012.00037
Quevedo, H., & Quevedo, M. N. (2016). Income distribution in the Colombian economy from an econophysics perspective. Cuadernos de Economía, 35(69), 691-707. https://doi.org/10.4337/9781847207012.00037 DOI: https://doi.org/10.15446/cuad.econ.v35n69.44876
Rios, M. C., McConnell, C. R., & Brue, S. L. (2013). Economics: Principles, problems, and policies. McGraw-Hill.
Rozo-Cerinza, J. P. (2020). Historia del gravamen a los movimientos financieros en Colombia.
Schinckus, C. (2010). Is econophysics a new discipline? The neopositivist argument. Physica A: Statistical mechanics and its applications, 389(18), 3814-3821. http://dx.doi.org/10.1016/j.physa.2010.05.016 DOI: https://doi.org/10.1016/j.physa.2010.05.016
Schinckus, C. (2013). Between complexity of modelling and modelling of complexity: An essay on econophysics. Physica A: Statistical Mechanics and its Applications, 392(17), 3654-3665. http://dx.doi.org/10.1016/j.physa.2013.04.005 DOI: https://doi.org/10.1016/j.physa.2013.04.005
Segovia, J. E. T., Di Sciorio, F., Mattera, R., & Spano, M. (2022). A bibliometric analysis on agent-based models in finance: Identification of community clusters and future research trends. Complexity, 1-11. DOI: https://doi.org/10.1155/2022/4741566
Silva, A. C., & Yakovenko, V. M. (2004). Temporal evolution of the “thermal” and “superthermal” income classes in the USA during 1983-2001. Europhysics Letters, 69(2), 304. http://dx.doi.org/10.1209/epl/i2004-10330-3 DOI: https://doi.org/10.1209/epl/i2004-10330-3
Stanley, H. E., Afanasyev, V., Amaral, L. A. N., Buldyrev, S. V., Goldberger, A. L., Havlin, S., Leschhorn, H., Maass, P., Mantegna, R. N., Peng, C.-K., Prince, P. A., Salinger, M. A., Stanley, M. H. R., & Viswanathan, G. M. (1996). Anomalous fluctuations in the dynamics of complex systems: From DNA and physiology to econophysics. Physica A: Statistical Mechanics and its Applications, 224(1-2), 302-332. http://dx.doi.org/10.1016/0378-4371(95)00409-2 DOI: https://doi.org/10.1016/0378-4371(95)00409-2
Tao, Y. (2021). Boltzmann-like income distribution in low and middle income classes: Evidence from the United Kingdom. Physica A: Statistical Mechanics and its Applications, 126114. http://dx.doi.org/10.1016/j.physa.2021.126114 DOI: https://doi.org/10.1016/j.physa.2021.126114
Yakovenko, V. M. (2016). Monetary economics from econophysics perspective. The European Physical Journal Special Topics, 225(17), 3313-3335. http://dx.doi.org/10.1140/epjst/e2016-60213-3 DOI: https://doi.org/10.1140/epjst/e2016-60213-3
Yakovenko, V. M., & Silva, A. C. (2007). Two-class structure of income distribution in the USA: Exponential bulk and power-law tail. En K. Yakubo, H. Amitsuka, G. Ishikawa, S. Tanda, H. Yamada & N. Kichiji (eds.), Topological Aspects of critical systems and networks (pp. 49-58). World Scientific. http://dx.doi.org/10.1142/9789812708687_0007 DOI: https://doi.org/10.1142/9789812708687_0007
Cómo citar
APA
ACM
ACS
ABNT
Chicago
Harvard
IEEE
MLA
Turabian
Vancouver
Descargar cita
Licencia
Derechos de autor 2024 Cuadernos de Economía
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
Cuadernos de Economía a través de la División de Bibliotecas de la Universidad Nacional de Colombia promueve y garantiza el acceso abierto de todos sus contenidos. Los artículos publicados por la revista se encuentran disponibles globalmente con acceso abierto y licenciados bajo los términos de Creative Commons Atribución-No_Comercial-Sin_Derivadas 4.0 Internacional (CC BY-NC-ND 4.0), lo que implica lo siguiente:
