Jaime Gil Aluja Departament d Economia i Organització d Empreses, Universitat de Barcelona, Spain

Transcription

1 New Economic Windows Series Editor MASSIMO SALZANO Series Editorial Board Jaime Gil Aluja Departament d Economia i Organització d Empreses, Universitat de Barcelona, Spain Fortunato Arecchi Dipartimento di Fisica, Università di Firenze and INOA, Italy David Colander Department of Economics, Middlebury College, Middlebury, VT, USA Richard H. Day Department of Economics, University of Southern California, Los Angeles, USA Mauro Gallegati Dipartimento di Economia, Università di Ancona, Italy Steve Keen School of Economics and Finance, University of Western Sydney, Australia Giulia Iori Department of Mathematics, King s College, London, UK Alan Kirman GREQAM/EHESS, Université d Aix-Marseille III, France Marji Lines Dipartimento di Science Statistiche, Università di Udine, Italy Alfredo Medio Dipartimento di Scienze Statistiche, Università di Udine, Italy Paul Ormerod Directors of Environment Business-Volterra Consulting, London, UK J. Barkley Rosser Department of Economics, James Madison University, Harrisonburg, VA, USA Sorin Solomon Racah Institute of Physics, The Hebrew University of Jerusalem, Israel Kumaraswamy (Vela) Velupillai Department of Economics, National University of Ireland, Ireland Nicolas Vriend Department of Economics, Queen Mary University of London, UK Lotfi Zadeh Computer Science Division, University of California Berkeley, USA Editorial Assistants Maria Rosaria Alfano Marisa Faggini Dipartimento di Scienze Economiche e Statistiche, Università di Salerno, Italy

2 Arnab Chatterjee Sudhakar Yarlagadda Bikas K Chakrabarti (Eds.) Econophysics of Wealth Distributions Econophys-Kolkata I

3 IV A. Achiron et al. ARNAB CHATTERJEE SUDHAKAR YARLAGADDA BIKAS K CHAKRABARTI Theoretical Condensed Matter Physics Division and Centre for Applied Mathematics and Computational Science Saha Institute of Nuclear Physics, Kolkata, India The publication of this book has been made possible by a partial support from a fund provided by the Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India Library of Congress Control Number: ISBN Springer Milan Berlin Heidelberg New York ISBN This work is subject to copyright. All rights are reserved, whether the whole of part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in other ways, and storage in databanks. Duplication of this pubblication or parts thereof is only permitted under the provisions of the Italian Copyright Law in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the Italian Copyright Law. Springer is a part of Springer Science+Business Media springeronline.com Springer-Verlag Italia 2005 Printed in Italy Cover design: Simona Colombo, Milano Typeset by the authors using a Springer Macro package Printing and binding: Grafiche Porpora, Cernusco S/N (MI) Printed on acid-free paper

4 Preface We all know the hard fact: neither wealth nor income is ever uniform for us all. Justified or not, they are unevenly distributed; few are rich and many are poor! Investigations for more than hundred years and the recent availability of the income distribution data in the internet (made available by the finance ministries of various countries; from the tax return data of the income tax departments) have revealed some remarkable features. Irrespective of many differences in culture, history, language and, to some extent, the economic policies followed in different countries, the income distribution is seen to follow a particular universal pattern. So does the wealth distribution. Barring an initial rise in population with income (or wealth; for the destitutes), the population decreases either exponentially or in a log-normal way for the majority of 'middle income' group, and it eventually decreases following a power law (Pareto law, following Vilfredo Pareto's observation in 1896) for the richest 5-10 % of the population! This seems to be an universal feature - valid for most of the countries and civilizations; may be in ancient Egypt as well! Econophysicists tried to view this as a natural law for a statistical manybody-dynamical market system, analogous to gases, liquids or solids: classical or quantum. Considerable developments have taken place recently, when econophysicists tried to model such a 'market' as a thermodynamic system and identified the income distribution there to be similar to the energy distribution in thermodynamic systems like gases etc. This workshop on 'Econophysics of Wealth Distributions', first in the 'Econophys-Kolkata' series, was held in Kolkata under the auspices of the 'Centre for Applied Mathematics and Computational Science', Saha Institute of Nuclear Physics, during March We plan to hold the next meeting in this series on 'Econophysics of Stock Markets' early next year. We hope to meet again along with the readers there. We are extremely happy that almost all the leading economists and physicists, engaged in these studies on wealth distributions could come and partici-

5 VI Preface pate in the workshop. In this "first ever conference on Econophysics of Wealth Distributions" (New Scientist, 12 March 2005), physicists and economists discussed about their latest researches in the field. There were some agreements and more disagreements; but many interdisciplinary collaborations also got started. We believe, this Proceedings Volume will be able to convey the elctrifying atmosphere of the workshop, and will inspire further research in this important field. Kolkata, May 2005 Arnab Chatterjee Sudhakar Yarlagadda Bikas K Chakrabarti

6 Contents Part I Data and analysis Pareto's Law of Income Distribution: Evidence for Germany, the United Kingdom, and the United States Fabio Clementi and Mauro Gallegati 3 Two-class Structure of Income Distribution in the USA: Exponential Bulk and Power-law Tail Victor M. Yakovenko and A. Christian Silva 15 Pareto-Zipf, Gibrat's Laws, Detailed-Balance and their Breakdown Yoshi Fujiwara 24 Empirical Study and Model of Personal Income Wataru Souma and Makoto Nirei 34 Blockbusters, Bombs and Sleepers: The Income Distribution of Movies Sitabhra Sinha and Raj Kumar Pan 43 Part II Models and theories Emergent Statistical Wealth Distributions in Simple Monetary Exchange Models: A Critical Review Thomas Lux 51 Lagrange Principle of Wealth Distribution Jurgen Mimkes and Geoff Willis 61 Carnot Process of Wealth Distribution Jurgen Mimkes and Yuji Aruka 70

7 VIII Contents Ideal-Gas Like Markets: Effect of Savings Arnab Chatterjee and Bikas K Chakrabarti 79 Kinetic Theory Models for the Distribution of Wealth: Power Law from Overlap of Exponentials Marco Patriarca, Anirban Chakraborti, Kimmo Kaski and Guido Germane- 93 Detailed Simulation Results for Some Wealth Distribution Models in Econophysics K. Bhattacharya, G. Mukherjee and S. S. Manna Ill Dynamics of Money and Income Distributions Peter Richmond, Przemyslaw Repetowicz and Stefan Hutzler 120 Dynamic Process of Money Transfer Models Yougui Wang and Ning Ding 126 A Stochastic Trading Model of Wealth Distribution Sudhakar Yarlagadda and Arnab Das 137 Wealth Distribution in a Network with Correlations Between Links and Success S. Risau Gusman, M. F. Laguna and J. R. Iglesias 149 The Monomodal, Polymodal, Equilibrium and Nonequilibrium Distribution of Money Juan C. Ferrero 159 Relieving Poverty by Modifying Income and Wealth Distributions Geoff Willis 168 The Rich Are Different! Pareto Law from Asymmetric Interactions in Asset Exchange Models Sitabhra Sinha 177 Do We All Face the Same Constraints? Mishael Milakovic 184 Part III Related studies A Stochastic Model of Wealth Distribution Indrani Bose and Subhasis Banerjee 195 How the Rich Get Richer Anita Mehta, A S Majumdar and J M Luck 199

8 Contents IX Power-Law Distribution in an Emerging Capital Market Debasis Bagchi 205 Statistical Analysis on Bombay Stock Market A. Sarkar and P. Barat 210 Funds Management by Banks in India: Solution to a Persisting Optimization Problem Udayan Kumar Basu 214 Income Distribution in the Boltzmann-Pareto Framework Dipti Prakas Pal and Hridis Kr. Pal 218 Part IV Comments and Discussions Econophys-Kolkata: A Short Story Bikas K Chakrabarti 225 Econophysics of Wealth Distribution: A Comment Paul M. Anglin 229 Econophysics of Wealth Distributions: Workshop Summaries Peter Richmond, Jiirgen Mimkes, Mauro Gallegati, Thomas Lux, and Victor M Yakovenko 239