{
  "id": "cond-mat/0307341",
  "version": "v2",
  "published": "2003-07-15T02:48:09.000Z",
  "updated": "2003-07-16T16:50:06.000Z",
  "title": "Applications of physics to economics and finance: Money, income, wealth, and the stock market",
  "authors": [
    "Adrian A. Dragulescu"
  ],
  "comment": "30 pages, 30 figures. Ph.D. thesis in physics defended on May 15, 2002 at the University of Maryland. Covers cond-mat/0001432, cond-mat/0008305, cond-mat/0103544, cond-mat/0203046, cond-mat/0211175, and contains extra material. v.2: spelling of a name is corrected",
  "categories": [
    "cond-mat.stat-mech",
    "q-fin.GN"
  ],
  "abstract": "Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: 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. A thermal machine which extracts a monetary profit can be constructed between two economic systems with different temperatures. Chapter 2: Using data from several sources, it is found that the distribution of income is described for the great majority of population by an exponential distribution, whereas the high-end tail follows a power law. The Lorenz curve and Gini coefficient were calculated and are shown to be in good agreement with both income and wealth data sets. Chapter 3: The Heston model where stock-price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance is studied. The corresponding Fokker-Planck equation is solved exactly. Integrating out the variance, an analytic formula for the time-dependent probability distribution of stock price changes (returns) is found. The formula is in excellent agreement with the Dow-Jones index for the time lags from 1 to 250 trading days.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2003-07-16T16:50:06.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "stock market",
      "applications",
      "equilibrium probability distribution",
      "time-dependent probability distribution",
      "exponential boltzmann-gibbs law"
    ],
    "tags": [
      "dissertation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 30,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2003cond.mat..7341D"
    }
  }
}