The Statistical Mechanics of Wealth: Agent-based Economics and Ergodic Transitions
This event is part of the Departmental Seminars.
The study of Statistics hails from the study of large populations of people. The modern discipline of Econophysics has turned the physicist’s toolset of probability and statistics back to these societal venues. In order to gain insight into the structure of the wealth distribution within an economy, we invoke an asset exchange model economy which includes both exchange and growth of wealth. We then explore the phase space of the model, with an eye on the extent to which it reproduces the structural features of real-world wealth distributions. We find a phase transition at the point where net returns on holdings are multiplicative—a point which may be relevant to real-world economics—between an ergodic economy with mobile agents and a non-ergodic economy where all wealth condenses onto one economic agent. The phase transition has several familiar features of thermodynamic transitions, such as power law scaling, data collapse, and critical slowing down.