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Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 31-267
Full Name: Hu Feng-rung
Position: Associate Professor
Age: ON
Sex: Male
Address: 140 Min-Shen Rd., Taichung City 403, Taiwan
Country: TAIWAN
Tel: 886-47-518572
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Fax: 886-42-2183500
E-mail address: fengrung@mail.ntcu.edu.tw
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Title of the Paper: On the ratio processes induced from the mean-field Bouchaud-Mezard model
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Number of paper pages: 11
Abstract: In this article, we develop the ratio processes , induced from the mean-field Bouchaud-Mezard model. The limit of the long-time average of the ratio process is studied and compared with all others. We shows that a strictly increasing sequence of the investment volatilities implies a strictly decreasing sequence of the limits, given appropriate , based on both theoretical and numerical analyses. It reveals a negative correlation between the investment volatilities and the ratio processes. As an empirical application, this negative correlation can be employed to characterize the mean-field Bouchaud-Mezard model. Our main result also indicates that an agent whose spontaneous growth or decrease in wealth due to investment in stock markets is always small will eventually become rich in the mean-field Bouchaud-Mezard model.
Keywords: Mean-field Bouchaud-Mezard model, Wealth distribution, Ratio process, Volatility, Ergodic, Long-time average
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