Some Asymptotic Results for the Yard-Sale Model of Asset Exchange

Kenta Kobayashi, 健太 小林, Koichiro Takaoka and 浩一郎 高岡

No G-1-17, Working Paper Series from Hitotsubashi University Center for Financial Research

Abstract: Concerning the yard-sale model of asset exchange, some refinements of the results in the literature are given in both discrete- and continuoustime settings. The wealth concentration result is extended to possibly unfair games. In a fair case, an asymptotic behavior of every player’s wealth process is derived. In the continuous-time settings, the effect of a proportional capital tax is also investigated. It is not assumed that the frequency of transactions is homogeneous for every pair of players in the discrete-time settings, or that the intensity of transactions is homogeneous in the continuous-time settings.

Pages: 32 pages
Date: 2016-07-12
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