Thermodynamic Limits of Macroeconomic or Financial Models: One-and Two-Parameter Poisson-Dirichlet Models

Masanao Aoki

No CIRJE-F-445, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper examines asymptotic behavior of two types of economic or financial models with manyinteracting heterogeneous agents. They are one-parameter Poisson-Dirichlet models, also called Ewens models, and its extension totwo-parameter Poisson-Dirichlet models. The total number of clusters, and the components of partition vectors (thenumberof clustersofspecified sizes),both suitably normalizedby some powers of model sizes, of these classes of models are shown tobe related to the Mittag-Letter distributions. Theirbehavior as the model sizes tend to infinity(thermodynamic limits) are qualitatively very different.Inthe one-parametermodels,thenumberof clusters, and components of partition vectors are both self-averaging, that is,their coefficients of variations tend to zero as the model sizes become very large, while in the two-parameter models they are not self-averaging, that is,their coefficients of variations do not tend to zeroasmodel sizesbecomes large.

Pages: 21pages
Date: 2006-10
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Thermodynamic limits of macroeconomic or financial models: One- and two-parameter Poisson-Dirichlet models (2008)
Working Paper: Thermodynamic Limits of Macroeconomic or Financial Models: One- and Two-Parameter Poisson-Dirichlet Models
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2006cf445

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