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The Pietra term structures of financial assets

Eliazar, Iddo - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 4, pp. 699-706

This paper explores an elemental connection between call options–the most commonly tradable financial derivatives, implied volatility term structures–critical “market information” emanating from call-option prices, and the Pietra index–a quantitative economic measure of societal...

Persistent link: https://www.econbiz.de/10011059054

Maximization of statistical heterogeneity: From Shannon’s entropy to Gini’s index

Eliazar, Iddo; Sokolov, Igor M. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3023-3038

Physics and Information Theory commonly use Shannon’s entropy which measures the randomness of probability laws, whereas … principle of maximal entropy, we explore the maximization of statistical heterogeneity–for probability laws with a given mean …–in the four following scenarios: (i) Shannon entropy maximization subject to a given dispersion level; (ii) Gini index …

Persistent link: https://www.econbiz.de/10011063693

The sociogeometry of inequality: Part II

Eliazar, Iddo - In: Physica A: Statistical Mechanics and its Applications 426 (2015) C, pp. 116-137

The study of socioeconomic inequality is of prime economic and social importance, and the key quantitative gauges of socioeconomic inequality are Lorenz curves and inequality indices — the most notable of the latter being the popular Gini index. In this series of papers we present a...

Persistent link: https://www.econbiz.de/10011209706

The sociogeometry of inequality: Part I

Eliazar, Iddo - In: Physica A: Statistical Mechanics and its Applications 426 (2015) C, pp. 93-115

The study of socioeconomic inequality is of prime economic and social importance, and the key quantitative gauges of socioeconomic inequality are Lorenz curves and inequality indices—the most notable of the latter being the popular Gini index. In this series of papers we present a...

Persistent link: https://www.econbiz.de/10011209712

On social inequality: Analyzing the rich–poor disparity

Eliazar, Iddo; Cohen, Morrel H. - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 148-158

From the Old Testament to the Communist Manifesto, and from the French Revolution to the Occupy Wall Street protests, social inequality has always been at the focal point of public debate, as well as a major driver of political change. Although being of prime interest since Biblical times, the...

Persistent link: https://www.econbiz.de/10011064165

Measuring statistical evenness: A panoramic overview

Eliazar, Iddo I.; Sokolov, Igor M. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1323-1353

Motivated by the question “how equal is the distribution of wealth within a given human population?” economics devised an impressive toolbox of quantitative measures of societal egalitarianism including the Lorenz curve and the following indices: Gini, Pietra, Hoover, Amato, Hirschman,...

Persistent link: https://www.econbiz.de/10011062690

Thermodynamics of fiber bundles

Pride, Steven R; Toussaint, Renaud - In: Physica A: Statistical Mechanics and its Applications 312 (2002) 1, pp. 159-171

probability of observing a given emergent damage state is obtained by maximizing the emergent entropy as defined by Shannon … sharing and holds for any quenched-disorder distribution. It further defines how the entropy evolves as a function of stress …, and shows definitively how the concepts of temperature and entropy emerge in a problem where all statistics derive from …

Persistent link: https://www.econbiz.de/10010874715

Permit allocation in emissions trading using the Boltzmann distribution

Park, Ji-Won; Kim, Chae Un; Isard, Walter - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4883-4890

In emissions trading, the initial allocation of permits is an intractable issue because it needs to be essentially fair to the participating countries. There are many ways to distribute a given total amount of emissions permits among countries, but the existing distribution methods, such as...

Persistent link: https://www.econbiz.de/10010589416

Projected moments in relativistic kinetic theory

Struchtrup, Henning - In: Physica A: Statistical Mechanics and its Applications 253 (1998) 1, pp. 555-593

closed by means of the entropy maximum principle. After this method has been outlined, the closure is performed for the case …

Persistent link: https://www.econbiz.de/10010599428

Entropy maximization and instability in uniformly magnetized plasmas

Son, S.; Moon, Sung Joon - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 12, pp. 2713-2717

A regime in which a uniformly magnetized plasma does not maximize the entropy and possibly becomes unstable to a …

Persistent link: https://www.econbiz.de/10010664951