Statistical mechanics of socio-economic systems with heterogeneous agents
De Martino, Andrea and Marsili, Matteo (2006) Statistical mechanics of socio-economic systems with heterogeneous agents. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.06-).
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We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and traffic modeling. We then focus on the analysis of the optimal properties of large random resource-allocation problems and on Minority Games and related models of speculative trading in financial markets, discussing a number of extensions including multi-asset models, Majority Games and models with asymmetric information. Finally, we summarize the main conclusions and outline the major open problems and limitations of the approach.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||Statistical mechanics, Collective behavior, Information asymmetry, Game theory|
|Series Name:||Working papers (Warwick Business School. Financial Econometrics Research Centre)|
|Publisher:||Warwick Business School, Financial Econometrics Research Centre|
|Place of Publication:||Coventry|
|Official Date:||13 June 2006|
|Number of Pages:||94|
|Institution:||University of Warwick|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
 Wigner E 1955 Ann. of Math 62 548
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