De Martino, Andrea and Marsili, Matteo, 1966- (2006) Statistical mechanics of socio-economic systems with heterogeneous agents. Working Paper. Warwick Business School, Financial Econometrics Research Centre, Coventry.

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Abstract

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
Date:	13 June 2006
Number:	No.06-
Number of Pages:	94
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/1756

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