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Econophysics review: II. Agent-based models

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  • Anirban Chakraborti

    (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - Ecole Centrale Paris - CentraleSupélec)

  • Ioane Muni Toke

    () (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - Ecole Centrale Paris - CentraleSupélec)

  • Marco Patriarca

    (IFISC - Instituto de Fisica Interdisciplinaire y Sistemas Complejos - Instituto de Fisica Interdisciplinaire y Sistemas Complejos)

  • Frédéric Abergel

    () (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - Ecole Centrale Paris - CentraleSupélec)

Abstract

This article is the second part of a review of recent empirical and theoretical developments usually grouped under the heading Econophysics. In the first part, we reviewed the statistical properties of financial time series, the statistics exhibited in order books and discussed some studies of correlations of asset prices and returns. This second part deals with models in Econophysics from the point of view of agent-based modeling. Of the large number of multiagent- based models, we have identified three representative areas. First, using previous work originally presented in the fields of behavioral finance and market microstructure theory, econophysicists have developed agent-based models of order-driven markets that we discuss extensively here. Second, kinetic theory models designed to explain certain empirical facts concerning wealth distribution are reviewed. Third, we briefly summarize game theory models by reviewing the now classic minority game and related problems.

Suggested Citation

  • Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
  • Handle: RePEc:hal:journl:hal-00621059
    DOI: 10.1080/14697688.2010.539249
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00621059
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    References listed on IDEAS

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    1. Moura, N.J. & Ribeiro, Marcelo B., 2013. "Testing the Goodwin growth-cycle macroeconomic dynamics in Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2088-2103.
    2. repec:eee:phsmap:v:496:y:2018:i:c:p:593-601 is not listed on IDEAS

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