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Econophysics: agent-based models

  • Anirban Chakraborti

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

  • Ioane Muni Toke

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

  • 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)

Registered author(s):

    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.

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    File URL: https://hal.archives-ouvertes.fr/hal-00621059/document
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    Paper provided by HAL in its series Post-Print with number hal-00621059.

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    Date of creation: 24 Jun 2011
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    Publication status: Published in Quantitative Finance, Taylor & Francis (Routledge), 2011, Quantitative Finance, Vol. 11, No. 7, July 2011, 1013-1041 Econophysics
    Handle: RePEc:hal:journl:hal-00621059
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00621059
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