IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://hal.archives-ouvertes.fr/docs/00/62/10/59/PDF/reviewII.pdf
    Download Restriction: no

    Paper provided by HAL in its series Post-Print with number hal-00621059.

    as
    in new window

    Length:
    Date of creation: 24 Jun 2011
    Date of revision:
    Publication status: Published, Quantitative Finance, 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: http://hal.archives-ouvertes.fr/hal-00621059/en/
    Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Jess Benhabib & Alberto Bisin & Shenghao Zhu, 2011. "The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents," Econometrica, Econometric Society, vol. 79(1), pages 123-157, 01.
    2. A. De Martino & I. Giardina & M. Marsili & A. Tedeschi, 2004. "Generalized minority games with adaptive trend-followers and contrarians," Papers cond-mat/0403649, arXiv.org.
    3. Bouchaud, Jean-Philippe & Mézard, Marc, 2000. "Wealth condensation in a simple model of economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(3), pages 536-545.
    4. Arnab Das & Sudhakar Yarlagadda, 2003. "A distribution function analysis of wealth distribution," Papers cond-mat/0310343, arXiv.org.
    5. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 251-256.
    6. Ausloos, Marcel & Pe¸kalski, Andrzej, 2007. "Model of wealth and goods dynamics in a closed market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 560-568.
    7. Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2012. "Leverage causes fat tails and clustered volatility," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 695-707, February.
    8. S. Ispolatov & P.L. Krapivsky & S. Redner, 1998. "Wealth distributions in asset exchange models," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 2(2), pages 267-276, March.
    9. Frantisek Slanina, 2008. "Critical comparison of several order-book models for stock-market fluctuations," Papers 0801.0631, arXiv.org.
    10. Damien Challet & Robin Stinchcombe, 2001. "Analyzing and modelling 1+1d markets," Papers cond-mat/0106114, arXiv.org, revised Jun 2001.
    11. Düring, B. & Toscani, G., 2007. "Hydrodynamics from kinetic models of conservative economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 493-506.
    12. Mike, Szabolcs & Farmer, J. Doyne, 2008. "An empirical behavioral model of liquidity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 200-234, January.
    13. Alan P. Kirman, 1992. "Whom or What Does the Representative Individual Represent?," Journal of Economic Perspectives, American Economic Association, vol. 6(2), pages 117-136, Spring.
    14. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    15. Jean-Philippe Bouchaud & Marc Mezard, 2000. "Wealth condensation in a simple model of economy," Science & Finance (CFM) working paper archive 500026, Science & Finance, Capital Fund Management.
    16. Raberto, Marco & Cincotti, Silvano & Focardi, Sergio M. & Marchesi, Michele, 2001. "Agent-based simulation of a financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 319-327.
    17. Chakrabarti, Anindya Sundar & Chakrabarti, Bikas K. & Chatterjee, Arnab & Mitra, Manipushpak, 2009. "The Kolkata Paise Restaurant problem and resource utilization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2420-2426.
    18. A. Chatterjee & B. K. Chakrabarti, 2007. "Kinetic exchange models for income and wealth distributions," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 60(2), pages 135-149, November.
    19. Fujiwara, Yoshi & Souma, Wataru & Aoyama, Hideaki & Kaizoji, Taisei & Aoki, Masanao, 2003. "Growth and fluctuations of personal income," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 321(3), pages 598-604.
    20. Li, Yi & Riolo, Rick & Savit, Robert, 2000. "Evolution in minority games. (II). Games with variable strategy spaces," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(1), pages 265-283.
    21. Angle, John, 2006. "The Inequality Process as a wealth maximizing process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 388-414.
    22. F. Slanina, 2008. "Critical comparison of several order-book models for stock-market fluctuations," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 61(2), pages 225-240, 01.
    23. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-37, February.
    24. Adrian Dragulescu & Victor M. Yakovenko, 2000. "Statistical mechanics of money," Papers cond-mat/0001432, arXiv.org, revised Aug 2000.
    25. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
    26. U. Garibaldi & E. Scalas & P. Viarengo, 2007. "Statistical equilibrium in simple exchange games II. The redistribution game," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 60(2), pages 241-246, November.
    27. Johnson, Neil F & Hart, Michael & Hui, P.M, 1999. "Crowd effects and volatility in markets with competing agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 1-8.
    28. Hasbrouck, Joel, 2007. "Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading," OUP Catalogue, Oxford University Press, number 9780195301649, March.
    29. Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2009. "Microeconomics of the ideal gas like market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4151-4158.
    30. Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005. "Influence of saving propensity on the power law tail of wealth distribution," Papers physics/0506028, arXiv.org.
    31. P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers 96-09-075, Santa Fe Institute.
    32. Eric Smith & J. Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2002. "Statistical theory of the continuous double auction," Papers cond-mat/0210475, arXiv.org.
    33. J. B. Satinover & D. Sornette, 2007. "”Illusion of control” in Time-Horizon Minority and Parrondo Games," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 60(3), pages 369-384, December.
    34. Nicola Scafetta & Sergio Picozzi & Bruce West, 2004. "An out-of-equilibrium model of the distributions of wealth," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 353-364.
    35. Makoto Nirei & Wataru Souma, 2007. "A Two Factor Model Of Income Distribution Dynamics," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 53(3), pages 440-459, 09.
    36. Victor M. Yakovenko & J. Barkley Rosser, 2009. "Colloquium: Statistical mechanics of money, wealth, and income," Papers 0905.1518, arXiv.org, revised Dec 2009.
    37. Marc Potters & Jean-Philippe Bouchaud, 2002. "More statistical properties of order books and price impact," Science & Finance (CFM) working paper archive 0210710, Science & Finance, Capital Fund Management.
    38. Frantisek Slanina, 2001. "Mean-field approximation for a limit order driven market model," Papers cond-mat/0104547, arXiv.org, revised Aug 2001.
    39. Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 346-353.
    40. P. K. Mohanty, 2006. "Generic features of the wealth distribution in ideal-gas-like markets," Papers physics/0603141, arXiv.org, revised Jul 2006.
    41. E. Scalas & U. Garibaldi & S. Donadio, 2007. "Statistical equilibrium in simple exchange games I," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 60(2), pages 271-272, November.
    42. Arnab Chatterjee & Bikas K. Chakrabarti, 2007. "Kinetic Exchange Models for Income and Wealth Distributions," Papers 0709.1543, arXiv.org, revised Nov 2007.
    43. Iori, Giulia & Jafarey, Saqib & Padilla, Francisco G., 2006. "Systemic risk on the interbank market," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 525-542, December.
    44. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    45. Nicola Scafetta & Sergio Picozzi & Bruce J. West, 2004. "An out-of-equilibrium model of the distributions of wealth," Papers cond-mat/0403045, arXiv.org.
    46. Sysi-Aho, Marko & Chakraborti, Anirban & Kaski, Kimmo, 2003. "Adaptation using hybridized genetic crossover strategies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 701-709.
    47. Ferrero, Juan C, 2004. "The statistical distribution of money and the rate of money transference," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 341(C), pages 575-585.
    48. Challet, Damien & Zhang, Yi-Cheng, 1998. "On the minority game: Analytical and numerical studies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 514-532.
    49. Xavier Gabaix, 1999. "Zipf'S Law For Cities: An Explanation," The Quarterly Journal of Economics, MIT Press, vol. 114(3), pages 739-767, August.
    50. Arnab Chatterjee & Bikas K. Chakrabarti & S. S. Manna, 2003. "Money in Gas-Like Markets: Gibbs and Pareto Laws," Papers cond-mat/0311227, arXiv.org.
    51. Potters, Marc & Bouchaud, Jean-Philippe, 2003. "More statistical properties of order books and price impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 133-140.
    52. Repetowicz, Przemysław & Hutzler, Stefan & Richmond, Peter, 2005. "Dynamics of money and income distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 356(2), pages 641-654.
    53. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00621059. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.