Physics – Condensed Matter – Disordered Systems and Neural Networks
Scientific paper
2000-12-14
Quantitative Finance 1, 246 (2001)
Physics
Condensed Matter
Disordered Systems and Neural Networks
15 Pages. 5 figures
Scientific paper
We discuss recent work in the study of a simple model for the collective behaviour of diverse speculative agents in an idealized stockmarket, considered from the perspective of the statistical physics of many-body systems. The only information about other agents available to any one is the total trade at time steps. Evidence is presented for correlated adaptation and phase transitions/crossovers in the global volatility of the system as a function of appropriate information scaling dimension. Stochastically controlled irrationally of individual agents is shown to be globally advantageous. We describe the derivation of the underlying effective stochastic differential equations which govern the dynamics, and make an interpretation of the results from the point of view of the statistical physics of disordered systems.
Garrahan Juan P.
Moro Esteban
Sherrington David
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