Minority Games

Interacting Agents in Financial Markets
Erscheinungsjahr 2004
ISBN: 978-0-19-856640-3
Verlag: Oxford University Press

Buch, Englisch, 360 Seiten, Print PDF, Format (B × H): 174 mm x 247 mm, Gewicht: 735 g

The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. Then it reviews the main steps in later developments, including both the theory and its applications to market phenomena. This book gives a colourful and stylized, but also realistic picture of how financial markets operate.

Zielgruppe

Physicists, mathematicians, economists, financial practitioners. Graduate and undergraduate students. People interested in the dynamics of financial markets and agent-based models.

Autoren/Hrsg.

Challet, Damien

Marsili, Matteo

Zhang, Yi-Cheng

Fachgebiete

• Technische Wissenschaften Technik Allgemein Computeranwendungen in der Technik
• Naturwissenschaften Physik Thermodynamik Festkörperphysik, Kondensierte Materie
• Naturwissenschaften Physik Angewandte Physik Statistische Physik, Dynamische Systeme
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Wirtschaftswissenschaften Wirtschaftswissenschaften: Allgemeines
• Naturwissenschaften Physik Quantenphysik
• Mathematik | Informatik EDV | Informatik Angewandte Informatik Computeranwendungen in Wissenschaft & Technologie
• Mathematik | Informatik EDV | Informatik Professionelle Anwendung Computer-Aided Design (CAD)
• Technische Wissenschaften Technik Allgemein Physik, Chemie für Ingenieure
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Naturwissenschaften Physik Physik Allgemein

Inhaltsverzeichnis

- 1: Introduction

- 2: Early works

- 3: Understanding the Minority Games dynamics

- 4: Minority Games as market models

- 5: Quest for better cooperation

- A: Selected publications

- B: Source code

Über Autor(innen)

Damien Challet graduated as a physicist at the Swiss Institute of Technology, Lausanne, and obtained his Ph.D at Fribourg University under the supervision of Prof Yi-Cheng Zhang. He then spent three years as a postdoctoral fellow in Theoretical Physics at Oxford and is now Nomura Junior Research Fellow in Financial Mathematics, Oxford, jointly with Wadham College. He was given the Young European Scientist Award in Socio- and Econophysics in 2002.

Matteo Marsili graduated in physics at La Sapienza in Rome. Then he moved to Trieste, obtaining his Ph.D. at SISSA in 1994. Having been a researcher at the Istituto Nazionale per la Fisica della Materia in Trieste, he is now Research Scientist at the Abus Salam International Centre for Theoretical Physics.

Yi-Cheng Zhang obtained his Ph.D on particle physics in 1984 under Giorgio Parisi in Rome and then completed a two-year postdoctoral stint at Brookhaven National Lab USA (1984-1986). He was a senior researcher at Istituto Nazionale Fisica Nucleare (1986-1991). Since 1992, he has been Professor of Theoretical Physics at Fribourg University in Switzerland.