Statistical physics of induced correlation in a simple market

David Sherrington, Esteban Moro and Juan Pedro Garrahan

Physica A: Statistical Mechanics and its Applications, 2002, vol. 311, issue 3, 527-535

Abstract: A simple model for the collective behaviour of diverse speculative agents in a competitive market is considered from the point of view of statistical physics. The only information about other agents available to any one is the total trade effected at each time-step. Evidence is presented for correlated adaptation, phase transitions, scaling, regimes of non-equilibration and equilibration, and relevant stochasticity. An intermediate-level quasi-continuous micro-dynamics is derived and shown to have a novel character.

Keywords: Minority game; Econophysics; Disordered systems (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:311:y:2002:i:3:p:527-535

DOI: 10.1016/S0378-4371(02)00835-X

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