Stochastic analysis of an agent-based model

A. Veglio and M. Marsili

Physica A: Statistical Mechanics and its Applications, 2007, vol. 385, issue 2, 631-636

Abstract: We analyze the dynamics of a forecasting game that exhibits the phenomenon of information cascades. Each agent aims at correctly predicting a binary variable and he/she can either look for independent information or herd on the choice of others. We show that dynamics can be analytically described in terms of a Langevin equation and its collective behavior is described by the solution of a Kramers’ problem. This provides very accurate results in the region where the vast majority of agents herd, that corresponds to the most interesting one from a game theoretic point of view.

Keywords: Ising model; Forecasting game; Phase coexistence; Langevin equation; Kramers’ problem (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:385:y:2007:i:2:p:631-636

DOI: 10.1016/j.physa.2007.07.027

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