We review the statistical mechanics approach to the study of the emerging collective behaviour of systems of heterogeneous interacting agents. The general framework is presented through examples in such contexts as ecosystem dynamics and traffic modelling. We then focus on the analysis of the optimal properties of large random resource-allocation problems and on Minority Games and related models of speculative trading in financial markets, discussing a number of extensions including multi-asset models, majority games and models with asymmetric information. Finally, we summarize the main conclusions and outline the major open problems and limitations of the approach.
Statistical mechanics of socio-economic systems with heterogeneous agents
De Martino A;
2006
Abstract
We review the statistical mechanics approach to the study of the emerging collective behaviour of systems of heterogeneous interacting agents. The general framework is presented through examples in such contexts as ecosystem dynamics and traffic modelling. We then focus on the analysis of the optimal properties of large random resource-allocation problems and on Minority Games and related models of speculative trading in financial markets, discussing a number of extensions including multi-asset models, majority games and models with asymmetric information. Finally, we summarize the main conclusions and outline the major open problems and limitations of the approach.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
