Related papers: Modeling Market Mechanism with Evolutionary Games
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
Recent results and interpretations are presented for the thermal minority game, concentrating on deriving and justifying the fundamental stochastic differential equation for the microdynamics.
Evolutionary game theory has impacted many fields of research by providing a mathematical framework for studying the evolution and maintenance of social and moral behaviors. This success is owed in large part to the demonstration that the…
Econophysics is a science in its infancy, born about ten years ago at this time of writing, at the crossing roads of physics, mathematics, computing and of course economics and finance. It also covers human sciences, because all economics…
This paper gives a critical account of the minority game literature. The minority game is a simple congestion game: players need to choose between two options, and those who have selected the option chosen by the minority win. The learning…
Most of the econometric and econophysics models have been borrowed from the statistical physics, and as a cosequence, a new interdisciplinary science called econophysics has emerged. In this paper we planned to extend the analogy between…
This article is written for the online newspaper "The Photon" published by the Department of Physics, University of Maryland. The article describes econophysics research done in the group of Victor Yakovenko. It briefly surveys the subjects…
Evolutionary game dynamics is one of the most fruitful frameworks for studying evolution in different disciplines, from Biology to Economics. Within this context, the approach of choice for many researchers is the so-called replicator…
In this paper, we present a simple stock market model (the market game) which incorporates, as ab initio dynamics delayed majority dynamics, according to which agents (with heterogeneous strategies and price expectations) are rewarded if…
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…
Game theory provides a general mathematical background to study the effect of pair interactions and evolutionary rules on the macroscopic behavior of multi-player games where players with a finite number of strategies may represent a wide…
This article introduces a novel mean-field game model for multi-sector economic growth in which a dynamically evolving externality, influenced by the collective actions of agents, plays a central role. Building on classical growth theories…
Competition has been introduced in the electricity markets with the goal of reducing prices and improving efficiency. The basic idea which stays behind this choice is that, in competitive markets, a greater quantity of the good is exchanged…
In this review some simple models of asexual populations evolving on smooth landscapes are studied. The basic model is based on a cellular automaton, which is analyzed here in the spatial mean-field limit. Firstly, the evolution on a fixed…
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce…
Evolutionary games are a developing sub-field of game theory. This branch of game theory is used in the study of the adaptation of large, but finite, populations of agents to changes in the environment. It assumes that each agent has no…
Prediction markets are designed to elicit information from multiple agents in order to predict (obtain probabilities for) future events. A good prediction market incentivizes agents to reveal their information truthfully; such incentive…
Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation,…
Many complex adaptive systems contain a large diversity of specialized components. The specialization at the level of the microscopic degrees of freedom, and diversity at the level of the system as a whole are phenomena that appear during…
We introduce a simple extension of the minority game in which the market rewards contrarian (resp. trend-following) strategies when it is far from (resp. close to) efficiency. The model displays a smooth crossover from a regime where…