相关论文: Crash Avoidance in a Complex System

In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the…

We partially modify the rules of the Minority Game (MG) by introducing some degree of local information in the game, which is only available for some agents, called the interacting agents. Our work shows that, for small values of the new…

We examine the feasibility of predicting and subsequently managing the future evolution of a Complex Adaptive System. Our archetypal system mimics a competitive population of mechanical, biological, informational or human objects. We show…

In a casino where arbitrarily small bets are admissible, any betting strategy M can be modified into a savings strategy that, not only is successful on each casino sequence where M is (thus accumulating unbounded wealth inside the casino)…

We show that a simple evolutionary scheme, when applied to the minority game (MG), changes the phase structure of the game. In this scheme each agent evolves individually whenever his wealth reaches the specified bankruptcy level, in…

We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or…

Will a large economy be stable? Building on Robert May's original argument for large ecosystems, we conjecture that evolutionary and behavioural forces conspire to drive the economy towards marginal stability. We study networks of firms in…

Generalization of the minority game to more than one market is considered. At each time step every agent chooses one of its strategies and acts on the market related to this strategy. If the payoff function allows for strong fluctuation of…

The Minority Game is a simple model for the collective behavior of agents in an idealized situation where they have to compete through adaptation for a finite resource. This review summarizes the statistical mechanics community efforts to…

The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…

The Minority Game is a simple yet highly non-trivial agent-based model for a complex adaptive system. Despite its importance, a quantitative explanation of the game's fluctuations which applies over the entire parameter range of interest…

Complex evolving systems such as the biosphere, ecosystems and societies exhibit sudden collapses, for reasons that are only partially understood. Here we study this phenomenon using a mathematical model of a system that evolves under…

We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple,…

Finite size fluctuations are a crucial ingredient in kinetic theory of long-range interacting collisionless systems. In this Letter, we introduce a phenomenological theory which predicts an anomalous scaling close to marginal stability for…

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…

Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…

We address the important practical issue of understanding, predicting and eventually controlling catastrophic endogenous changes in a collective. Such large internal changes arise as macroscopic manifestations of the microscopic dynamics,…

The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a…

Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly…

We show analytically how the fluctuations (i.e. standard deviation) in the Minority Game (MG) can be made to decrease below the random coin-toss limit if the agents use more general behavioral strategies. This suppression of the standard…