Minority games

Interacting agents in financial markets

Damien Challet, Matteo Marsili, Yi-Cheng Zhang - Collection Oxford Finance

344 pages, parution le 04/11/2004

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Résumé

The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. It then reviews the main steps in later developments, including both the theory and its applications to market phenomena. Minority Games gives a colourful and stylized, but also realistic picture of how financial markets operate.

L'auteur - Damien Challet

Damien Challet graduated as a physicist at the Swiss Institute of Technology, Lausanne, and obtained his Ph.D at Fribourg University under the supervision of Prof Yi-Cheng Zhang. He then spent three years as a postdoctoral fellow in Theoretical Physics at Oxford and is now Nomura Junior Research Fellow in Financial Mathematics, Oxford, jointly with Wadham College. He was given the Young European Scientist Award in Socio- and Econophysics in 2002.

L'auteur - Matteo Marsili

Matteo Marsili graduated in physics at La Sapienza in Rome. Then he moved to Trieste, obtaining his Ph.D. at SISSA in 1994. Having been a researcher at the Istituto Nazionale per la Fisica della Materia in Trieste, he is now Research Scientist at the Abus Salam International Centre for Theoretical Physics.

L'auteur - Yi-Cheng Zhang

Yi-Cheng Zhang obtained his Ph.D on particle physics in 1984 under Giorgio Parisi in Rome and then completed a two-year postdoctoral stint at Brookhaven National Lab USA (1984-1986). He was a senior researcher at Istituto Nazionale Fisica Nucleare (1986-1991). Since 1992, he has been Professor of Theoretical Physics at Fribourg University in Switzerland.

Sommaire

Introduction
Early works
- Understanding the Minority Game dynamics
- Minority Games as market models
- Quest for better cooperation
- Appendix A: List of selected publications
- Appendix B: Source code
Reprinted papers
Bibliography
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Oxford University Press
Auteur(s)	Damien Challet, Matteo Marsili, Yi-Cheng Zhang
Collection	Oxford Finance
Parution	04/11/2004
Nb. de pages	344
Format	17 x 24,5
Couverture	Relié
Poids	725g
Intérieur	Noir et Blanc
EAN13	9780198566403
ISBN13	978-0-19-856640-3