The complex dynamics of economic interaction : essays in economics and econophysics



The complex dynamics of economic interaction : essays in economics and econophysics

Mauro Gallegati, Alan P. Kirman, Matteo Marsili (eds.)

(Lecture notes in economics and mathematical systems, 531)

Springer-Verlag, c2004

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"This volume contains a selection of contributions presented at the WEHIA02 (Workshop on Economies with Heterogeneous Interacting Agents), which was held at the Abdus Salam International Centre for Physics of Trieste, Italy, on May 29-31 ... 7th edition of a workshop ... 2002"--Pref

Includes bibliographical references



The economy is examined by the authors as a complex interactive system. The emphasis is on the direct interaction between agents rather than on the indirect and autonomous interaction through the market mechanism. Contributions from economists and physicists emphasise the consequences for aggregate behaviour of the interaction between agents with limited rationality. Models of financial markets which exhibit many of the stylised facts of empirical markets such as bubbles, herd behaviour and long memory are presented. This includes contributions on bargaining, buyer-seller relations, the evolution of economic networks and several aspects of macro-economic behaviour. This book will be of interest to all those interested in the foundations of collective social and economic behaviour and in particular, to those concerned with the dynamics of market behaviour and recent applications of physics to economics.


I Economics.- A New Model of Industry Dynamics.- Monetary Policy and the Distribution of Wealth in a OLG Economy with Heterogeneous Agents, Money and Bequests.- Limit Pricing and Entry Dynamics with Heterogeneous Firms.- Viability of Innovation Processes, Emergence and Stability of Market Structures.- Firms' Bankruptcy and Turnover in a Macroeconomy.- II Econophysics: empirical analysis.- Statistical Physics and Economic Fluctuations.- Modeling the Dynamics of a Financial Index after a Crash.- Price Impact Function of a Single Transaction.- Income Distribution and Stochastic Multiplicative Process with Reset Events.- III Market Models and Stylized Facts.- Volatility Clustring in Agent Based Market Model.- A Dynamical Analysis of Speculation across two Markets.- A Simple Micro-Model of Market Dynamics.- Herd Behavior in Artificial Stock Markets.- IV Models of Bounded Rationality.- Bargaining with Posterior Opportunities: an Evolutionary Social Simulation.- Herding Behavior of Financial Analysts: A Model of Self-organized Criticality.- Give-and-Take in Minority Games.- Coordination in Self-organization in Minority Games: Experimental Evidence.- V Societies of Interacting Agents.- Coordination of D ecisions in a Spatial Model of Brownian Agents.- Coalition Formation with Boundedly Rational Agents.- On the Creation of Networks and Knowledge.- Impact of Corporate Boards Interlock on the Decision Making Dynamics.- Interaction of Heterogeneous Agents in Stochastic Socio-Economic Systems.- Coordination of Decisions in a Spatial Model of Brownian Agents.

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