Minority Games: Interacting Agents in Financial Markets (Oxford Finance) [Hardcover]

Damien Challet (Author), Matteo Marsili (Author), Yi-Cheng Zhang (Author)

Book Description

ISBN-10: 0198566409 | ISBN-13: 978-0198566403 | Publication Date: January 27, 2005

The Minority Game is a physicist's attempt to explain market behavior 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. Then it reviews the main steps in later developments, including both the theory and its applications to market phenomena. This book gives a colorful and stylized, but also realistic picture of how financial markets operate.

Editorial Reviews

Review

"Physicist Challet, and one of his coauthors, Yi-Cheng Zhang, conceived of the Minority Game, a model problem explaining market behavior by the interaction between traders, in 1997. Here, they describe the philosophy behind the model, discuss the El Farol bar problem, and review the main steps in later developments, including both the theory and its applications to market phenomena.. In addition to a primary readership of physicists, the book is written to be accessible to economists and researchers and practitioners in financial markets."--Reference & Research Book News

About the Author

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. 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. 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.

Product Details

• Hardcover: 360 pages
• Publisher: Oxford University Press, USA (January 27, 2005)
• Language: English
• ISBN-10: 0198566409
• ISBN-13: 978-0198566403
• Product Dimensions: 9.4 x 6.7 x 0.9 inches
• Shipping Weight: 1.6 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #2,278,276 in Books (See Top 100 in Books)

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9 of 9 people found the following review helpful:

5.0 out of 5 stars Should I, or should I not..., March 16, 2005

By 

Professor Joseph L. McCauley "Joseph L. McCauley" (Austria+Texas) - See all my reviews

This review is from: Minority Games: Interacting Agents in Financial Markets (Oxford Finance) (Hardcover)

... go to the bar tonight?

Inspired by Brian Arthur's El Farol Bar Game, the minority Game provided the path for the entry of many statistical physicists into econophysics. Game theory, since the 1980's, has become a large part of economic theory, but is largely restricted to studies of Nash equilibria, which (by Nash's own design) is a neo-classical idea. Economic systems are instead complex, not amenable to any imaginable equilibrium analysis. As Per Bak said, equilibrium is a dead system, like a glass of water at rest. Challet, Marsili, and Zhang are three leading researchers in economics, and are the experts on the Minority Game.

This book begins with a very nice introduction to the main ideas and then includes a compilation of the main papers in the field by the Fribourg Group, who are leaders in the new and growing field of econophysics, and other main players. Physicists will enjoy seeing the tools of statistical mechanics in action in an economic setting, and economists will be encouraged to think outside their equilibrium straightjacket by studying the book. But the full range of topics is covered, Nash equilibria as well as cooperation. the compilation also includes some very nice contributions to finance theory and market efficiency.