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

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... 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.