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21世紀COEセミナー「Statistical mechanics of agent-based systems: learning dynamics and complex co-operative behaviour in Minority Games」

日時 平成18年(2006年)11月21日(火)15:00〜
場所 大阪大学サイバーメディアセンター・豊中教育研究棟7階 大会議室
講師 Tobias Galla 氏(The Abdus Salam International Centre for Theoretical Physics, Trieste, Italy)
題目 Statistical mechanics of agent-based systems: learning dynamics
and complex co-operative behaviour in Minority Games
概要 Over the past years the analysis of socio-economically inspired agent-based models with the methods of statistical physics has turned out to be extremely fruitful and interesting: the Minority Game (MG) and related models can be solved exactly with the techniques of disordered systems and neural networks theory, and on the other hand they exhibit non-trivial off-equilibrium dynamics, novel types of complexity, and co-operative behaviour.
In this talk I will first introduce the MG, and will then describe how the macroscopic behaviour and phase diagrams of agent-based models can be obtained with methods such as dynamical generating functionals and replica theory. Characteristic observables including the volatility and predictability of the resulting time-series can here be computed exactly.
We will compare the phenomenology of the MG with that of models of spin-glass physics, and will discuss similarities as well as differences.
In the last part of the talk I will address the question, whether simple stylised models such as the Minority Game can reproduce the statistical features of the time-series generated by real financial markets.

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