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Matteo Marsili

Publications and source records attributed to Matteo Marsili.

125 records · Page 7Linked to original sources
arXiv2001

Replica symmetry breaking in the minority game

We extend and complete recent work concerning the analytic solution of the minority game. Nash equilibria (NE) of the game have been found to be related to the ground states of a disordered hamiltonian with replica symmetry breaking (RSB), signalling the presence of a large number of them. Here we study the number of NE both analytically and numerically. We then analyze the stability of the recently-obtained replica-symmetric (RS) solution and, in the region where it becomes unstable, derive the solution within one-step RSB approximation. We are finally able to draw a detailed phase diagram of the model.

cond-mat.dis-nn↗
arXiv2000

First order phase transition in a nonequilibrium growth process

We introduce a simple continuous model for nonequilibrium surface growth. The dynamics of the system is defined by the KPZ equation with a Morse-like potential representing a short range interaction between the surface and the substrate. The mean field solution displays a non trivial phase diagram with a first order transition between a growing and a bound surface, associated with a region of coexisting phases, and a tricritical point where the transition becomes second order. Numerical simulations in 3 dimensions show quantitative agreement with mean field results, and the features of the phase space are preserved even in 2 dimensions.

cond-mat.stat-mech↗
arXiv2000

Relevance of memory in Minority Games

By considering diffusion on De Bruijn graphs, we study in details the dynamics of the histories in the Minority Game, a model of competition between adaptative agents. Such graphs describe the structure of temporal evolution of $M$ bits strings, each node standing for a given string, i.e. a history in the Minority Game. We show that the frequency of visit of each history is not given by $1/2^M$ in the limit of large $M$ when the transition probabilities are biased. Consequently all quantities of the model do significantly depend on whether the histories are real, or uniformly and randomly sampled. We expose a self-consistent theory of the case of real histories, which turns out to be in very good agreement with numerical simulations.

cond-mat.stat-mech↗
arXiv2000

Nonequilibrium phase transition in a model for social influence

We present extensive numerical simulations of the Axelrod's model for social influence, aimed at understanding the formation of cultural domains. This is a nonequilibrium model with short range interactions and a remarkably rich dynamical behavior. We study the phase diagram of the model and uncover a nonequilibrium phase transition separating an ordered (culturally polarized) phase from a disordered (culturally fragmented) one. The nature of the phase transition can be continuous or discontinuous depending on the model parameters. At the transition, the size of cultural regions is power-law distributed.

cond-mat.stat-mech↗
arXiv1999

Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact

We discuss a model of heterogeneous, inductive rational agents inspired by the El Farol Bar problem and the Minority Game. As in markets, agents interact through a collective aggregate variable -- which plays a role similar to price -- whose value is fixed by all of them. Agents follow a simple reinforcement-learning dynamics where the reinforcement, for each of their available strategies, is related to the payoff delivered by that strategy. We derive the exact solution of the model in the ``thermodynamic'' limit of infinitely many agents using tools of statistical physics of disordered systems. Our results show that the impact of agents on the market price plays a key role: even though price has a weak dependence on the behavior of each individual agent, the collective behavior crucially depends on whether agents account for such dependence or not. Remarkably, if the adaptive behavior of agents accounts even ``infinitesimally'' for this dependence they can, in a whole range of parameters, reduce global fluctuations by a finite amount. Both global efficiency and individual utility improve with respect to a ``price taker'' behavior if agents account for their market impact.

cond-mat.stat-mech↗
arXiv1999

Modeling Market Mechanism with Minority Game

Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow : producers feed in the information whereas speculators make it away. How well each agent fares in the common game depends on the market conditions, as well as their sophistication. Sometimes there is much to gain with little effort, sometimes great effort virtually brings no more incremental gain. Market impact is shown to play also an important role, a strategy should be judged when it is actually used in play for its quality. Though the Minority Game is an extremely simplified market model, it allows to ask, analyze and answer many questions which arise in real markets.

cond-mat.stat-mech↗
arXiv1999

Phase Transition and Symmetry Breaking in the Minority Game

We show that the Minority Game, a model of interacting heterogeneous agents, can be described as a spin systems and it displays a phase transition between a symmetric phase and a symmetry broken phase where the games outcome is predicable. As a result a ``spontaneous magnetization'' arises in the spin formalism.

cond-mat.stat-mech↗
arXiv1998

Critical exponents of the anisotropic Bak-Sneppen model

We analyze the behavior of spatially anisotropic Bak-Sneppen model. We demonstrate that a nontrivial relation between critical exponents tau and mu=d/D, recently derived for the isotropic Bak-Sneppen model, holds for its anisotropic version as well. For one-dimensional anisotropic Bak-Sneppen model we derive a novel exact equation for the distribution of avalanche spatial sizes, and extract the value gamma=2 for one of the critical exponents of the model. Other critical exponents are then determined from previously known exponent relations. Our results are in excellent agreement with Monte Carlo simulations of the model as well as with direct numerical integration of the new equation.

cond-mat.stat-mech↗
arXiv1998

Self Organization of Interacting Polya Urns

We introduce a simple model which shows non-trivial self organized critical properties. The model describes a system of interacting units, modelled by Polya urns, subject to perturbations and which occasionally break down. Three equivalent formulations - stochastic, quenched and deterministic - are shown to reproduce the same dynamics. Among the novel features of the model are a non-homogeneous stationary state, the presence of a non-stationary critical phase and non-trivial exponents even in mean field. We discuss simple interpretations in term of biological evolution and earthquake dynamics and we report on extensive numerical simulations in dimensions $d=1,2$ as well as in the random neighbors limit.

cond-mat.stat-mech↗
arXiv1998

Stochastic Dynamics in Game Theory

We introduce a simple stochastic dynamics for game theory. It assumes ``local'' rationality in the sense that any player climbs the gradient of his utility function in the presence of a stochastic force which represents deviation from rationality in the form of a ``heat bath''. We focus on particular games of a large number of players with a global interaction which is typical of economic systems. The stable states of this dynamics coincide with the Nash equilibria of game theory. We study the gaussian fluctuations around these equilibria and establish that fluctuations around competitive equilibria increase with the number of players. In other words, competitive equilibria are characterized by very broad and uneven distributions among players. We also develop a small noise expansion which allows to compute a ``free energy'' functional. In particular we discuss the problem of equilibrium selection when more than one equilibrium state is present.

cond-mat.stat-mech↗
arXiv1998

Interacting Individuals Leading to Zipf's Law

We present a general approach to explain the Zipf's law of city distribution. If the simplest interaction (pairwise) is assumed, individuals tend to form cities in agreement with the well-known statistics

cond-mat.stat-mech↗
arXiv1998

Dynamical Optimization Theory of a Diversified Portfolio

We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random walk with identical drift and dispersion. The rules of our model naturally give rise to power law tails in the distribution of capital fractions invested in different stocks. The exponent of this scale free distribution is calculated in both discrete and continuous time formalism. It is demonstrated that the dynamical redistribution strategy results in a larger typical growth rate of the capital than a static ``buy-and-hold'' strategy. In the large N limit the typical growth rate is shown to asymptotically approach that of the expectation value of the stock price. The finite dimensional variant of the model is shown to describe the partition function of directed polymers in random media.

cond-mat.stat-mech↗
arXiv1997

Expansion Around the Mean-Field Solution of the Bak-Sneppen Model

We study a recently proposed equation for the avalanche distribution in the Bak-Sneppen model. We demonstrate that this equation indirectly relates $τ$,the exponent for the power law distribution of avalanche sizes, to $D$, the fractal dimension of an avalanche cluster.We compute this relation numerically and approximate it analytically up to the second order of expansion around the mean field exponents. Our results are consistent with Monte Carlo simulations of Bak-Sneppen model in one and two dimensions.

cond-mat.stat-mech↗
arXiv1996

Diffusion in disordered media as a process with memory

The problem of a random walk in a disordered media is mapped into a model of a random walk with memory. The latter model, as opposed to the former one, does not make reference to a particular realization of the disorder. The equivalence of the two models implies that the new model retrieves dynamically a realization of disorder; the only one which is consistent with its dynamics. In this new approach to the dynamics in disordered media, effects of memory, aging and the peculiar localization properties of the random walker, appear quite natural.

cond-mat↗
arXiv1995

On high dimensional directed polymer in random media

Directed polymers in random media are studied using results of the asymptotic theory of extreme statistics. Despite the strong correlation, one can recover the behavior of independent random variables for high dimensions, using a result which requires only a control of pairwise correlation, and focussing on ensembles of low energy directed polymers.

cond-mat↗
arXiv1994

Memory and Self Organization

The main result of this letter is that SOC naturally arises as a result of memory effects. We show that memory effects provide the mechanism for self organization. A general procedure to investigate this issue in models that display self organized critical behaviour is proposed and applied to some example. The simplest class of models exhibiting self organized criticality through this mechanism is introduced and discussed in some detail. PACS: 02.50-r, 05.40+j, 05.40jk

cond-mat↗