arXiv subjects

Tobias Galla

Publications and source records attributed to Tobias Galla.

At least 127 records · Page 7Linked to original sources

arXiv2008

Algebraic coarsening in voter models with intermediate states

The introduction of intermediate states in the dynamics of the voter model modifies the ordering process and restores an effective surface tension. The logarithmic coarsening of the conventional voter model in two dimensions is eliminated in favour of an algebraic decay of the density of interfaces with time, compatible with Model A dynamics at low temperatures. This phenomenon is addressed by deriving Langevin equations for the dynamics of appropriately defined continuous fields. These equations are analyzed using field theoretical arguments and by means of a recently proposed numerical technique for the integration of stochastic equations with multiplicative noise. We find good agreement with lattice simulations of the microscopic model.

cond-mat.stat-mech↗

arXiv2008

How limit cycles and quasi-cycles are related in systems with intrinsic noise

Fluctuations and noise may alter the behavior of dynamical systems considerably. For example, oscillations may be sustained by demographic fluctuations in biological systems where a stable fixed point is found in the absence of noise. We here extend the theoretical analysis of such stochastic effects to models which have a limit cycle for some range of the model parameters. We formulate a description of fluctuations about the periodic orbit which allows the relation between the stochastic oscillations in the fixed point phase and the oscillations in the limit cycle phase to be elucidated. In the case of the limit cycle, a suitable transformation into a co-moving frame allow fluctuations transverse and longitudinal with respect to the limit cycle to be effectively decoupled. While longitudinal fluctuations are of a diffusive nature, those in the transverse direction follow a stochastic path more akin to an Ornstein-Uhlenbeck process. Their power spectrum is computed analytically within a van Kampen expansion in the inverse system size. This is carried out in two different ways, and the subsequent comparison with numerical simulations illustrates the effects that can occur due to diffusion in the longitudinal direction.

nlin.AO↗

arXiv2007

On the transition to efficiency in Minority Games

The existence of a phase transition with diverging susceptibility in batch Minority Games (MGs) is the mark of informationally efficient regimes and is linked to the specifics of the agents' learning rules. Here we study how the standard scenario is affected in a mixed population game in which agents with the `optimal' learning rule (i.e. the one leading to efficiency) coexist with ones whose adaptive dynamics is sub-optimal. Our generic finding is that any non-vanishing intensive fraction of optimal agents guarantees the existence of an efficient phase. Specifically, we calculate the dependence of the critical point on the fraction $q$ of `optimal' agents focusing our analysis on three cases: MGs with market impact correction, grand-canonical MGs and MGs with heterogeneous comfort levels.

physics.soc-ph↗

arXiv2007

Relative population size, co-operation pressure and strategy correlation in two-population evolutionary dynamics

We study the coupled dynamics of two populations of random replicators by means of statistical mechanics methods, and focus on the effects of relative population size, strategy correlations and heterogeneities in the respective co-operation pressures. To this end we generalise existing path-integral approaches to replicator systems with random asymmetric couplings. This technique allows one to formulate an effective dynamical theory, which is exact in the thermodynamic limit and which can be solve for persistent order parameters in a fixed-point regime regardless of the symmetry of the interactions. The onset of instability can be determined self-consistently. We calculate quantities such as the diversity of the respective populations and their fitnesses in the stationary state, and compare results with data from a numerical integration of the replicator equations

q-bio.PE↗

arXiv2007

Statistical mechanics and stability of a model eco-system

We study a model ecosystem by means of dynamical techniques from disordered systems theory. The model describes a set of species subject to competitive interactions through a background of resources, which they feed upon. Additionally direct competitive or co-operative interaction between species may occur through a random coupling matrix. We compute the order parameters of the system in a fixed point regime, and identify the onset of instability and compute the phase diagram. We focus on the effects of variability of resources, direct interaction between species, co-operation pressure and dilution on the stability and the diversity of the ecosystem. It is shown that resources can be exploited optimally only in absence of co-operation pressure or direct interaction between species.

q-bio.PE↗

arXiv2007

Effects of noise and confidence thresholds in nominal and metric Axelrod dynamics of social influence

We study the effects of bounded confidence thresholds and of interaction and external noise on Axelrod's model of social influence. Our study is based on a combination of numerical simulations and an integration of the mean-field Master equation describing the system in the thermodynamic limit. We find that interaction thresholds affect the system only quantitatively, but that they do not alter the basic phase structure. The known crossover between an ordered and a disordered state in finite systems subject to external noise persists in models with general confidence threshold. Interaction noise here facilitates the dynamics and reduces relaxation times. We also study Axelrod systems with metric features, and point out similarities and differences compared to models with nominal features. Metric features are used to demonstrate that a small group of extremists can have a significant impact on the opinion dynamics of a population of Axelrod agents.

physics.soc-ph↗

arXiv2006

Statistical mechanics of combinatorial auctions

Combinatorial auctions are formulated as frustrated lattice gases on sparse random graphs, allowing the determination of the optimal revenue by methods of statistical physics. Transitions between computationally easy and hard regimes are found and interpreted in terms of the geometric structure of the space of solutions. We introduce an iterative algorithm to solve intermediate and large instances, and discuss competing states of optimal revenue and maximal number of satisfied bidders. The algorithm can be generalized to the hard phase and to more sophisticated auction protocols.

cond-mat.stat-mech↗

arXiv2006

Two-population replicator dynamics and number of Nash equilibria in random matrix games

We study the connection between the evolutionary replicator dynamics and the number of Nash equilibria in large random bi-matrix games. Using techniques of disordered systems theory we compute the statistical properties of both, the fixed points of the dynamics and the Nash equilibria. Except for the special case of zero-sum games one finds a transition as a function of the so-called co-operation pressure between a phase in which there is a unique stable fixed point of the dynamics coinciding with a unique Nash equilibrium, and an unstable phase in which there are exponentially many Nash equilibria with statistical properties different from the stationary state of the replicator equations. Our analytical results are confirmed by numerical simulations of the replicator dynamics, and by explicit enumeration of Nash equilibria.

q-bio.PE↗

arXiv2006

Anomalous fluctuations in Minority Games and related multi-agent models of financial markets

We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are currently used to model financial markets. One of the most prominent examples is here the Minority Game (MG), which we address in some more detail. After a brief discussion of its basic setup and general phenomenology we summarise the main findings of the statistical mechanics analysis and discuss the emergence of stylised facts in extensions of the MG near their phase transitions between efficient and predictable regimes. We then turn towards more realistic variants which comprise heterogeneous populations of agents, with different memory capabilities, different inclinations to trade and varying expectations on the future evolution of the market. Finally we give a short outlook on potential future work in this area.

physics.soc-ph↗

arXiv2006

Adapting to heterogeneous comfort levels

We study the learning dynamics of agents who adapt to heterogeneous comfort levels in the context of an El-Farol type game, and show that even an infinitesimal degree of heterogeneity in the resource levels leads to a significant reduction of the fluctuations of the collective action, and removes the phase transition observed in models with homogeneous comfort level. Our analysis is based on dynamical methods of disordered systems theory, in particular on a generating functional approach, and confirmed by numerical experiments. We also report on simulations of a system in which the comfort levels fluctuate in time, and point out crucial differences between models in which the comfort levels of the agents fluctuate collectively and individually respectively. Finally we comment on a possible characterisation of El-Farol and Minority Games according to the presence or absence of ergodicity-breaking phase transitions at infinite integrated response.

physics.soc-ph↗

arXiv2006

Effects of Tobin Taxes in Minority Game markets

We show that the introduction of Tobin taxes in agent-based models of currency markets can lead to a reduction of speculative trading and reduce the magnitude of exchange rate fluctuations at intermediate tax rates. In this regime revenues for the market maker obtained from speculators are maximal. We here focus on Minority Game models of markets, which are accessible by exact techniques from statistical mechanics. Results are supported by computer simulations. Our findings suggest that at finite systems sizes the effect is most pronounced in a critical region around the phase transition of the infinite system, but much weaker if the market is operating far from criticality and does not exhibit anomalous fluctuations.

cond-mat.dis-nn↗

arXiv2006

Random replicators with asymmetric couplings

Systems of interacting random replicators are studied using generating functional techniques. While replica analyses of such models are limited to systems with symmetric couplings, dynamical approaches as presented here allow specifically to address cases with asymmetric interactions where there is no Lyapunov function governing the dynamics. We here focus on replicator models with Gaussian couplings of general symmetry between p>=2 species, and discuss how an effective description of the dynamics can be derived in terms of a single-species process. Upon making a fixed point ansatz persistent order parameters in the ergodic stationary states can be extracted from this process, and different types of phase transitions can be identified and related to each other. We discuss the effects of asymmetry in the couplings on the order parameters and the phase behaviour for p=2 and p=3. Numerical simulations verify our theory. For the case of cubic interactions numerical experiments indicate regimes in which only a finite number of species survives, even when the thermodynamic limit is considered.

cond-mat.dis-nn↗

arXiv2005

Dynamics of random replicators with Hebbian interactions

A system of replicators with Hebbian random couplings is studied using dynamical methods. The self-reproducing species are here characterized by a set of binary traits and interact based on complementarity. In the case of an extensive number of traits we use path-integral techniques to demonstrate how the coupled dynamics of the system can be formulated in terms of an effective single-species process in the thermodynamic limit, and how persistent order parameters characterizing the stationary states may be computed from this process in agreement with existing replica studies of the statics. Numerical simulations confirm these results. The analysis of the dynamics allows an interpretation of two different types of phase transitions of the model in terms of memory onset at finite and diverging integrated response, respectively. We extend the analysis to the case of diluted couplings of an arbitrary symmetry, where replica theory is not applicable. Finally the dynamics and in particular the approach to the stationary state of the model with a finite number of traits is addressed.

cond-mat.dis-nn↗

arXiv2005

Stationary states of a spherical Minority Game with ergodicity breaking

Using generating functional and replica techniques, respectively, we study the dynamics and statics of a spherical Minority Game (MG), which in contrast with a spherical MG previously presented in J.Phys A: Math. Gen. 36 11159 (2003) displays a phase with broken ergodicity and dependence of the macroscopic stationary state on initial conditions. The model thus bears more similarity with the original MG. Still, all order parameters including the volatility can computed in the ergodic phases without making any approximations. We also study the effects of market impact correction on the phase diagram. Finally we discuss a continuous-time version of the model as well as the differences between on-line and batch update rules. Our analytical results are confirmed convincingly by comparison with numerical simulations. In an appendix we extend the analysis of the earlier spherical MG to a model with general time-step, and compare the dynamics and statics of the two spherical models.

cond-mat.dis-nn↗

arXiv2005

Dynamics of adaptive agents with asymmetric information

We apply path-integral techniques to study the dynamics of agent-based models with asymmetric information structures. In particular, we devise a batch version of a model proposed originally by Berg et al. [Quant. Fin. 1 (2001) 203], and convert the coupled multi-agent processes into an effective-agent problem from which the dynamical order parameters in ergodic regimes can be derived self-consistently together with the corresponding phase structure. Our dynamical study complements and extends the available static theory. Results are confirmed by numerical simulations.

cond-mat.dis-nn↗

arXiv2005

Strategy correlations and timing of adaptation in Minority Games

We study the role of strategy correlations and timing of adaptation for the dynamics of Minority Games, both simulationally and analytically. Using the exact generating functional approach a la De Dominicis we compute the phase diagram and the behaviour of batch and on-line games with correlated strategies, complementing exisiting replica studies of their statics. It is shown that the timing of adaptation can be relevant; while conventional games with uncorrelated strategies are nearly insensitive to the choice of on-line versus batch learning, we find qualitative differences when anti-correlations are present in the strategy assignments. The available standard approximations for the volatility in terms of persistent order parameters in the stationary ergodic states become unreliable in batch games under such circumstances. We then comment on the role of oscillations and the relation to the breakdown of ergodicity. Finally, it is discussed how the generating functional formalism can be used to study mixed populations of so-called `producers' and `speculators' in the context of the batch minority games.

cond-mat.dis-nn↗

arXiv2005

Statistical Mechanics of Dilute Batch Minority Games with Random External Information

We study the dynamics and statics of a dilute batch minority game with random external information. We focus on the case in which the number of connections per agent is infinite in the thermodynamic limit. The dynamical scenario of ergodicity breaking in this model is different from the phase transition in the standard minority game and is characterised by the onset of long-term memory at finite integrated response. We demonstrate that finite memory appears at the AT-line obtained from the corresponding replica calculation, and compare the behaviour of the dilute model with the minority game with market impact correction, which is known to exhibit similar features.

cond-mat.dis-nn↗

arXiv2004

Price return auto-correlation and predictability in agent-based models of financial markets

We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use minority games to illustrate that a vanishing price return auto-correlation function does not necessarily imply market efficiency. On the contrary, we stress the difference between correlations measured conditionally and unconditionally on external patterns.

cond-mat.stat-mech↗