Financial crises and the evaporation of trust (2009)
Anand, Kartik, Gai, Prasanna, Marsili, Matteo
Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a...
Eroding market stability by proliferation of financial instruments (2009)
Caccioli, Fabio, Marsili, Matteo, Vivo, Pierpaolo
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The...
A minimal model for congestion phenomena on complex networks (2009)
De Martino, Daniele, Dall'Asta, Luca, Bianconi, Ginestra, Marsili, Matteo
We study a minimal model of traffic flows in complex networks, simple enough to get analytical results, but with a very rich phenomenology, presenting continuous, discontinuous as well as hybrid...
A minimal model for congestion phenomena on complex networks (2009)
De Martino, Daniele, Dall'Asta, Luca, Bianconi, Ginestra, Marsili, Matteo
We study a minimal model of traffic flows in complex networks, simple enough to get analytical results, but with a very rich phenomenology, presenting continuous, discontinuous as well as hybrid...
Spiraling toward market completeness and financial instability (2009)
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that,...
Economic interactions and the distribution of wealth (2009)
Fiaschi, Davide, Marsili, Matteo
This paper analyzes the equilibrium distribution of wealth in an economy where firms' productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets,...
Congestion phenomena on complex networks (2009)
De Martino, Daniele, Dall'Asta, Luca, Bianconi, Ginestra, Marsili, Matteo
We define a minimal model of traffic flows in complex networks in order to study the trade-off between topological-based and traffic-based routing strategies. The resulting collective behavior is...
How relevant are features for network structure? (2008)
Bianconi, Ginestra, Pin, Paolo, Marsili, Matteo
Networks describe a variety of interacting complex systems in social science, biology and information technology. Usually the nodes of real networks are not only identified by their connections but...
On the role of volatility in the evolution of social networks (2008)
De Martino, Daniele, Marsili, Matteo
We study how the volatility, node- or link-based, affects the evolution of social networks in simple models. The model describes the competition between order -- promoted by the efforts of agents to...
Ising model with memory: coarsening and persistence properties (2008)
Caccioli, Fabio, Franz, Silvio, Marsili, Matteo
We consider the coarsening properties of a kinetic Ising model with a memory field. The probability of a spin-flip depends on the persistence time of the spin in a state. The more a spin has been in...
Congestion phenomena on complex networks (2008)
De Martino, Daniele, Dall'Asta, Luca, Bianconi, Ginestra, Marsili, Matteo
We define a minimal model of traffic flows in complex networks containing the most relevant features of real routing schemes, i.e. a trade--off strategy between topological-based and traffic-based...
On the role of volatility in the evolution of social networks (2008)
De Martino, Daniele, Marsili, Matteo
We study how the volatility, node- or link-based, affects the evolution of social networks in simple models. The model describes the competition between order -- promoted by the efforts of agents to...
Opportunity and Choice in Social Networks (2008)
Pin, Paolo, Franz, Silvio, Marsili, Matteo
Our societies are heterogeneous in many dimensions such as census, education, religion, ethnic and cultural composition. The links between individuals - e.g. by friendship, marriage or collaboration...
Opportunity and Choice in Social Networks (2008)
Pin, Paolo, Franz, Silvio, Marsili, Matteo
Our societies are heterogeneous in many dimensions such as census, education, religion, ethnic and cultural composition. The links between individuals - e.g. by friendship, marriage or collaboration...
Opportunity and Choice in Social Networks (2008)
Pin, Paolo, Franz, Silvio, Marsili, Matteo
Our societies are heterogeneous in many dimensions such as census, education, religion, ethnic and cultural composition. The links between individuals - e.g. by friendship, marriage or collaboration...
Opportunity and Choice in Social Networks (2008)
Pin, Paolo, Franz, Silvio, Marsili, Matteo
Our societies are heterogeneous in many dimensions such as census, education, religion, ethnic and cultural composition. The links between individuals - e.g. by friendship, marriage or collaboration...
Collaborate, compete and share (2008)
Pugliese, Emanuele, Castellano, Claudio, Marsili, Matteo, Pietronero, Luciano
We introduce and study a model of an interacting population of agents who collaborate in groups which compete for limited resources. Groups are formed by random matching agents and their worth is...
Ising model with memory: coarsening and persistence properties (2008)
Caccioli, Fabio, Franz, Silvio, Marsili, Matteo
We consider the coarsening properties of a kinetic Ising model with a memory field. The probability of a spin-flip depends on the persistence time of the spin in a state. The more a spin has been in...
Dynamical instabilities in a simple minority game with discounting (2008)
Challet, Damien, De Martino, Andrea, Marsili, Matteo
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or...
Dynamical instabilities in a simple minority game with discounting (2008)
Challet, Damien, De Martino, Andrea, Marsili, Matteo
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or...
Dynamical instabilities in a simple minority game with discounting (2008)
Challet, Damien, De Martino, Andrea, Marsili, Matteo
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or...
Networks Emerging in a Volatile World (2008)
EHRHARDT, Gorge, MARSILI, Matteo, VEGA-REDONDO, Fernando
The paper proposes a model to study the conditions under which complex networks emerge (or not) when agents are involved in a dynamic coordination setup. The focus, however, is not on the classical...
Peer Effects and Peer Avoidance: Epidemic Diffusion in Coevolving Networks (2008)
FOSCO, Constanza, MARSILI, Matteo, VEGA-REDONDO, Fernando
We study the long-run-emergency of behavioral patterns in dynamic complex networks. Individuals display two kinds of behavior: G("good") or B ("bad"). We assume that agents have an innate tendency...
Self Organization of Interacting Pólya Urns (2007)
Matteo Marsili, Angelo Valleriani
. 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...
Matteo Marsili, Michele Vendruscolo
A new model for cluster growth is introduced. The model is built with a long time memory which is similar to the one found in cluster growth in disordered media. The model, as a function of its...
Scuola Internazionale Superiore, Superiore Di, Studi Avanzati, Andrea De, Martino Dr, Matteo Marsili
lica-symmetry breaking transition completely analogous to that occurring in spin-glasses. However, the dynamical scenario in the non-ergodic regime turns out to be quite dierent from the usual. In...
Scale-free networks with an exponent less than two (2007)
Seyed-allaei, Hamed, Bianconi, Ginestra, Marsili, Matteo
We study scale free simple graphs with an exponent of the degree distribution $\gamma$ less than two. Generically one expects such extremely skewed networks -- which occur very frequently in systems...
Statistical physics of the Schelling model of segregation (2007)
Dall'Asta, Luca, Castellano, Claudio, Marsili, Matteo
We investigate the static and dynamic properties of a celebrated model of social segregation, providing a complete explanation of the mechanisms leading to segregation both in one- and...
Borghesi, Christian, Marsili, Matteo, Miccichè, Salvatore
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze...
Statistical mechanics of socio-economic systems with heterogeneous agents (2006)
De Martino, Andrea, Marsili, Matteo
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is...
Number of cliques in random scale-free network ensembles (2006)
Bianconi, Ginestra, Marsili, Matteo
In this paper we calculate the average number of cliques in random scale-free networks. We consider first the hidden variable ensemble and subsequently the Molloy Reed ensemble. In both cases we find...
Statistical mechanics of combinatorial auctions (2006)
Galla, Tobias, Leone, Michele, Marsili, Matteo, Sellitto, Mauro, Weigt, Martin, Zecchina, Riccardo
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...
Phenomenological Models of Socio-Economic Network Dynamics (2006)
Marsili, Matteo, Vega-Redondo, Fernando
We study a general set of models of social network evolution and dynamics. The models consist of both a dynamics on the network and evolution of the network. Links are formed preferentially between...
Codon Usage Domains over Bacterial Chromosomes (2006)
Marc Bailly-Bechet, Antoine Danchin, Mudassar Iqbal, Matteo Marsili, Massimo Vergassola
The geography of codon bias distributions over prokaryotic genomes and its impact upon chromosomal organization are analyzed. To this aim, we introduce a clustering method based on information...
Multi-asset minority games (2006)
Bianconi, Ginestra, De Martino, Andrea, Ferreira, Fernando F., Marsili, Matteo
We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the...
Effects of Tobin Taxes in Minority Game markets (2006)
Bianconi, Ginestra, Galla, Tobias, Marsili, Matteo
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...
Phase coexistence in a forecasting game (2006)
Curty, Philippe, Marsili, Matteo
Individual choices are either based on personal experience or on information provided by peers. The latter case causes individuals to conform to the majority in their neighbourhood. Such herding...
Effect of degree correlations on the loop structure of scale-free networks (2005)
Bianconi, Ginestra, Marsili, Matteo
In this paper we study the impact of degree correlations in the subgraphs statistics of scale-free networks. In particular we consider loops: a simple case of network subgraphs which encode the...
Emergence of large cliques in random scale-free network (2005)
Bianconi, Ginestra, Marsili, Matteo
In a network cliques are fully connected subgraphs that reveal which are the tight communities present in it. Cliques of size c>3 are present in random Erdos and Renyi graphs only in the limit of...
Dynamic instability in a phenomenological model of correlated assets (2005)
Raffaelli, Giacomo, Marsili, Matteo
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of...
Critical threshold and dynamics of a general rumor model on complex networks (2005)
Nekovee, Maziar, Moreno, Yamir, Bianconi, Ginestra, Marsili, Matteo
We derive mean-field equations that describe the dynamics of a general model of rumor spreading on complex networks, and use analytical and numerical solutions of these equations to examine the...
De Martino, Andrea, Marsili, Matteo
We calculate the optimal solutions of the fully heterogeneous Von Neumann expansion problem with $N$ processes and $P$ goods in the limit $N\to\infty$. This model provides an elementary description...
Phase coexistence in a forecasting game (2005)
Curty, Philippe, Marsili, Matteo
Individual choices are either based on personal experience or on information provided by peers. The latter case, causes individuals to conform to the majority in their neighborhood. Such herding...
Scale-free networks with an exponent less than two (2005)
Seyed-allaei, Hamed, Bianconi, Ginestra, Marsili, Matteo
We study scale free simple graphs with an exponent of the degree distribution $\gamma$ less than two. Generically one expects such extremely skewed networks -- which occur very frequently in systems...
On the rise and fall of networked societies (2005)
Marsili, Matteo, Vega-Redondo, Fernando
We review recent results on the dynamics of social networks which suggest that the interplay between the network formation process and volatility may lead to the occurrence of discontinuous phase...
Emergence and resilience of social networks: a general theoretical framework (2005)
Marsili, Matteo, Vega-Redondo, Fernando
We introduce and study a general model of social network formation and evolution based on the concept of preferential link formation between similar nodes and increased similarity between connected...
De Martino, Andrea, Marsili, Matteo
We discuss the stationary states of a model economy in which $N$ heterogeneous adaptive consumers purchase commodity bundles repeatedly from $P$ sellers. The system undergoes a transition from an...
Loops of any size and Hamilton cycles in random scale-free networks (2005)
Bianconi, Ginestra, Marsili, Matteo
Loops are subgraphs responsible for the multiplicity of paths going from one to another generic node in a given network. In this paper we present an analytic approach for the evaluation of the...
Minority games with finite score memory (2004)
Challet, Damien, De Martino, Andrea, Marsili, Matteo, Castillo, Isaac Perez
We analyze grand-canonical minority games with infinite and finite score memory and different updating timescales (from `on-line' games to `batch' games) in detail with various complementary methods,...
A statistical mechanics model for the emergence of consensus (2004)
Raffaelli, Giacomo, Marsili, Matteo
The statistical properties of pairwise majority voting over S alternatives is analyzed in an infinite random population. We first compute the probability that the majority is transitive (i.e. that if...
Stylized facts in minority games with memory: a new challenge (2004)
Challet, Damien, Marsili, Matteo, De Martino, Andrea
A finite memory is introduced in the score dynamics of Minority Games. As expected, this removes the dependence of the stationary state on the initial conditions. However, it also causes an...
Self-organized critical network dynamics (2003)
Bianconi, Ginestra, Marsili, Matteo
We propose a simple model that aims at describing, in a stylized manner, how local breakdowns due unbalances or congestion propagate in real dynamical networks. The model converges to a...
The Rise and Fall of a Networked Society (2003)
Marsili, Matteo, Vega-Redondo, Fernando, Slanina, Frantisek
We propose a simple model of the evolution of a social network which involves local search and volatility (random decay of links). The model captures the crucial role the network plays for...
Shedding light on El Farol (2003)
Challet, Damien, Marsili, Matteo, Ottino, Gabriele
We mathematize El Farol bar problem and transform it into a workable model. In general, the average convergence to optimality at the collective level is trivial and does not even require any...
Criticality and finite size effects in a simple realistic model of stock market (2002)
Challet, Damien, Marsili, Matteo
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic...
Dissecting financial markets: Sectors and states (2002)
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution...
Algorithms of maximum likelihood data clustering with applications (2002)
Giada, Lorenzo, Marsili, Matteo
We address the problem of data clustering by introducing an unsupervised, parameter free approach based on maximum likelihood principle. Starting from the observation that data sets belonging to the...
Marsili, Matteo, Piai, Maurizio
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase...
Diffusion, peer pressure and tailed distributions (2002)
Cecconi, Fabio, Marsili, Matteo, Banavar, Jayanth R., Maritan, Amos
We present a general, physically motivated non-linear and non-local advection equation in which the diffusion of interacting random walkers competes with a local drift arising from a kind of peer...
Diffusion, peer pressure, and tailed distributions (2002)
Cecconi, Fabio, Marsili, Matteo, Banavar, Jayanth R., Maritan, Amos
We present a general, physically motivated non-linear and non-local advection equation in which the diffusion of interacting random walkers competes with a local drift arising from a kind of peer...
NATO Advanced Research Workshop on Application of Physics in Economic Modelling (2001)
Bouchard, Jean-Phillipe, Marsili, Matteo, Roehner, Bertrand M, Slanina, Frantisek
Statistical mechanics of asset markets with private information (2001)
Berg, Johannes, Marsili, Matteo, Rustichini, Aldo, Zecchina, Riccardo
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of...
Stylized facts of financial markets and market crashes in Minority Games (2001)
Challet, Damien, Marsili, Matteo, Zhang, Yi-Cheng
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if...
Data clustering and noise undressing for correlation matrices (2001)
Giada, Lorenzo, Marsili, Matteo
We discuss a new approach to data clustering. We find that maximum likelihood leads naturally to an Hamiltonian of Potts variables which depends on the correlation matrix and whose low temperature...
Replica symmetry breaking in the minority game (2001)
De Martino, Andrea, Marsili, Matteo
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...
Data clustering and noise undressing of correlation matrices (2001)
Giada, Lorenzo, Marsili, Matteo
We discuss a new approach to data clustering. We find that maximum likelihood leads naturally to an Hamiltonian of Potts variables which depends on the correlation matrix and whose low temperature...
Abstract. Simple models of nancial markets with heterogeneous adaptive agents have been recently investigated using tools of statistical mechanics of disordered systems. We review and discuss the...
Replica symmetry breaking in the minority game (2000)
De Martino, Andrea, Marsili, Matteo
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...
First order phase transition in a nonequilibrium growth process (2000)
Giada, Lorenzo, Marsili, Matteo
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...
Relevance of memory in Minority Games (2000)
Challet, Damien, Marsili, Matteo
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...
Nonequilibrium phase transition in a model for social influence (2000)
Castellano, Claudio, Marsili, Matteo, Vespignani, Alessandro
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...
First-order phase transition in a nonequilibrium growth process (2000)
Giada, Lorenzo, Marsili, Matteo
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...
Modeling Market Mechanism with Minority Game (1999)
Challet, Damien, Marsili, Matteo, Zhang, Yi-Cheng
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...
Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact (1999)
Marsili, Matteo, Challet, Damien, Zecchina, Riccardo
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 --...
Phase Transition and Symmetry Breaking in the Minority Game (1999)
Challet, Damien, Marsili, Matteo
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...
Non-perturbative renormalization group approach to surface growth (1999)
Munoz, Miguel Angel, Bianconi, Ginestra, Castellano, Claudio, Gabrielli, Andrea, Marsili, Matteo, Pietronero, Luciano
We present a recently introduced real space renormalization group (RG) approach to the study of surface growth. The method permits us to obtain the properties of the KPZ strong coupling fixed point,...
Critical exponents of the anisotropic Bak-Sneppen model (1998)
Maslov, Sergei, Rios, Paolo De Los, Marsili, Matteo, Zhang, Yi-Cheng
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...
Self Organization of Interacting Polya Urns (1998)
Marsili, Matteo, Valleriani, Angelo
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...
Stochastic Dynamics in Game Theory (1998)
Marsili, Matteo, Zhang, Yi-Cheng
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...
Interacting Individuals Leading to Zipf's Law (1998)
Marsili, Matteo, Zhang, Yi-Cheng
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...
Comment on: Role of Intermittency in Urban Development: A Model of Large-Scale City Formation (1998)
Marsili, Matteo, Maslov, Sergei, Zhang, Yi-Cheng
Comment to D.H. Zanette and S.C. Manrubia, Phys. Rev. Lett. 79, 523 (1997).
Dynamical Optimization Theory of a Diversified Portfolio (1998)
Marsili, Matteo, Maslov, Sergei, Zhang, Yi-Cheng
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...
Expansion Around the Mean-Field Solution of the Bak-Sneppen Model (1997)
Marsili, Matteo, Rios, Paolo De Los, Maslov, Sergei
We study a recently proposed equation for the avalanche distribution in the Bak-Sneppen model. We demonstrate that this equation indirectly relates $\tau$,the exponent for the power law distribution...
Scaling Behavior in the Stable Marriage Problem (1997)
Oméro, Marie-José, Dzierzawa, Michael, Marsili, Matteo, Zhang, Yi-Cheng
We study the optimization of the stable marriage problem. All individuals attempt to optimize their own satisfaction, subject to mutually conflicting constraints. We find that the stable solutions...
Scaling Behavior in the Stable Marriage Problem (1997)
Oméro, Marie-José, Dzierzawa, Michael, Marsili, Matteo, Zhang, Yi-Cheng
We study the optimization of the stable marriage problem. All individuals attempt to optimize their own satisfaction, subject to mutually conflicting constraints. We find that the stable solutions...
Scaling Behavior in the Stable Marriage Problem (1997)
Oméro, Marie-José, Dzierzawa, Michael, Marsili, Matteo, Zhang, Yi-Cheng
We study the optimization of the stable marriage problem. All individuals attempt to optimize their own satisfaction, subject to mutually conflicting constraints. We find that the stable solutions...
Diffusion in disordered media as a process with memory (1996)
Vendruscolo, Michele, Marsili, Matteo
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...
Stochastic growth equations and reparametrization invariance (1996)
Marsili, Matteo, Maritan, Amos, Toigo, Flavio, Banavar, Jayanth R.
It is shown that, by imposing reparametrization invariance, one may derive a variety of stochastic equations describing the dynamics of surface growth and identify the physical processes responsible...
On high dimensional directed polymer in random media (1995)
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...
Memory and Self Organization (1994)
Marsili, Matteo, Caldarelli, Guido
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...
Pair description of the fractional quantum Hall effect with application to edge waves (1993)
Pairs of particles of definite total and relative angular momentum provide a natural description for a two dimensional electron gas in a strong magnetic field. Two body operators take a simple form...
The rise and fall of a networked society: A formal model
Marsili, Matteo, Vega-Redondo, Fernando, Slanina, František
In a well networked community, there is intense social interaction, and information disseminates briskly and broadly. This is important if the environment is volatile (i.e., keeps changing) and...
Species lifetime distribution for simple models of ecologies
Pigolotti, Simone, Flammini, Alessandro, Marsili, Matteo, Maritan, Amos
Interpretation of empirical results based on a taxa's lifetime distribution shows apparently conflicting results. Species' lifetime is reported to be exponentially distributed, whereas higher-order...
Codon Usage Domains over Bacterial Chromosomes
Bailly-Bechet, Marc, Danchin, Antoine, Iqbal, Mudassar, Marsili, Matteo, Vergassola, Massimo
The geography of codon bias distributions over prokaryotic genomes and its impact upon chromosomal organization are analyzed. To this aim, we introduce a clustering method based on information...
Distribution of Wealth: Theoretical Microfoundations and Empirical Evidence
Davide Fiaschi, Matteo Marsili
This paper studies the dynamics of wealth distribution in an economy where dynasties with different wealth have constant marginal saving rates, firms’ productivities are subject to idiosyncratic...
Clustering, Cooperation, and Search in Social Networks
Fernando Vega-Redondo, Matteo Marsili, Frantisek Slanina
The paper discusses the important role of clustering in the evolution of social networks, as it affects not only the incentives of players to cooperate but also their ability to search for fresh...
The rise and fall of a networked society: A formal model
Marsili, Matteo, Vega-Redondo, Fernando, Slanina, František
In a well networked community, there is intense social interaction, and information disseminates briskly and broadly. This is important if the environment is volatile (i.e., keeps changing) and...
Species lifetime distribution for simple models of ecologies
Pigolotti, Simone, Flammini, Alessandro, Marsili, Matteo, Maritan, Amos
Interpretation of empirical results based on a taxa's lifetime distribution shows apparently conflicting results. Species' lifetime is reported to be exponentially distributed, whereas higher-order...
Codon Usage Domains over Bacterial Chromosomes
Bailly-Bechet, Marc, Danchin, Antoine, Iqbal, Mudassar, Marsili, Matteo, Vergassola, Massimo
The geography of codon bias distributions over prokaryotic genomes and its impact upon chromosomal organization are analyzed. To this aim, we introduce a clustering method based on information...
Agents' heterogeneity, arising from asymmetric information, heterogeneous beliefs, endowments or constraints, calls for theoretical approaches to economic systems that go beyond the so-called...
TYPICAL PROPERTIES OF LARGE RANDOM ECONOMIES WITH LINEAR ACTIVITIES
DE MARTINO, ANDREA, MARSILI, MATTEO, CASTILLO, ISAAC PEREZ
We study the competitive equilibrium of large random economies with linear activities using methods of statistical mechanics. We focus on economies with C commodities, N firms, each running a...
Networks Emerging in a Volatile World
George Ehrhardt, Matteo Marsili, Fernando Vega-Redondo
The paper proposes a model to study the conditions under which complex networks emerge (or not) when agents are involved in a dynamic coordination setup. The focus, however, is not on the classical...
Damien Challet, Matteo Marsili, Gabriele Ottino
We mathematize El Farol bar problem and transform it into a workable model. We find general conditions under which the convergence of the average attendance to the resource level is trivial and does...
Opportunity and Choice in Social Networks
Paolo Pin, Silvio Franz, Matteo Marsili
Our societies are heterogeneous in many dimensions such as census, education, religion, ethnic and cultural composition. The links between individuals - e.g. by friendship, marriage or collaboration...
TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS
MATTEO MARSILI, DAMIEN CHALLET
We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises...
Peer Effects and Peer Avoidance: Epidemic Diffusion in Coevolving Networks
Constanza Fosco, Matteo Marsili, Fernando Vega-Redondo
We study the long-run-emergency of behavioral patterns in dynamic complex networks. Individuals display two kinds of behavior: G("good") or B ("bad"). We assume that agents have an innate tendency...
Diffusion and growth in an evolving network
George Ehrhardt, Matteo Marsili, Fernando Vega-Redondo
Network formation, Diffusion, Transition, Hysteresis, Growth, Social norms, D83, D85, O33,
Emergence and resilience of social networks: a general theoretical framework
Georges Erhardt, Matteo Marsili, Fernando Vega-Redondo
The paper first introduces a general dynamic setup that embodies abstract formulations of the forces homophily (i.e. the idea that networking favored by similarity in behavior) and conformity (i.e....
Minority games with finite score memory
Isaac Castillo, Matteo Marsili, Andrea De Martino, Damin Challet
Identifying essential genes in Escherichia coli from a metabolic optimization principle
Martelli, Carlotta, De Martino, Andrea, Marinari, Enzo, Marsili, Matteo, Pérez Castillo, Isaac
Understanding the organization of reaction fluxes in cellular metabolism from the stoichiometry and the topology of the underlying biochemical network is a central issue in systems biology. In this...
Assessing the relevance of node features for network structure
Bianconi, Ginestra, Pin, Paolo, Marsili, Matteo
Networks describe a variety of interacting complex systems in social science, biology, and information technology. Usually the nodes of real networks are identified not only by their connections but...
Spiraling toward market completeness and financial instability
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that,...
Typical properties of optimal growth in the Von Neumann expanding model for large random economies
Andrea De Martino, Matteo Marsili
We calculate the optimal solutions of the fully heterogeneous Von Neumann expansion problem with $N$ processes and $P$ goods in the limit $N\to\infty$. This model provides an elementary description...
Effects of Tobin Taxes in Minority Game markets
Ginestra Bianconi, Tobias Galla, Matteo Marsili
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...
Statistical mechanics of asset markets with private information
Johannes Berg, Matteo Marsili, Aldo Rustichini, Riccardo Zecchina
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of...
Andrea De Martino, Matteo Marsili
We discuss the stationary states of a model economy in which $N$ heterogeneous adaptive consumers purchase commodity bundles repeatedly from $P$ sellers. The system undergoes a transition from an...
Statistical mechanics of combinatorial auctions
Tobias Galla, Michele Leone, Matteo Marsili, Mauro Sellitto, Martin Weigt, Riccardo Zecchina
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...
Christian Borghesi, Matteo Marsili, Salvatore Miccich\`e
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze...
Ginestra Bianconi, Andrea De Martino, Fernando F. Ferreira, Matteo Marsili
We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the...
Dynamical Optimization Theory of a Diversified Portfolio
Matteo Marsili, Sergei Maslov, Yi-Cheng Zhang
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...
Phase coexistence in a forecasting game
Philippe Curty, Matteo Marsili
Individual choices are either based on personal experience or on information provided by peers. The latter case, causes individuals to conform to the majority in their neighborhood. Such herding...
Modeling Market Mechanism with Minority Game
Damien Challet, Matteo Marsili, Yi-Cheng Zhang
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...
Stylized facts of financial markets and market crashes in Minority Games
Damien Challet, Matteo Marsili, Yi-Cheng Zhang
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if...
Dissecting financial markets: Sectors and states
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution...
Economic interactions and the distribution of wealth
Davide Fiaschi, Matteo Marsili
This paper analyzes the equilibrium distribution of wealth in an economy where firms' productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets,...
Dynamic instability in a phenomenological model of correlated assets
Giacomo Raffaelli, Matteo Marsili
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of...
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase...
Criticality and finite size effects in a simple realistic model of stock market
Damien Challet, Matteo Marsili
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic...
Effects of Tobin taxes in minority game markets
Bianconi, Ginestra, Galla, Tobias, Marsili, Matteo, Pin, Paolo
We show that the introduction of Tobin taxes in agent-based models of currency markets can lead to a reduction of both speculative trading and the magnitude of exchange rate fluctuations at...
Dynamic instability in generic model of multi-assets markets
Marsili, Matteo, Raffaelli, Giacomo, Ponsot, Benedicte
We introduce a generic model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This captures the fact that financial correlation...
Nobuyuki Hanaki, Alan Kirman, Matteo Marsili
This paper suggests that people can learn to behave in a way which makes them unlucky or lucky. Learning from experience will lead them to make choices which may lead to "luckier" outcomes than...
Eroding market stability by proliferation of financial instruments
Fabio Caccioli, Matteo Marsili, Pierpaolo Vivo
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The...
Financial crises and the evaporation of trust
Kartik Anand, Prasanna Gai, Matteo Marsili
Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a...