Dynamical Probability Distribution Function of the SK Model at High Temperatures

The microscopic probability distribution function of the Sherrington-Kirkpatrick (SK) model of spin glasses is calculated explicitly as a function of time by a high-temperature expansion. The resulting formula to the third order of the inverse temperature shows that an assumption made by Coolen, Laughton and Sherrington in their recent theory of dynamics is violated. Deviations of their theory from exact results are estimated quantitatively. Our formula also yields explicit expressions of the time dependence of various macroscopic physical quantities when the temperature is suddenly changed within the high-temperature region.Comment: LaTeX, 6 pages, Figures upon request (here revised), To be published in J. Phys. Soc. Jpn. 65 (1996) No.

Market response to external events and interventions in spherical minority games

We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or political events that impact on the market. In contrast to non-spherical MGs, the spherical formulation allows one to derive closed dynamical order parameter equations in explicit form and work out the market's response to such events fully analytically. We focus on a comparison between the response to stationary versus oscillating market interventions, and reveal profound and partially unexpected differences in terms of transition lines and the volatility.Comment: 14 pages LaTeX, 5 (composite) postscript figures, submitted to Journal of Physics

Non-equilibrium statistical mechanics of Minority Games

In this paper I give a brief introduction to a family of simple but non-trivial models designed to increase our understanding of collective processes in markets, the so-called Minority Games, and their non-equilibrium statistical mathematical analysis. Since the most commonly studied members of this family define disordered stochastic processes without detailed balance, the canonical technique for finding exact solutions is found to be generating functional analysis a la De Dominicis, as originally developed in the spin-glass community.Comment: 14 pages, short review for Cergy 2002 conference proceeding

Replica methods for loopy sparse random graphs

I report on the development of a novel statistical mechanical formalism for the analysis of random graphs with many short loops, and processes on such graphs. The graphs are defined via maximum entropy ensembles, in which both the degrees (via hard constraints) and the adjacency matrix spectrum (via a soft constraint) are prescribed. The sum over graphs can be done analytically, using a replica formalism with complex replica dimensions. All known results for tree-like graphs are recovered in a suitable limit. For loopy graphs, the emerging theory has an appealing and intuitive structure, suggests how message passing algorithms should be adapted, and what is the structure of theories describing spin systems on loopy architectures. However, the formalism is still largely untested, and may require further adjustment and refinement.Comment: 11 pages, no figures. To be published in Proceedings of The International Meeting on High-Dimensional Data-Driven Science (HD3-2015), Kyoto, Japan, on 14-17 December, 201

Statistical Mechanics of Recurrent Neural Networks I. Statics

A lecture notes style review of the equilibrium statistical mechanics of recurrent neural networks with discrete and continuous neurons (e.g. Ising, coupled-oscillators). To be published in the Handbook of Biological Physics (North-Holland). Accompanied by a similar review (part II) dealing with the dynamics.Comment: 49 pages, LaTe

Order-Parameter Flow in the SK Spin-Glass II: Inclusion of Microscopic Memory Effects

We develop further a recent dynamical replica theory to describe the dynamics of the Sherrington-Kirkpatrick spin-glass in terms of closed evolution equations for macroscopic order parameters. We show how microscopic memory effects can be included in the formalism through the introduction of a dynamic order parameter function: the joint spin-field distribution. The resulting formalism describes very accurately the relaxation phenomena observed in numerical simulations, including the typical overall slowing down of the flow that was missed by the previous simple two-parameter theory. The advanced dynamical replica theory is either exact or a very good approximation.Comment: same as original, but this one is TeXabl

Theory of agent-based market models with controlled levels of greed and anxiety

We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading, and their vigor in each, depends on the overall state of the market. Even in `fake history' models, the theory now involves an effective overall bid process (coupled to the effective agent process) which can exhibit profound remanence effects and new phase transitions. For some models the bid process can be solved directly, others require Maxwell-construction type approximations.Comment: 30 pages, 10 figure