Active Brownian Particles. From Individual to Collective Stochastic Dynamics

We review theoretical models of individual motility as well as collective dynamics and pattern formation of active particles. We focus on simple models of active dynamics with a particular emphasis on nonlinear and stochastic dynamics of such self-propelled entities in the framework of statistical mechanics. Examples of such active units in complex physico-chemical and biological systems are chemically powered nano-rods, localized patterns in reaction-diffusion system, motile cells or macroscopic animals. Based on the description of individual motion of point-like active particles by stochastic differential equations, we discuss different velocity-dependent friction functions, the impact of various types of fluctuations and calculate characteristic observables such as stationary velocity distributions or diffusion coefficients. Finally, we consider not only the free and confined individual active dynamics but also different types of interaction between active particles. The resulting collective dynamical behavior of large assemblies and aggregates of active units is discussed and an overview over some recent results on spatiotemporal pattern formation in such systems is given.Comment: 161 pages, Review, Eur Phys J Special-Topics, accepte

Fraudulent agents in an artificial financial market

The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics. Recently, interesting conclusions were drawn thanks to a computer-simulated market where agents had different pieces of information about the future dividend cash flow of exchanged securities. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM), the more specific problem of fraudulent behaviour in a financial market is studied. A simplified model of fraudulent behaviour is implemented and the action of fraudulent agents on the statistical properties of simulated prices and the agent wealth distribution is investigated

Excess Returns, Inflation and the Efficiency of the Housing Market

This paper examines the influence that unexpected inflation has on the reported time pattern in housing returns. Two alternative models of expected inflation are used to study its effect: a rational expectations model and an adaptive expectations model. Findings indicate that both estimates of unexpected inflation are positively correlated with excess returns to housing. If inflation expectations are assumed to have been adaptive during the 1970s and early 1980s, serial correlation in the excess returns is shown to be greatly diminished when adjusted to control for unexpected inflation. However, substantial inertia in the pattern of the adjusted return series remains. Copyright American Real Estate and Urban Economics Association.

FROM RATIONALITY TO BOUNDED RATIONALITY *

We investigate the role of bounded rationality in asset pricing and information efficiency. We show that the market stays between the weak-form efficiency and the semi-strong-form efficiency in a market with a single asymmetric information and without noise supply. We show the existence of an overall equilibrium in which the publicly available information can be priced and is 'almost free', and the majority of the agents choose to stay uninformed. We show the existence of a Nash competitive equilibrium in an information game. Copyright Blackwell Publishing Ltd/University of Adelaide and Flinders University 2005..