Statistical physics of adaptive correlation of agents in a market

Recent results and interpretations are presented for the thermal minority game, concentrating on deriving and justifying the fundamental stochastic differential equation for the microdynamics.Comment: Invited talk presented at the Conference: Disordered and Complex Systems, King's College London, July 200

Correlated adaptation of agents in a simple market: a statistical physics perspective

We discuss recent work in the study of a simple model for the collective behaviour of diverse speculative agents in an idealized stockmarket, considered from the perspective of the statistical physics of many-body systems. The only information about other agents available to any one is the total trade at time steps. Evidence is presented for correlated adaptation and phase transitions/crossovers in the global volatility of the system as a function of appropriate information scaling dimension. Stochastically controlled irrationally of individual agents is shown to be globally advantageous. We describe the derivation of the underlying effective stochastic differential equations which govern the dynamics, and make an interpretation of the results from the point of view of the statistical physics of disordered systems.Comment: 15 Pages. 5 figure

Possible Glassiness in a Periodic Long-Range Josephson Array

We present an analytic study of a periodic Josephson array with long-range interactions in a transverse magnetic field. We find that this system exhibits a first-order transition into a phase characterized by an extensive number of states separated by barriers that scale with the system size; the associated discontinuity is small in the limit of weak applied field, thus permitting an explicit analysis in this regime.Comment: 4 pages, 2 Postscript figures in a separate file

On the distribution of barriers in the spin glasses

We discuss a general formalism that allows study of transitions over barriers in spin glasses with long-range interactions that contain large but finite number, $N$, of spins. We apply this formalism to the Sherrington-Kirkpatrick model with finite $N$ and derive equations for the dynamical order parameters which allow ''instanton'' solutions describing transitions over the barriers separating metastable states. Specifically, we study these equations for a glass state that was obtained in a slow cooling process ending a little below $T_{c}$ and show that these equations allow ''instanton'' solutions which erase the response of the glass to the perturbations applied during the slow cooling process. The corresponding action of these solutions gives the energy of the barriers, we find that it scales as $\tau ^{6}$ where $\tau$ is the reduced temperature.Comment: 8 pages, LaTex, 2 Postscript figure

p>2 spin glasses with first order ferromagnetic transitions

We consider an infinite-range spherical p-spin glass model with an additional r-spin ferromagnetic interaction, both statically using a replica analysis and dynamically via a generating functional method. For r>2 we find that there are first order transitions to ferromagnetic phases. For r<p there are two ferromagnetic phases, one non-glassy replica symmetric and one exhibiting glassy one-step replica symmetry breaking and aging, whereas for r>=p only the replica symmetric phase exists.Comment: AMSLaTeX, 13 pages, 23 EPS figures ; one figure correcte

Multispin Ising spin glasses with ferromagnetic interactions

We consider the thermodynamics of an infinite-range Ising p-spin glass model with an additional r-spin ferromagnetic interaction. For r=2 there is a continuous transition to a ferromagnetic phase, while for r>2 the transition is first order. We find both glassy and non-glassy ferromagnetic phases, with replica symmetry breaking of both the one step and full varieties. We obtain new results for the case where r=p>2, demonstrating the existence of a non-glassy ferromagnetic phase, of significance to error-correcting codes.Comment: 16 pages, AMS LaTeX, 14 EPS figures; one minor correction to (42

One-step replica symmetry breaking solution of the quadrupolar glass model

We consider the quadrupolar glass model with infinite-range random interaction. Introducing a simple one-step replica symmetry breaking ansatz we investigate the para-glass continuous (discontinuous) transition which occurs below (above) a critical value of the quadrupole dimension m*. By using a mean-field approximation we study the stability of the one-step replica symmetry breaking solution and show that for m>m* there are two transitions. The thermodynamic transition is discontinuous but there is no latent heat. At a higher temperature we find the dynamical or glass transition temperature and the corresponding discontinuous jump of the order parameter.Comment: 10 pages, 3 figure

Phase Diagram and Storage Capacity of Sequence Processing Neural Networks

We solve the dynamics of Hopfield-type neural networks which store sequences of patterns, close to saturation. The asymmetry of the interaction matrix in such models leads to violation of detailed balance, ruling out an equilibrium statistical mechanical analysis. Using generating functional methods we derive exact closed equations for dynamical order parameters, viz. the sequence overlap and correlation- and response functions, in the thermodynamic limit. We calculate the time translation invariant solutions of these equations, describing stationary limit-cycles, which leads to a phase diagram. The effective retarded self-interaction usually appearing in symmetric models is here found to vanish, which causes a significantly enlarged storage capacity of $\alpha_c\sim 0.269$, compared to \alpha_\c\sim 0.139 for Hopfield networks storing static patterns. Our results are tested against extensive computer simulations and excellent agreement is found.Comment: 17 pages Latex2e, 2 postscript figure

Glassy behaviour in a simple topological model

In this article we study a simple, purely topological, cellular model which is allowed to evolve through a Glauber-Kawasaki process. We find a non-thermodynamic transition to a glassy phase in which the energy (defined as the square of the local cell topological charge) fails to reach the equilibrium value below a characteristic temperature which is dependent on the cooling rate. We investigate a correlation function which exhibits aging behaviour, and follows a master curve in the stationary regime when time is rescaled by a factor of the relaxation time t_r. This master curve can be fitted by a von Schweidler law in the late beta-relaxation regime. The relaxation times can be well-fitted at all temperatures by an offset Arrhenius law. A power law can be fitted to an intermediate temperature regime; the exponent of the power law and the von Schweidler law roughly agree with the relationship predicted by Mode-coupling Theory. By defining a suitable response function, we find that the fluctuation-dissipation ratio is held until sometime later than the appearance of the plateaux; non-monotonicity of the response is observed after this ratio is broken, a feature which has been observed in other models with dynamics involving activated processes.Comment: 11 pages LaTeX; minor textual corrcetions, minor corrections to figs 4 & 7