Econophysics review: II. Agent-based models

Abstract

This article is the second part of a review of recent empirical and theoretical developments usually grouped under the term Econophysics. In the first part, we have reviewed statistical properties of financial times series, statistics exhibited on order books and discussed some studies of correlations of assets. This second part deals with models in Econophysics through the point of view of agent-based modelling. Amongst a large number of multi-agent-based models, we have identified three representative areas. First, using previous work originally presented in the fields of behavioural finance and market microstructure theory, econophysicists have developed agent-based models of order-driven markets that are extensively presented here. Second, kinetic theory models designed to explain some empirical facts on wealth distribution are reviewed. Third, we briefly summarize game theory models by reviewing the now classic minority game and related problems.