Papers in the econophysics/microscopic realm provide a highly stylized view of markets which can often lead to some very interesting analytical results. This line of research may eventually point to some of the important links among many multiagent situations.

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References

[1]

J. P. Bouchaud and R. Cont. A Langevin approach to stock market fluctuations and crashes. The European Physical Journal B, 6:543-550, 1998.

[2]

C. Bubhaus and H. Rieger. A prognosis oriented microscopic stock market model. Physica A, 267:443-452, 1999.

[3]

G. Caldarelli, M. Marsili, and Y.-C. Zhang. A prototype model of stock exchange. Europhysics Letters, 40(5):479-484, 1997.

[4]

I. Chang and D. Stauffer. Fundamental judgement in cont-bouchaud herding model of market fluctuations. Physica A, 264:294-298, 1999.

[5]

R. Cont. Modeling economic randomness: Statistical mechanics of market phenomena. In M. T. Batchelor and L. T. Wille, editors, Statistical physics in the eve of the 21st Century: the James B McGuire festschrift, Singapore, 1999. World Scientific.

[6]

R. Cont and J. P. Bouchaud. Herd behavior and aggregate fluctuations in financial markets. Macroeconomic Dynamics, 4, 2000.

[7]

E. Egenter, T. Lux, and D. Stauffer. Finite-size effects in monte-carlo simulations of two stock market models. Physica A, 268:250-256, 1999.

[8]

M. Levy, H. Levy, and S. Solomon. A microscopic model of the stock market: cycles, booms, and crashes. Economics Letters, 45:103-111, 1994.

[9]

T. Lux and M. Marchesi. Scaling and criticality in a stochastic mult-agent model of a financial market. Nature, 397:493-500, 1999.