Statistical Properties Of Complex Resource Allocation Systems

As a new discipline, econophysics sets its mission as to resurvey the imperfectly solved economic problems with the world outlook and methodology of physics. Physicists’interest about economics is originated from their curiosity about complex systems. Actually, most of the social, economic, and biological systems involving a large number of interacting agents can be regarded as complex adaptive systems (CASs). An agent in a CAS makes his/her decision depending on both others’ decisions and the condition of the environment they live in. Usually, CASs have not only many global macroscopic statistical properties, but also many interesting microscopic dynamical mechanisms. So far, in econophysics, there are basically three kinds of methods to study the complex system constituted by human beings:statistical analysis on huge economic data, agent-based modeling, and controlled experiments. Although these research methods are very different from traditional economic methods, they are powerful and hopeful to help us to better understand economic systems.In this thesis, we mainly investigate some statistical properties of Chinese stock markets, and the mechanism about the invisible hand behind resource allocation systems, based on which we establish a model, named market-directed resource allocation game (MDRAG). The whole thesis is arranged in a time order of our researches on econophysics. And all of the three methods mentioned above have been used in our researches.Chapter1, as the introduction of this thesis, briefly answers three questions:what econophysics is, why the economy needs physics, and how we should do researches in this area.In Chapter2, we introduce our work done earlier than MDRAG. First, we review the model and phase structure of the minority game (MG), a representative one of agent-based models. Then, after learning others’research experiences in western mature markets, we investigate the statistical properties of the indices’ return of Chinese stock market for a bull market and a bear market. At last, we try to use original MG model to mimic stock market and check whether the price return series could demonstrate stylized facts.Chapter3introduces MDRAG in detail. In this work, we focus on the resource allocation problem. First, we design and conduct a series of behavioral economic experiments and demonstrate the existence of the "invisible hand". Next, based on MG, we establish a model called MDRAG (market-directed resource allocation game). The new model can explain what we find in our experiments. In the meantime, through a large number of the MDRAG simulations, we are able to put forward a possible mechanism for the "invisible hand". Furthermore, the sufficient conditions under which the "invisible hand" could fully play its role are found as the following. First and most importantly, participants of the resource allocation market must have heterogeneous preferences as well as the adaptivity to the changing environment. Second, the decision making capacities of the participants must match the complexity of the environment. A more interesting discovery is related to a number of phase transitions identified in the MDRAG simulations. Around the critical region of these phase transitions, the directing power of the "invisible hand" can be released completely, which could lead to an efficient, stable and unpredictable market.In Chapter4, we briefly introduce our work after MDRAG, such as the research on herd behavior.At last, in Charpter5, we review the development of econophysics and the experiences gained in our researches. Also, we give some expectations about future work based on this thesis.