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Details about J. Doyne Farmer

E-mail:
Homepage:http://www.doynefarmer.com
Postal address:Institute for New Economic Thinking Eagle House Walton St. Oxford OX2 6ED
Workplace:Economics, Oxford Martin School, Oxford University, (more information at EDIRC)

Access statistics for papers by J. Doyne Farmer.

Last updated 2019-01-18. Update your information in the RePEc Author Service.

Short-id: pfa201


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Working Papers

2018

  1. Best reply structure and equilibrium convergence in generic games
    Papers, arXiv.org Downloads View citations (1)
  2. How production networks amplify economic growth
    Papers, arXiv.org Downloads View citations (3)
  3. Interpreting Economic Complexity
    Papers, arXiv.org Downloads View citations (3)
  4. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
    Papers, arXiv.org Downloads View citations (4)

2017

  1. Discounting the distant future: What do historical bond prices imply about the long term discount rate?
    LABORatorio R. Revelli Working Papers Series, LABORatorio R. Revelli, Centre for Employment Studies Downloads
  2. How well do experience curves predict technological progress? A method for making distributional forecasts
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Technological Forecasting and Social Change (2018)
  3. Models of Financial Stability and their Application in Stress Tests
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads

2016

  1. Macroprudential policy in an agent-based model of the UK housing market
    Bank of England working papers, Bank of England Downloads View citations (18)
  2. Taming the Basel leverage cycle
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (13)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads
    Papers, arXiv.org (2015) Downloads

    See also Journal Article in Journal of Financial Stability (2016)
  3. The prevalence of chaotic dynamics in games with many players
    Papers, arXiv.org Downloads

2015

  1. How predictable is technological progress?
    Papers, arXiv.org Downloads View citations (9)
    See also Journal Article in Research Policy (2016)
  2. The Intrafirm Complexity of Systemically Important Financial Institutions
    Papers, arXiv.org Downloads View citations (3)

2014

  1. Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
    Papers, arXiv.org Downloads View citations (3)
  2. Discounting the Distant Future
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  3. Leverage-induced systemic risk under Basle II and other credit risk policies
    Papers, arXiv.org Downloads View citations (36)
    See also Journal Article in Journal of Banking & Finance (2014)
  4. The dynamics of the leverage cycle
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2015)
  5. To bail-out or to bail-in? Answers from an agent-based model
    Papers, arXiv.org Downloads
  6. Why is order flow so persistent?
    Papers, arXiv.org Downloads View citations (2)

2013

  1. How efficiency shapes market impact
    Papers, arXiv.org Downloads View citations (34)
    See also Journal Article in Quantitative Finance (2013)
  2. How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network
    Papers, arXiv.org Downloads View citations (4)
  3. Uncertain growth and the value of the future
    Papers, arXiv.org Downloads

2012

  1. A proposal for impact-adjusted valuation: Critical leverage and execution risk
    Papers, arXiv.org Downloads View citations (3)
  2. Getting at Systemic Risk via an Agent-Based Model of the Housing Market
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (64)
    See also Journal Article in American Economic Review (2012)
  3. How does the market react to your order flow?
    Papers, arXiv.org Downloads View citations (11)
    See also Journal Article in Quantitative Finance (2012)
  4. Stability analysis of financial contagion due to overlapping portfolios
    Papers, arXiv.org Downloads View citations (12)
    See also Journal Article in Journal of Banking & Finance (2014)
  5. Statistical Basis for Predicting Technological Progress
    Papers, arXiv.org Downloads

2011

  1. Heterogeneity, correlations and financial contagion
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Advances in Complex Systems (ACS) (2012)
  2. Leverage Causes Fat Tails and Clustered Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) Downloads View citations (12)
    Papers, arXiv.org (2010) Downloads View citations (8)

    See also Journal Article in Quantitative Finance (2012)
  3. Segmentation algorithm for non-stationary compound Poisson processes
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2010)

2010

  1. An empirical study of the tails of mutual fund size
    Papers, arXiv.org Downloads View citations (2)
  2. Tick size and price diffusion
    Papers, arXiv.org Downloads View citations (3)
  3. What drives mutual fund asset concentration?
    Papers, arXiv.org Downloads View citations (1)

2009

  1. Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
    Also in Levine's Working Paper Archive, David K. Levine (2009) Downloads View citations (7)
  2. Market impact and trading profile of large trading orders in stock markets
    Papers, arXiv.org Downloads View citations (51)
  3. Studies of the limit order book around large price changes
    Papers, arXiv.org Downloads View citations (9)
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2009)
  4. The Reality Game
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2009)

2008

  1. How markets slowly digest changes in supply and demand
    Papers, arXiv.org Downloads View citations (39)
  2. The Virtues and Vices of Equilibrium and the Future of Financial Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (11)
    Also in Papers, arXiv.org (2008) Downloads View citations (8)
    Levine's Working Paper Archive, David K. Levine (2008) Downloads View citations (8)
  3. The non-random walk of stock prices: The long-term correlation between signs and sizes
    Papers, arXiv.org Downloads View citations (9)
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2008)

2007

  1. An empirical behavioral model of liquidity and volatility
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)
  2. Correlations and clustering in the trading of members of the London Stock Exchange
    Papers, arXiv.org Downloads View citations (8)

2006

  1. Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
    Papers, arXiv.org Downloads View citations (24)
    See also Journal Article in Quantitative Finance (2006)
  2. Mechanical vs. informational components of price impact
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2007)

2005

  1. A theory for long-memory in supply and demand
    Papers, arXiv.org Downloads View citations (29)
  2. An empirical behavioral model of price formation
    Papers, arXiv.org Downloads View citations (6)
  3. Economics: the next physical science?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  4. There's more to volatility than volume
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article in Quantitative Finance (2006)

2004

  1. On the origin of power law tails in price fluctuations
    Papers, arXiv.org Downloads View citations (38)
  2. The Predictive Power of Zero Intelligence in Financial Markets
    Papers, arXiv.org Downloads View citations (97)
  3. The long memory of the efficient market
    Papers, arXiv.org Downloads View citations (87)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2004)
  4. What really causes large price changes?
    Papers, arXiv.org Downloads View citations (98)
    See also Journal Article in Quantitative Finance (2004)

2002

  1. A quantitative model of trading and price formation in financial markets
    Papers, arXiv.org Downloads
  2. Demand Storage, Market Liquidity, and Price Volatility
    Working Papers, Santa Fe Institute
  3. Optimal Design, Robustness, and Risk Aversion
    Working Papers, Santa Fe Institute View citations (2)
  4. Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
    Papers, arXiv.org Downloads View citations (7)
  5. Statistical theory of the continuous double auction
    Papers, arXiv.org Downloads View citations (20)
    See also Journal Article in Quantitative Finance (2003)

2001

  1. Chaos in Learning a Simple Two Person Game
    Working Papers, Santa Fe Institute View citations (6)
  2. Market making, price formation, and technical trading
    Computing in Economics and Finance 2001, Society for Computational Economics

2000

  1. The Price Dynamics of Common Trading Strategies
    Working Papers, Santa Fe Institute View citations (26)
    Also in Papers, arXiv.org (2000) Downloads View citations (8)

    See also Journal Article in Journal of Economic Behavior & Organization (2002)

1999

  1. Frontiers of Finance: Evolution and Efficient Markets
    Working Papers, Santa Fe Institute View citations (40)
  2. Market Force, Ecology, and Evolution
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (6)
    Also in Research in Economics, Santa Fe Institute (1998) Downloads View citations (28)

    See also Journal Article in Industrial and Corporate Change (2002)
  3. Physicists Attempt to Scale the Ivory Towers of Finance
    Working Papers, Santa Fe Institute View citations (39)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2000)

Journal Articles

2018

  1. How well do experience curves predict technological progress? A method for making distributional forecasts
    Technological Forecasting and Social Change, 2018, 128, (C), 104-117 Downloads View citations (4)
    See also Working Paper (2017)

2016

  1. How predictable is technological progress?
    Research Policy, 2016, 45, (3), 647-665 Downloads View citations (36)
    See also Working Paper (2015)
  2. Taming the Basel leverage cycle
    Journal of Financial Stability, 2016, 27, (C), 263-277 Downloads View citations (13)
    See also Working Paper (2016)

2015

  1. A Third Wave in the Economics of Climate Change
    Environmental & Resource Economics, 2015, 62, (2), 329-357 Downloads View citations (46)
  2. Overlapping portfolios, contagion, and financial stability
    Journal of Economic Dynamics and Control, 2015, 51, (C), 50-63 Downloads View citations (48)
  3. The dynamics of the leverage cycle
    Journal of Economic Dynamics and Control, 2015, 50, (C), 155-179 Downloads View citations (22)
    See also Working Paper (2014)
  4. Why is equity order flow so persistent?
    Journal of Economic Dynamics and Control, 2015, 51, (C), 218-239 Downloads View citations (18)

2014

  1. Leverage-induced systemic risk under Basle II and other credit risk policies
    Journal of Banking & Finance, 2014, 42, (C), 199-212 Downloads View citations (36)
    See also Working Paper (2014)
  2. Resilient and Inclusive Prosperity within Planetary Boundaries
    China & World Economy, 2014, 22, (5), 76-92 Downloads View citations (2)
  3. Stability analysis of financial contagion due to overlapping portfolios
    Journal of Banking & Finance, 2014, 46, (C), 233-245 Downloads View citations (111)
    See also Working Paper (2012)

2013

  1. An ecological perspective on the future of computer trading
    Quantitative Finance, 2013, 13, (3), 325-346 Downloads View citations (10)
  2. How efficiency shapes market impact
    Quantitative Finance, 2013, 13, (11), 1743-1758 Downloads View citations (25)
    See also Working Paper (2013)
  3. Hypotheses non fingo: Problems with the scientific method in economics
    Journal of Economic Methodology, 2013, 20, (4), 377-385 Downloads View citations (2)

2012

  1. Getting at Systemic Risk via an Agent-Based Model of the Housing Market
    American Economic Review, 2012, 102, (3), 53-58 Downloads View citations (84)
    See also Working Paper (2012)
  2. HETEROGENEITY, CORRELATIONS AND FINANCIAL CONTAGION
    Advances in Complex Systems (ACS), 2012, 15, (supp0), 1-15 Downloads View citations (16)
    See also Working Paper (2011)
  3. How does the market react to your order flow?
    Quantitative Finance, 2012, 12, (7), 1015-1024 Downloads View citations (10)
    See also Working Paper (2012)
  4. Leverage causes fat tails and clustered volatility
    Quantitative Finance, 2012, 12, (5), 695-707 Downloads View citations (55)
    See also Working Paper (2011)

2011

  1. Historical costs of coal-fired electricity and implications for the future
    Energy Policy, 2011, 39, (6), 3042-3054 Downloads View citations (22)
  2. The unsmooth trajectory of Benoit Mandelbrot
    Quantitative Finance, 2011, 11, (2), 157-158 Downloads

2010

  1. Segmentation algorithm for non-stationary compound Poisson processes
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 78, (2), 235-243 Downloads View citations (7)
    See also Working Paper (2011)

2009

  1. Studies of the limit order book around large price changes
    The European Physical Journal B: Condensed Matter and Complex Systems, 2009, 71, (4), 499-510 Downloads View citations (9)
    See also Working Paper (2009)
  2. The reality game
    Journal of Economic Dynamics and Control, 2009, 33, (5), 1091-1105 Downloads View citations (2)
    See also Working Paper (2009)

2008

  1. An empirical behavioral model of liquidity and volatility
    Journal of Economic Dynamics and Control, 2008, 32, (1), 200-234 Downloads View citations (96)
    See also Working Paper (2007)
  2. Introduction to special issue on `Applications of Statistical Physics in Economics and Finance'
    Journal of Economic Dynamics and Control, 2008, 32, (1), 1-6 Downloads View citations (8)
  3. The non-random walk of stock prices: the long-term correlation between signs and sizes
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 64, (3), 607-614 Downloads View citations (9)
    See also Working Paper (2008)

2007

  1. Mechanical vs. informational components of price impact
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 189-200 Downloads View citations (2)
    See also Working Paper (2006)

2006

  1. Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow
    Quantitative Finance, 2006, 6, (1), 1-3 Downloads View citations (1)
  2. Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
    Quantitative Finance, 2006, 6, (2), 107-112 Downloads View citations (21)
    See also Working Paper (2006)
  3. There's more to volatility than volume
    Quantitative Finance, 2006, 6, (5), 371-384 Downloads View citations (17)
    See also Working Paper (2005)

2004

  1. The Long Memory of the Efficient Market
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (3), 1-35 Downloads View citations (68)
    See also Working Paper (2004)
  2. What really causes large price changes?
    Quantitative Finance, 2004, 4, (4), 383-397 Downloads View citations (87)
    See also Working Paper (2004)

2003

  1. An analysis of price impact function in order-driven markets
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 146-151 Downloads View citations (9)
  2. Looking forward to the future
    Quantitative Finance, 2003, 3, (3), 30-30 Downloads
  3. Statistical theory of the continuous double auction
    Quantitative Finance, 2003, 3, (6), 481-514 Downloads View citations (103)
    See also Working Paper (2002)

2002

  1. Market force, ecology and evolution
    Industrial and Corporate Change, 2002, 11, (5), 895-953 View citations (90)
    See also Working Paper (1999)
  2. The power of patience: a behavioural regularity in limit-order placement
    Quantitative Finance, 2002, 2, (5), 387-392 Downloads View citations (45)
  3. The price dynamics of common trading strategies
    Journal of Economic Behavior & Organization, 2002, 49, (2), 149-171 Downloads View citations (232)
    See also Working Paper (2000)

2001

  1. Evaluation of Traffic Injury Prevention Programs Using Counting Process Approaches
    Journal of the American Statistical Association, 2001, 96, 469-475 Downloads View citations (1)

2000

  1. A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 425-441 Downloads View citations (1)
  2. PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 311-333 Downloads
    See also Working Paper (1999)

Chapters

2014

  1. Properly discounting the future: using predictions in an uncertain world
    Chapter 5 in Predicting the Future in Science, Economics, and Politics, 2014, pp 114-125 Downloads
 
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