Details about J. Doyne Farmer

Homepage:	http://www.doynefarmer.com
Postal address:	Institute for New Economic Thinking University of Oxford Manor Road Building Manor Road Oxford OX1 3UQ
Workplace:	INET Oxford, Oxford Martin School, Oxford University, (more information at EDIRC)

Access statistics for papers by J. Doyne Farmer.

Last updated 2024-06-07. Update your information in the RePEc Author Service.

Short-id: pfa201

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Working Papers

2023

1. Discounting the distant future: What do historical bond prices imply about the long term discount rate?
   Papers, arXiv.org View citations (1)
   Also in LABORatorio R. Revelli Working Papers Series, LABORatorio R. Revelli, Centre for Employment Studies (2017) View citations (1)
   See also Journal Article Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?, Mathematics, MDPI (2024) (2024)
2. Employment dynamics in a rapid decarbonization of the power sector
   INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
3. Liquidity Spirals
   INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
4. Modelling labour market transitions: the case of productivity shifts in Brazil
   INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
5. Reconstructing production networks using machine learning
   INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (3)
   See also Journal Article Reconstructing production networks using machine learning, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (4) (2023)
6. Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds II
   Papers, arXiv.org

2022

7. Agent-Based Modeling in Economics and Finance: Past, Present, and Future
   INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (34)
8. Black-box Bayesian inference for economic agent-based models
   Papers, arXiv.org View citations (3)
   Also in INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford (2022) View citations (3)
9. Calibrating Agent-based Models to Microdata with Graph Neural Networks
   INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (2)
10. Heterogeneous Effects and Spillovers of Macroprudential Policy in an Agent-Based Model of the UK Housing Market
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (4)
    Also in Working Papers, Banco de España (2022) View citations (6)
    Bank of England working papers, Bank of England (2022) View citations (4)
    See also Journal Article Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market, Industrial and Corporate Change, Oxford University Press and the Associazione ICC (2023) View citations (4) (2023)
11. Measuring productivity dispersion: a parametric approach using the L\'{e}vy alpha-stable distribution
    Papers, arXiv.org View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (9)
12. The unequal effects of the health-economy tradeoff during the COVID-19 pandemic
    Papers, arXiv.org
    See also Journal Article The unequal effects of the health–economy trade-off during the COVID-19 pandemic, Nature Human Behaviour, Nature (2024) View citations (2) (2024)

2021

13. Empirically grounded technology forecasts and the energy transition
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (7)
14. Estimating initial conditions for dynamical systems with incomplete information
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
15. How Market Ecology Explains Market Malfunction
    Papers, arXiv.org View citations (8)
    See also Journal Article How market ecology explains market malfunction, Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences (2021) View citations (8) (2021)
16. How production networks amplify economic growth
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge
    Also in Papers, arXiv.org (2021) View citations (5)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021)
    See also Journal Article How production networks amplify economic growth, Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences (2021) (2021)
17. In and out of lockdown: Propagation of supply and demand shocks in a dynamic input-output model
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (3)
    Also in Papers, arXiv.org (2021) View citations (5)
18. Modeling simultaneous supply and demand shocks in input-output networks
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (2)
19. Simultaneous supply and demand constraints in input-output networks: The case of Covid-19 in Germany, Italy, and Spain
    Papers, arXiv.org View citations (7)
    See also Journal Article Simultaneous supply and demand constraints in input–output networks: the case of Covid-19 in Germany, Italy, and Spain, Economic Systems Research, Taylor & Francis Journals (2022) View citations (5) (2022)
20. Systemic implications of the bail-in design
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
    Also in INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford (2021) View citations (2)
21. Towards a taxonomy of learning dynamics in 2 x 2 games
    Papers, arXiv.org View citations (4)
    See also Journal Article Towards a taxonomy of learning dynamics in 2 × 2 games, Games and Economic Behavior, Elsevier (2022) View citations (2) (2022)

2020

22. Automation and occupational mobility: A data-driven network model
    Papers, arXiv.org View citations (1)
23. Can stimulating demand drive costs down? World War II as a natural experiment
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (5)
    See also Journal Article Can Stimulating Demand Drive Costs Down? World War II as a Natural Experiment, The Journal of Economic History, Cambridge University Press (2022) View citations (2) (2022)
24. Foundations of system-wide financial stress testing with heterogeneous institutions
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (12)
    Also in Bank of England working papers, Bank of England (2020) View citations (16)
25. Production networks and epidemic spreading: How to restart the UK economy?
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (22)
    Also in Papers, arXiv.org (2020) View citations (38)
26. Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
    See also Journal Article Scenario-free analysis of financial stability with interacting contagion channels, Journal of Banking & Finance, Elsevier (2023) View citations (2) (2023)
27. Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation
    Papers, arXiv.org View citations (2)
28. Supply and demand shocks in the COVID-19 pandemic: An industry and occupation perspective
    Papers, arXiv.org View citations (206)
    See also Journal Article Supply and demand shocks in the COVID-19 pandemic: an industry and occupation perspective, Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited (2020) View citations (197) (2020)
29. Technological interdependencies predict innovation dynamics
    Papers, arXiv.org View citations (8)
    Also in INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford (2020) View citations (4)

2019

30. A simulation of the insurance industry: The problem of risk model homogeneity
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
    Also in MPRA Paper, University Library of Munich, Germany (2019)
    Papers, arXiv.org (2019)
    See also Journal Article A simulation of the insurance industry: the problem of risk model homogeneity, Journal of Economic Interaction and Coordination, Springer (2022) (2022)
31. Emergent Inequality and Endogenous Dynamics in a Simple Behavioral Macroeconomic Model
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
    Also in Papers, arXiv.org (2019) View citations (2)
32. Measuring productivity dispersion: a parametric approach using the Lévy alpha-stable distribution
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford

2018

33. A New Interpretation of the Economic Complexity Index
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (4)
34. Best reply structure and equilibrium convergence in generic games
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
    Also in Papers, arXiv.org (2018) View citations (9)
35. Determining the Differences that Matter: Development and Divergence in US States over 1850-2010
    Working Paper Series, Harvard University, John F. Kennedy School of Government View citations (1)
36. Interpreting Economic Complexity
    Papers, arXiv.org View citations (4)
37. Models of Financial Stability and Their Application in Stress Tests
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (5)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2017)
38. The Tipping Point: How the G20 Can Lead the Transition to a Prosperous Clean Energy Economy
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
39. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
    Papers, arXiv.org View citations (4)
    See also Journal Article Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves, Journal of Economic Dynamics and Control, Elsevier (2019) View citations (9) (2019)

2017

40. A taxonomy of learning dynamics in 2 × 2 games
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford View citations (1)
41. How well do experience curves predict technological progress? A method for making distributional forecasts
    Papers, arXiv.org View citations (6)
    See also Journal Article How well do experience curves predict technological progress? A method for making distributional forecasts, Technological Forecasting and Social Change, Elsevier (2018) View citations (10) (2018)
42. The prevalence of chaotic dynamics in games with many players
    INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
    Also in Papers, arXiv.org (2016) View citations (1)

2016

43. Macroprudential policy in an agent-based model of the UK housing market
    Bank of England working papers, Bank of England View citations (37)
44. Taming the Basel leverage cycle
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (20)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015)
    Papers, arXiv.org (2015)
    See also Journal Article Taming the Basel leverage cycle, Journal of Financial Stability, Elsevier (2016) View citations (20) (2016)

2015

45. How predictable is technological progress?
    Papers, arXiv.org View citations (10)
    See also Journal Article How predictable is technological progress?, Research Policy, Elsevier (2016) View citations (67) (2016)
46. The Intrafirm Complexity of Systemically Important Financial Institutions
    Papers, arXiv.org View citations (5)
    See also Journal Article The intrafirm complexity of systemically important financial institutions, Journal of Financial Stability, Elsevier (2021) (2021)

2014

47. Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
    Papers, arXiv.org View citations (5)
48. Discounting the Distant Future
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
49. Leverage-induced systemic risk under Basle II and other credit risk policies
    Papers, arXiv.org View citations (55)
    See also Journal Article Leverage-induced systemic risk under Basle II and other credit risk policies, Journal of Banking & Finance, Elsevier (2014) View citations (55) (2014)
50. The dynamics of the leverage cycle
    Papers, arXiv.org View citations (4)
    See also Journal Article The dynamics of the leverage cycle, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (39) (2015)
51. To bail-out or to bail-in? Answers from an agent-based model
    Papers, arXiv.org View citations (2)
    See also Journal Article To bail-out or to bail-in? Answers from an agent-based model, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (60) (2015)
52. Why is order flow so persistent?
    Papers, arXiv.org View citations (4)

2013

53. How efficiency shapes market impact
    Papers, arXiv.org View citations (54)
    See also Journal Article How efficiency shapes market impact, Quantitative Finance, Taylor & Francis Journals (2013) View citations (46) (2013)
54. How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network
    Papers, arXiv.org View citations (17)
55. Uncertain growth and the value of the future
    Papers, arXiv.org

2012

56. A proposal for impact-adjusted valuation: Critical leverage and execution risk
    Papers, arXiv.org View citations (7)
57. 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 View citations (100)
    See also Journal Article Getting at Systemic Risk via an Agent-Based Model of the Housing Market, American Economic Review, American Economic Association (2012) View citations (127) (2012)
58. How does the market react to your order flow?
    Papers, arXiv.org View citations (18)
    See also Journal Article How does the market react to your order flow?, Quantitative Finance, Taylor & Francis Journals (2012) View citations (17) (2012)
59. Stability analysis of financial contagion due to overlapping portfolios
    Papers, arXiv.org View citations (19)
    See also Journal Article Stability analysis of financial contagion due to overlapping portfolios, Journal of Banking & Finance, Elsevier (2014) View citations (207) (2014)
60. Statistical Basis for Predicting Technological Progress
    Papers, arXiv.org View citations (2)
    See also Journal Article Statistical Basis for Predicting Technological Progress, PLOS ONE, Public Library of Science (2013) View citations (74) (2013)

2011

61. Heterogeneity, correlations and financial contagion
    Papers, arXiv.org View citations (11)
    See also Journal Article HETEROGENEITY, CORRELATIONS AND FINANCIAL CONTAGION, Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (48) (2012)
62. Leverage Causes Fat Tails and Clustered Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    Also in Papers, arXiv.org (2010) View citations (15)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) View citations (18)
    See also Journal Article Leverage causes fat tails and clustered volatility, Quantitative Finance, Taylor & Francis Journals (2012) View citations (78) (2012)
63. Segmentation algorithm for non-stationary compound Poisson processes
    Papers, arXiv.org View citations (6)
    See also Journal Article Segmentation algorithm for non-stationary compound Poisson processes, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2010) View citations (13) (2010)

2010

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

2009

67. Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (24)
    Also in Levine's Working Paper Archive, David K. Levine (2009) View citations (25)
68. Market impact and trading profile of large trading orders in stock markets
    Papers, arXiv.org View citations (62)
69. Studies of the limit order book around large price changes
    Papers, arXiv.org View citations (10)
    See also Journal Article Studies of the limit order book around large price changes, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2009) View citations (11) (2009)
70. The Reality Game
    Papers, arXiv.org View citations (2)
    See also Journal Article The reality game, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (2) (2009)

2008

71. How markets slowly digest changes in supply and demand
    Papers, arXiv.org View citations (93)
72. The Virtues and Vices of Equilibrium and the Future of Financial Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (17)
    Also in Papers, arXiv.org (2008) View citations (14)
    Levine's Working Paper Archive, David K. Levine (2008) View citations (13)
73. The non-random walk of stock prices: The long-term correlation between signs and sizes
    Papers, arXiv.org View citations (8)
    See also Journal Article 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, Springer (2008) View citations (10) (2008)

2007

74. An empirical behavioral model of liquidity and volatility
    Papers, arXiv.org View citations (2)
    See also Journal Article An empirical behavioral model of liquidity and volatility, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (112) (2008)
75. Correlations and clustering in the trading of members of the London Stock Exchange
    Papers, arXiv.org View citations (10)

2006

76. Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
    Papers, arXiv.org View citations (35)
    See also Journal Article Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?, Quantitative Finance, Taylor & Francis Journals (2006) View citations (35) (2006)
77. Mechanical vs. informational components of price impact
    Papers, arXiv.org View citations (1)
    See also Journal Article Mechanical vs. informational components of price impact, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2007) View citations (2) (2007)

2005

78. A theory for long-memory in supply and demand
    Papers, arXiv.org View citations (51)
79. An empirical behavioral model of price formation
    Papers, arXiv.org View citations (6)
80. Economics: the next physical science?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (18)
81. There's more to volatility than volume
    Papers, arXiv.org View citations (8)
    See also Journal Article There's more to volatility than volume, Quantitative Finance, Taylor & Francis Journals (2006) View citations (20) (2006)

2004

82. On the origin of power law tails in price fluctuations
    Papers, arXiv.org View citations (51)
83. The Predictive Power of Zero Intelligence in Financial Markets
    Papers, arXiv.org View citations (113)
84. The long memory of the efficient market
    Papers, arXiv.org View citations (155)
    See also Journal Article The Long Memory of the Efficient Market, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2004) View citations (147) (2004)
85. What really causes large price changes?
    Papers, arXiv.org View citations (133)
    See also Journal Article What really causes large price changes?, Quantitative Finance, Taylor & Francis Journals (2004) View citations (128) (2004)

2002

86. A quantitative model of trading and price formation in financial markets
    Papers, arXiv.org
87. Demand Storage, Market Liquidity, and Price Volatility
    Working Papers, Santa Fe Institute
88. Optimal Design, Robustness, and Risk Aversion
    Working Papers, Santa Fe Institute View citations (3)
89. Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
    Papers, arXiv.org View citations (10)
90. Statistical theory of the continuous double auction
    Papers, arXiv.org View citations (21)
    See also Journal Article Statistical theory of the continuous double auction, Quantitative Finance, Taylor & Francis Journals (2003) View citations (143) (2003)

2001

91. Chaos in Learning a Simple Two Person Game
    Working Papers, Santa Fe Institute View citations (9)
92. Market making, price formation, and technical trading
    Computing in Economics and Finance 2001, Society for Computational Economics

2000

93. The Price Dynamics of Common Trading Strategies
    Working Papers, Santa Fe Institute View citations (27)
    Also in Papers, arXiv.org (2000) View citations (11)
    See also Journal Article The price dynamics of common trading strategies, Journal of Economic Behavior & Organization, Elsevier (2002) View citations (284) (2002)

1999

94. Frontiers of Finance: Evolution and Efficient Markets
    Working Papers, Santa Fe Institute View citations (46)
95. Market Force, Ecology, and Evolution
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (8)
    Also in Research in Economics, Santa Fe Institute (1998) View citations (37)
    See also Journal Article Market force, ecology and evolution, Industrial and Corporate Change, Oxford University Press and the Associazione ICC (2002) View citations (144) (2002)
96. Physicists Attempt to Scale the Ivory Towers of Finance
    Working Papers, Santa Fe Institute View citations (41)
    See also Journal Article PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2000) View citations (8) (2000)

Journal Articles

2024

1. Black-box Bayesian inference for agent-based models
   Journal of Economic Dynamics and Control, 2024, 161, (C) View citations (2)
2. Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?
   Mathematics, 2024, 12, (5), 1-25
   See also Working Paper Discounting the distant future: What do historical bond prices imply about the long term discount rate?, Papers (2023) View citations (1) (2023)
3. Economic modelling fit for the demands of energy decision makers
   Nature Energy, 2024, 9, (3), 229-231 View citations (1)
4. The unequal effects of the health–economy trade-off during the COVID-19 pandemic
   Nature Human Behaviour, 2024, 8, (2), 264-275 View citations (2)
   See also Working Paper The unequal effects of the health-economy tradeoff during the COVID-19 pandemic, Papers (2022) (2022)

2023

5. Heterogeneous effects and spillovers of macroprudential policy in an agent-based model of the UK housing market
   Industrial and Corporate Change, 2023, 32, (2), 386-432 View citations (4)
   See also Working Paper Heterogeneous Effects and Spillovers of Macroprudential Policy in an Agent-Based Model of the UK Housing Market, INET Oxford Working Papers (2022) View citations (4) (2022)
6. Reconstructing production networks using machine learning
   Journal of Economic Dynamics and Control, 2023, 148, (C) View citations (4)
   See also Working Paper Reconstructing production networks using machine learning, INET Oxford Working Papers (2023) View citations (3) (2023)
7. Scenario-free analysis of financial stability with interacting contagion channels
   Journal of Banking & Finance, 2023, 146, (C) View citations (2)
   See also Working Paper Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels, INET Oxford Working Papers (2020) (2020)

2022

8. A simulation of the insurance industry: the problem of risk model homogeneity
   Journal of Economic Interaction and Coordination, 2022, 17, (2), 535-576
   See also Working Paper A simulation of the insurance industry: The problem of risk model homogeneity, INET Oxford Working Papers (2019) (2019)
9. Can Stimulating Demand Drive Costs Down? World War II as a Natural Experiment
   The Journal of Economic History, 2022, 82, (3), 727-764 View citations (2)
   See also Working Paper Can stimulating demand drive costs down? World War II as a natural experiment, INET Oxford Working Papers (2020) View citations (4) (2020)
10. Forecasting the propagation of pandemic shocks with a dynamic input-output model
    Journal of Economic Dynamics and Control, 2022, 144, (C) View citations (15)
11. Simultaneous supply and demand constraints in input–output networks: the case of Covid-19 in Germany, Italy, and Spain
    Economic Systems Research, 2022, 34, (3), 273-293 View citations (5)
    See also Working Paper Simultaneous supply and demand constraints in input-output networks: The case of Covid-19 in Germany, Italy, and Spain, Papers (2021) View citations (7) (2021)
12. Towards a taxonomy of learning dynamics in 2 × 2 games
    Games and Economic Behavior, 2022, 132, (C), 1-21 View citations (2)
    See also Working Paper Towards a taxonomy of learning dynamics in 2 x 2 games, Papers (2021) View citations (4) (2021)

2021

13. Emergent inequality and business cycles in a simple behavioral macroeconomic model
    Proceedings of the National Academy of Sciences, 2021, 118, (27), e2025721118 View citations (3)
14. How market ecology explains market malfunction
    Proceedings of the National Academy of Sciences, 2021, 118, (26), e2015574118 View citations (8)
    See also Working Paper How Market Ecology Explains Market Malfunction, Papers (2021) View citations (8) (2021)
15. How production networks amplify economic growth
    Proceedings of the National Academy of Sciences, 2021, 119, (1), e2106031118
    See also Working Paper How production networks amplify economic growth, Janeway Institute Working Papers (2021) (2021)
16. The intrafirm complexity of systemically important financial institutions
    Journal of Financial Stability, 2021, 52, (C)
    See also Working Paper The Intrafirm Complexity of Systemically Important Financial Institutions, Papers (2015) View citations (5) (2015)

2020

17. Supply and demand shocks in the COVID-19 pandemic: an industry and occupation perspective
    Oxford Review of Economic Policy, 2020, 36, (Supplement_1), S94-S137 View citations (197)
    See also Working Paper Supply and demand shocks in the COVID-19 pandemic: An industry and occupation perspective, Papers (2020) View citations (206) (2020)

2019

18. An open mind: memories of Ken Arrow
    Quantitative Finance, 2019, 19, (1), 33-34
19. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
    Journal of Economic Dynamics and Control, 2019, 101, (C), 211-238 View citations (9)
    See also Working Paper Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves, Papers (2018) View citations (4) (2018)

2018

20. Acceleration of electrons in the plasma wakefield of a proton bunch
    Nature, 2018, 561, (7723), 363-367
21. How well do experience curves predict technological progress? A method for making distributional forecasts
    Technological Forecasting and Social Change, 2018, 128, (C), 104-117 View citations (10)
    See also Working Paper How well do experience curves predict technological progress? A method for making distributional forecasts, Papers (2017) View citations (6) (2017)

2016

22. How predictable is technological progress?
    Research Policy, 2016, 45, (3), 647-665 View citations (67)
    See also Working Paper How predictable is technological progress?, Papers (2015) View citations (10) (2015)
23. Taming the Basel leverage cycle
    Journal of Financial Stability, 2016, 27, (C), 263-277 View citations (20)
    See also Working Paper Taming the Basel leverage cycle, LSE Research Online Documents on Economics (2016) View citations (20) (2016)

2015

24. A Third Wave in the Economics of Climate Change
    Environmental & Resource Economics, 2015, 62, (2), 329-357 View citations (104)
25. Overlapping portfolios, contagion, and financial stability
    Journal of Economic Dynamics and Control, 2015, 51, (C), 50-63 View citations (108)
26. The dynamics of the leverage cycle
    Journal of Economic Dynamics and Control, 2015, 50, (C), 155-179 View citations (39)
    See also Working Paper The dynamics of the leverage cycle, Papers (2014) View citations (4) (2014)
27. To bail-out or to bail-in? Answers from an agent-based model
    Journal of Economic Dynamics and Control, 2015, 50, (C), 144-154 View citations (60)
    See also Working Paper To bail-out or to bail-in? Answers from an agent-based model, Papers (2014) View citations (2) (2014)
28. Why is equity order flow so persistent?
    Journal of Economic Dynamics and Control, 2015, 51, (C), 218-239 View citations (44)

2014

29. Leverage-induced systemic risk under Basle II and other credit risk policies
    Journal of Banking & Finance, 2014, 42, (C), 199-212 View citations (55)
    See also Working Paper Leverage-induced systemic risk under Basle II and other credit risk policies, Papers (2014) View citations (55) (2014)
30. Resilient and Inclusive Prosperity within Planetary Boundaries
    China & World Economy, 2014, 22, (5), 76-92 View citations (4)
31. Stability analysis of financial contagion due to overlapping portfolios
    Journal of Banking & Finance, 2014, 46, (C), 233-245 View citations (207)
    See also Working Paper Stability analysis of financial contagion due to overlapping portfolios, Papers (2012) View citations (19) (2012)

2013

32. An ecological perspective on the future of computer trading
    Quantitative Finance, 2013, 13, (3), 325-346 View citations (19)
33. How efficiency shapes market impact
    Quantitative Finance, 2013, 13, (11), 1743-1758 View citations (46)
    See also Working Paper How efficiency shapes market impact, Papers (2013) View citations (54) (2013)
34. Hypotheses non fingo: Problems with the scientific method in economics
    Journal of Economic Methodology, 2013, 20, (4), 377-385 View citations (4)
35. Statistical Basis for Predicting Technological Progress
    PLOS ONE, 2013, 8, (2), 1-7 View citations (74)
    See also Working Paper Statistical Basis for Predicting Technological Progress, Papers (2012) View citations (2) (2012)

2012

36. Getting at Systemic Risk via an Agent-Based Model of the Housing Market
    American Economic Review, 2012, 102, (3), 53-58 View citations (127)
    See also Working Paper Getting at Systemic Risk via an Agent-Based Model of the Housing Market, Cowles Foundation Discussion Papers (2012) View citations (100) (2012)
37. HETEROGENEITY, CORRELATIONS AND FINANCIAL CONTAGION
    Advances in Complex Systems (ACS), 2012, 15, (supp0), 1-15 View citations (48)
    See also Working Paper Heterogeneity, correlations and financial contagion, Papers (2011) View citations (11) (2011)
38. How does the market react to your order flow?
    Quantitative Finance, 2012, 12, (7), 1015-1024 View citations (17)
    See also Working Paper How does the market react to your order flow?, Papers (2012) View citations (18) (2012)
39. Leverage causes fat tails and clustered volatility
    Quantitative Finance, 2012, 12, (5), 695-707 View citations (78)
    See also Working Paper Leverage Causes Fat Tails and Clustered Volatility, Cowles Foundation Discussion Papers (2011) View citations (3) (2011)

2011

40. Historical costs of coal-fired electricity and implications for the future
    Energy Policy, 2011, 39, (6), 3042-3054 View citations (36)
41. The unsmooth trajectory of Benoit Mandelbrot
    Quantitative Finance, 2011, 11, (2), 157-158

2010

42. A US nuclear future?
    Nature, 2010, 467, (7314), 391-393
43. Segmentation algorithm for non-stationary compound Poisson processes
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 78, (2), 235-243 View citations (13)
    See also Working Paper Segmentation algorithm for non-stationary compound Poisson processes, Papers (2011) View citations (6) (2011)

2009

44. 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 View citations (11)
    See also Working Paper Studies of the limit order book around large price changes, Papers (2009) View citations (10) (2009)
45. The economy needs agent-based modelling
    Nature, 2009, 460, (7256), 685-686 View citations (383)
46. The reality game
    Journal of Economic Dynamics and Control, 2009, 33, (5), 1091-1105 View citations (2)
    See also Working Paper The Reality Game, Papers (2009) View citations (2) (2009)

2008

47. An empirical behavioral model of liquidity and volatility
    Journal of Economic Dynamics and Control, 2008, 32, (1), 200-234 View citations (112)
    See also Working Paper An empirical behavioral model of liquidity and volatility, Papers (2007) View citations (2) (2007)
48. Introduction to special issue on `Applications of Statistical Physics in Economics and Finance'
    Journal of Economic Dynamics and Control, 2008, 32, (1), 1-6 View citations (9)
49. 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 View citations (10)
    See also Working Paper The non-random walk of stock prices: The long-term correlation between signs and sizes, Papers (2008) View citations (8) (2008)
50. The two cultures of Wall Street
    Nature, 2008, 456, (7219), 173-174

2007

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

2006

52. Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow
    Quantitative Finance, 2006, 6, (1), 1-3 View citations (1)
53. 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 View citations (35)
    See also Working Paper Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?, Papers (2006) View citations (35) (2006)
54. There's more to volatility than volume
    Quantitative Finance, 2006, 6, (5), 371-384 View citations (20)
    See also Working Paper There's more to volatility than volume, Papers (2005) View citations (8) (2005)

2005

55. Cool is not enough
    Nature, 2005, 436, (7051), 627-628

2004

56. The Long Memory of the Efficient Market
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (3), 35 View citations (147)
    See also Working Paper The long memory of the efficient market, Papers (2004) View citations (155) (2004)
57. What really causes large price changes?
    Quantitative Finance, 2004, 4, (4), 383-397 View citations (128)
    See also Working Paper What really causes large price changes?, Papers (2004) View citations (133) (2004)

2003

58. An analysis of price impact function in order-driven markets
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 146-151 View citations (11)
59. Looking forward to the future
    Quantitative Finance, 2003, 3, (3), 30-30
60. Master curve for price-impact function
    Nature, 2003, 421, (6919), 129-130 View citations (156)
61. Statistical theory of the continuous double auction
    Quantitative Finance, 2003, 3, (6), 481-514 View citations (143)
    See also Working Paper Statistical theory of the continuous double auction, Papers (2002) View citations (21) (2002)

2002

62. Market force, ecology and evolution
    Industrial and Corporate Change, 2002, 11, (5), 895-953 View citations (144)
    See also Working Paper Market Force, Ecology, and Evolution, Computing in Economics and Finance 1999 (1999) View citations (8) (1999)
63. The power of patience: a behavioural regularity in limit-order placement
    Quantitative Finance, 2002, 2, (5), 387-392 View citations (52)
64. The price dynamics of common trading strategies
    Journal of Economic Behavior & Organization, 2002, 49, (2), 149-171 View citations (284)
    See also Working Paper The Price Dynamics of Common Trading Strategies, Working Papers (2000) View citations (27) (2000)

2001

65. Evaluation of Traffic Injury Prevention Programs Using Counting Process Approaches
    Journal of the American Statistical Association, 2001, 96, 469-475 View citations (2)

2000

66. 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 View citations (3)
67. PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 311-333 View citations (8)
    See also Working Paper Physicists Attempt to Scale the Ivory Towers of Finance, Working Papers (1999) View citations (41) (1999)

Edited books

2022

1. Handbook of Financial Stress Testing
   Cambridge Books, Cambridge University Press

Chapters

2020

1. Less precision, more truth: uncertainty in climate economics and macroprudential policy
   Chapter 18 in Handbook on the Economics of Climate Change, 2020, pp 420-438

2014

2. 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