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J. Doyne Farmer

Identifiers

  • name variant J. Doyne Farmer 0.60 · backfill

Papers (58)

  1. Emergent inequality and endogenous dynamics in a simple behavioral macroeconomic model econ.GN · 2019 · author #4
  2. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves q-fin.EC · 2017 · author #5
  3. How well do experience curves predict technological progress? A method for making distributional forecasts q-fin.EC · 2017 · author #7
  4. The prevalence of chaotic dynamics in games with many players q-fin.EC · 2016 · author #2
  5. Taming the Basel Leverage Cycle q-fin.EC · 2015 · author #3
  6. The Intrafirm Complexity of Systemically Important Financial Institutions q-fin.GN · 2015 · author #5
  7. How predictable is technological progress? q-fin.EC · 2015 · author #1
  8. Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate q-fin.TR · 2014 · author #3
  9. The dynamics of the leverage cycle q-fin.EC · 2014 · author #2
  10. To bail-out or to bail-in? Answers from an agent-based model q-fin.GN · 2014 · author #3
  11. Uncertain growth and the value of the future q-fin.ST · 2013 · author #5
  12. How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network q-fin.GN · 2013 · author #2
  13. Leverage-induced systemic risk under Basle II and other credit risk policies q-fin.RM · 2013 · author #3
  14. Stability analysis of financial contagion due to overlapping portfolios q-fin.GN · 2012 · author #4
  15. Statistical Basis for Predicting Technological Progress physics.soc-ph · 2012 · author #2
  16. A proposal for impact-adjusted valuation: Critical leverage and execution risk q-fin.GN · 2012 · author #3
  17. Complex dynamics in learning complicated games nlin.CD · 2011 · author #2
  18. Heterogeneity, correlations and financial contagion q-fin.GN · 2011 · author #3
  19. Why is order flow so persistent? q-fin.TR · 2011 · author #4
  20. How does the market react to your order flow? q-fin.TR · 2011 · author #6
  21. How efficiency shapes market impact q-fin.TR · 2011 · author #1
  22. Tick size and price diffusion q-fin.ST · 2010 · author #2
  23. An empirical study of the tails of mutual fund size q-fin.GN · 2010 · author #2
  24. The cause of universality in growth fluctuations physics.soc-ph · 2010 · author #3
  25. Segmentation algorithm for non-stationary compound Poisson processes physics.data-an · 2010 · author #3
  26. Historical Costs of Coal-Fired Electricity and Implications for the Future physics.soc-ph · 2010 · author #2
  27. Leverage Causes Fat Tails and Clustered Volatility q-fin.ST · 2009 · author #2
  28. Market impact and trading profile of large trading orders in stock markets q-fin.TR · 2009 · author #5
  29. The Role of Design Complexity in Technology Improvement physics.soc-ph · 2009 · author #2
  30. The Reality Game q-fin.GN · 2009 · author #2
  31. Studies of the limit order book around large price changes q-fin.TR · 2009 · author #3
  32. How markets slowly digest changes in supply and demand q-fin.TR · 2008 · author #2
  33. What drives mutual fund asset concentration? q-fin.ST · 2008 · author #2
  34. The virtues and vices of equilibrium and the future of financial economics q-fin.GN · 2008 · author #1
  35. The non-random walk of stock prices: The long-term correlation between signs and sizes q-fin.ST · 2007 · author #2
  36. Correlations and clustering in the trading of members of the London Stock Exchange q-fin.ST · 2007 · author #2
  37. An empirical behavioral model of liquidity and volatility q-fin.ST · 2007 · author #2
  38. A simple evolutionary game with feedback between perception and reality physics.soc-ph · 2007 · author #2
  39. The Physics of Information physics.class-ph · 2007 · author #2
  40. Mechanical vs. informational components of price impact physics.soc-ph · 2006 · author #1
  41. Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary? physics.soc-ph · 2006 · author #1
  42. There's more to volatility than volume physics.soc-ph · 2005 · author #2
  43. An empirical behavioral model of price formation physics.soc-ph · 2005 · author #2
  44. Economics: The next physical science? physics.soc-ph · 2005 · author #1
  45. A theory for long-memory in supply and demand cond-mat.other · 2004 · author #3
  46. What really causes large price changes? cond-mat.other · 2003 · author #1
  47. The long memory of the efficient market cond-mat.other · 2003 · author #2
  48. On the origin of power law tails in price fluctuations cond-mat.stat-mech · 2003 · author #1
  49. The Predictive Power of Zero Intelligence in Financial Markets cond-mat.stat-mech · 2003 · author #1
  50. Statistical theory of the continuous double auction cond-mat.stat-mech · 2002 · author #2
  51. Single Curve Collapse of the Price Impact Function for the New York Stock Exchange cond-mat.stat-mech · 2002 · author #2
  52. The power of patience: A behavioral regularity in limit order placement cond-mat · 2002 · author #2
  53. Optimal design, robustness, and risk aversion cond-mat.stat-mech · 2002 · author #3
  54. A quantitative model of trading and price formation in financial markets cond-mat.stat-mech · 2001 · author #2
  55. The price dynamics of common trading strategies cond-mat.stat-mech · 2000 · author #1
  56. Physicists attempt to scale the ivory towers of finance adap-org · 1999 · author #1
  57. Frontiers of finance: Evolution and efficient markets adap-org · 1999 · author #1
  58. Market force, ecology and evolution adap-org · 1998 · author #1

Mentions

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Frequent Coauthors