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Farmer, J. Doyne's
Scholarly Papers
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Downloads
5,758 |
Total
Citations
100 |
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1.
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Bouchaud , Jean-Philippe
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) Farmer, J. Doyne
Santa Fe Institute Lillo, Fabrizio
University of Palermo
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873
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35
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Financial markets, Market microstructure, Market impact, Order flow
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2.
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Farmer, J. Doyne
Santa Fe Institute Geanakoplos, John
Yale University - Cowles Foundation
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660
(17,583)
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9
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Equilibrium, Rational expectations, Efficiency, Arbitrage, Bounded rationality, Power laws, Disequilibrium, Zero intelligence, Market ecology, Agent based modeling
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3.
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Farmer, J. Doyne
Santa Fe Institute Patelli, Paolo
Santa Fe Institute Zovko, Ilija I.
affiliation not provided to SSRN
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543
(23,065)
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16
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limit order book, limit orders, market microstructure, zero intelligence agents, agent based modeling
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4.
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Geanakoplos, John
Yale University - Cowles Foundation Axtell, Robert
George Mason University Farmer, J. Doyne
Santa Fe Institute Howitt, Peter
Brown University - Department of Economics Conlee, Benjamin
affiliation not provided to SSRN Goldstein, Jonathan
affiliation not provided to SSRN Hendrey, Matthew
George Mason University - Department of Computational Social Science Palmer, Nathan M.
George Mason University - Department of Computational Social Science Yang, Chun-Yi
affiliation not provided to SSRN
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534
(23,767)
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Agent based models, Housing prices, Boom and bust, Leverage, Interest rates, Foreclosures, Systemic risk
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5.
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Leverage Causes Fat Tails and Clustered Volatility
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Thurner, Stefan
Institute for Science of Complex Systems, Medical University of Vienna Farmer, J. Doyne
Santa Fe Institute Geanakoplos, John
Yale University - Cowles Foundation
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Posted:
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11 Jan 10
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Last Revised:
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23 Nov 11
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373
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8
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Thurner, Stefan
Institute for Science of Complex Systems, Medical University of Vienna Farmer, J. Doyne
Santa Fe Institute Geanakoplos, John
Yale University - Cowles Foundation
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190
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8
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Systemic risk, Clustered volatility, Fat tails, Crash, Margin calls, Leverage
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Thurner, Stefan
Institute for Science of Complex Systems, Medical University of Vienna Farmer, J. Doyne
Santa Fe Institute Geanakoplos, John
Yale University - Cowles Foundation
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11 Jan 10
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Last Revised:
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18 Mar 10
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183
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8
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Systemic risk, Clustered volatility, Fat tails, Crash, Margin calls, Leverage
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6.
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Mike, Szabolcs
Santa Fe Institute - Economics Farmer, J. Doyne
Santa Fe Institute
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334
(42,937)
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6
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Behavioral economics, financial market, order placement, cancellation model, price formation
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7.
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Zovko, Ilija I.
affiliation not provided to SSRN Farmer, J. Doyne
Santa Fe Institute
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273
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8
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8.
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Gillemot, Laszlo
Santa Fe Institute Farmer, J. Doyne
Santa Fe Institute Lillo, Fabrizio
University of Palermo
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249
(60,126)
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5
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Volatility clustering, transaction frequency, alternative time clocks
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9.
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Farmer, J. Doyne
Santa Fe Institute Geanakoplos, John
Yale University - Cowles Foundation
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244
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1
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Hyperbolic discounting, Environment, Time consistent, Exponential discounting, Geometric random walk, Term structure of interest rates
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10.
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Schwarzkopf, Yonathan
Lime Brokerage LLC Farmer, J. Doyne
Santa Fe Institute
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24 Jul 08
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Last Revised:
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03 May 10
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243
(61,653)
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mutual fund growth, firm growth, investor behavior, mutual fund flows, size distribution, power law
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11.
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La Spada, Gabriele
Princeton University - Department of Economics Farmer, J. Doyne
Santa Fe Institute Lillo, Fabrizio
University of Palermo
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29 Nov 07
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Last Revised:
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16 Jun 08
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242
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Econophysics, Brownian motion, Stochastic processes
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12.
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Schwarzkopf, Yonathan
Lime Brokerage LLC Axtell, Robert
George Mason University Farmer, J. Doyne
Santa Fe Institute
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29 Apr 10
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Last Revised:
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13 Feb 11
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232
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1
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firm growth, scaling, mutual fund flows
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13.
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Toth, Bence
Santa Fe Institute Eisler, Zoltan
Capital Fund Management Lillo, Fabrizio
University of Palermo Bouchaud , Jean-Philippe
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) Kockelkoren, Julien
affiliation not provided to SSRN Farmer, J. Doyne
Santa Fe Institute
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193
(78,237)
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Financial markets, market microstructure, limit order book, order flow, behavioural economics
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14.
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Cherkashin, Dmitriy
Goldman Sachs Group, Inc. - Equity Derivatives Research Farmer, J. Doyne
Santa Fe Institute Lloyd, Seth
affiliation not provided to SSRN
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| Posted: |
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03 Feb 09
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Last Revised:
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09 Feb 09
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149
(99,550)
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Financial markets, evolutionary games, information theory, arbitrage, market efficiency, beauty contests, noise trader models, market reflexivity
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15.
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Lillo, Fabrizio
University of Palermo Mike, Szabolcs
Santa Fe Institute - Economics Farmer, J. Doyne
Santa Fe Institute
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133
(109,636)
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7
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Long memory processes, Financial markets, Order flow, Market efficiency
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16.
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Schwarzkopf, Yonathan
Lime Brokerage LLC Axtell, Robert
George Mason University Farmer, J. Doyne
Santa Fe Institute
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| Posted: |
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29 Apr 10
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Last Revised:
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10 Feb 11
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87
(149,887)
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firm growth, scaling, mutual fund flows
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17.
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Schwarzkopf, Yonathan
Lime Brokerage LLC Farmer, J. Doyne
Santa Fe Institute
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85
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1
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mutual funds, fund size, power law, log-normal, distribution
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18.
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Caccioli, Fabio
Santa Fe Institute Catanach, Thomas A.
University of Notre Dame Farmer, J. Doyne
Santa Fe Institute
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71
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2
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Network Models, Systemic Risk
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19.
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McNerney, James
affiliation not provided to SSRN Trancik, Jessika E.
Santa Fe Institute Farmer, J. Doyne
Santa Fe Institute
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68
(173,759)
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20.
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Caccioli, Fabio
Santa Fe Institute Shrestha, Munik
University of New Mexico Moore, Cristopher
Santa Fe Institute Farmer, J. Doyne
Santa Fe Institute
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63
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network models, systemic risk
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21.
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Farmer, J. Doyne
Santa Fe Institute Gerig, Austin
University of Oxford - Said Business School Lillo, Fabrizio
University of Palermo Waelbroeck, Henri
Portware LLC
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56
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1
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market impact, metaorder
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22.
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McNerney, James
affiliation not provided to SSRN Farmer, J. Doyne
Santa Fe Institute Redner, Sid
Santa Fe Institute Trancik, Jessika E.
Santa Fe Institute
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53
(197,129)
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experience curve, learning curve, progress function, performance curve, design structure matrix, evolution of technology
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23.
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Moro, Esteban
Universidad Carlos III de Madrid Vicente, Javier
Santa Fe Institute Moyano, Luis G.
Universidad Carlos III de Madrid Gerig, Austin
University of Oxford - Said Business School Farmer, J. Doyne
Santa Fe Institute Vaglica, Gabriella
University of Palermo Lillo, Fabrizio
University of Palermo Mantegna, Rosario N.
Central European University
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financial markets, market impact, large trading orders
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24.
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Farmer, J. Doyne
Santa Fe Institute Zovko, Ilija I.
affiliation not provided to SSRN
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25.
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Iori, Giulia
City University London - Department of Economics Farmer, J. Doyne
Santa Fe Institute Smith, Eric
Santa Fe Institute - Economics Gillemot, Laszlo
Santa Fe Institute
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