J. Doyne Farmer

University of Oxford - Institute for New Economic Thinking at the Oxford Martin School

Director of Complexity Economics

Eagle House

Walton Well Road

Oxford, OX2 6ED

United Kingdom

http://www.inet.ox.ac.uk/people/view/4

Santa Fe Institute

McKinsey Research Professor

1399 Hyde Park Road

Santa Fe, NM 87501

United States

http://www.santafe.edu/~jdf/

  • University of Oxford - Institute for New Economic Thinking at the Oxford Martin School

  • Santa Fe Institute

    • Email
    • Tel: 505-984-8800
    • Fax: 505-982-0565
SCHOLARLY PAPERS

35

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Scholarly Papers (35)

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1.

How Markets Slowly Digest Changes in Supply and Demand

Number of pages: 111 Posted: 15 Sep 2008
Jean-Philippe Bouchaud, J. Doyne Farmer and Fabrizio Lillo
Capital Fund Management, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 1,362 (13,276)

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Financial markets, Market microstructure, Market impact, Order flow

2.

Getting at Systemic Risk Via an Agent-Based Model of the Housing Market

Cowles Foundation Discussion Paper No. 1852
Number of pages: 14 Posted: 11 Mar 2012
John Geanakoplos, Robert Axtell, J. Doyne Farmer, Peter Howitt, Benjamin Conlee, Jonathan Goldstein, Matthew Hendrey, Nathan Palmer and Chun-Yi Yang
Yale University - Cowles Foundation, George Mason University - Department of Computational Social Science, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Brown University - Department of Economics, affiliation not provided to SSRN, affiliation not provided to SSRN, George Mason University - Department of Computational Social Science, George Mason University - Department of Computational Social Science and affiliation not provided to SSRN
Downloads 905 (24,546)

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Agent based models, Housing prices, Boom and bust, Leverage, Interest rates, Foreclosures, Systemic risk

3.

The Virtues and Vices of Equilibrium and the Future of Financial Economics

Cowles Foundation Discussion Paper No. 1647
Number of pages: 69 Posted: 24 Mar 2008
J. Doyne Farmer and John Geanakoplos
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Yale University - Cowles Foundation
Downloads 764 (31,111)

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Equilibrium, Rational expectations, Efficiency, Arbitrage, Bounded rationality, Power laws, Disequilibrium, Zero intelligence, Market ecology, Agent based modeling

4.

The Predictive Power of Zero Intelligence in Financial Markets

AFA 2004 San Diego Meetings
Number of pages: 18 Posted: 11 Jan 2004
J. Doyne Farmer, Paolo Patelli and Ilija I. Zovko
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Santa Fe Institute and affiliation not provided to SSRN
Downloads 634 (39,983)

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limit order book, limit orders, market microstructure, zero intelligence agents, agent based modeling

5.

Leverage Causes Fat Tails and Clustered Volatility

Downloads 487 ( 56,206)

Leverage Causes Fat Tails and Clustered Volatility

Cowles Foundation Discussion Paper No. 1745R
Number of pages: 15 Posted: 23 Nov 2011
Stefan Thurner, J. Doyne Farmer and John Geanakoplos
Institute for Science of Complex Systems, Medical University of Vienna, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Yale University - Cowles Foundation
Downloads 285 (104,163)

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Systemic risk, Clustered volatility, Fat tails, Crash, Margin calls, Leverage

Leverage Causes Fat Tails and Clustered Volatility

Cowles Foundation Discussion Paper No. 1745
Number of pages: 20 Posted: 11 Jan 2010 Last Revised: 18 Mar 2010
Stefan Thurner, J. Doyne Farmer and John Geanakoplos
Institute for Science of Complex Systems, Medical University of Vienna, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Yale University - Cowles Foundation
Downloads 202 (147,665)

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Systemic risk, Clustered volatility, Fat tails, Crash, Margin calls, Leverage

6.

Hyperbolic Discounting is Rational: Valuing the Far Future with Uncertain Discount Rates

Cowles Foundation Discussion Paper No. 1719
Number of pages: 18 Posted: 15 Aug 2009
J. Doyne Farmer and John Geanakoplos
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Yale University - Cowles Foundation
Downloads 383 (75,169)

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Hyperbolic discounting, Environment, Time consistent, Exponential discounting, Geometric random walk, Term structure of interest rates

7.

An Empirical Behavioral Model of Liquidity and Volatility

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 35 Posted: 01 Oct 2005
Szabolcs Mike and J. Doyne Farmer
Santa Fe Institute - Economics and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 378 (76,303)

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Behavioral economics, financial market, order placement, cancellation model, price formation

8.

The Power of Patience: A Behavioral Regularity in Limit Order Placement

Number of pages: 6 Posted: 16 Aug 2002
Ilija I. Zovko and J. Doyne Farmer
affiliation not provided to SSRN and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 301 (98,689)

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9.

What Drives Mutual Fund Asset Concentration?

Number of pages: 33 Posted: 24 Jul 2008 Last Revised: 03 May 2010
Yonathan Schwarzkopf and J. Doyne Farmer
Lime Brokerage LLC and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 300 (99,045)

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mutual fund growth, firm growth, investor behavior, mutual fund flows, size distribution, power law

10.

An Explanation of Universality in Growth Fluctuations

Number of pages: 14 Posted: 29 Apr 2010 Last Revised: 13 Feb 2011
Yonathan Schwarzkopf, Robert Axtell and J. Doyne Farmer
Lime Brokerage LLC, George Mason University - Department of Computational Social Science and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 298 (99,763)

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firm growth, scaling, mutual fund flows

11.

Models of Financial Stability and Their Application in Stress Tests

Forthcoming, Handbook of Computational Economics (Blake LeBaron and Cars Hommes) , University of St.Gallen, School of Finance Research Paper No. 2018/5
Number of pages: 66 Posted: 22 Aug 2017 Last Revised: 29 Apr 2018
Christoph Aymanns, J. Doyne Farmer, Alissa M. Kleinnijenhuis and Thom Wetzer
London School of Economics & Political Science (LSE) - London School of Economics, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Students and University of Oxford, Students
Downloads 293 (101,619)

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stress testing, systemic risk, contagion, leverage cycles, multi-layered networks, heterogeneous agent models, financial systems, financial stability, computational economics, complex systems, banks, non-banks, microprudential stress tests, macroprudential stress tests

12.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Bence Toth, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud, Julien Kockelkoren and J. Doyne Farmer
Santa Fe Institute, Capital Fund Management, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 291 (102,369)

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Financial markets, market microstructure, limit order book, order flow, behavioural economics

13.

There's More to Volatility than Volume

Number of pages: 26 Posted: 18 Oct 2005
Laszlo Gillemot, J. Doyne Farmer and Fabrizio Lillo
Santa Fe Institute, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 285 (104,693)

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Volatility clustering, transaction frequency, alternative time clocks

14.

The Non-Random Walk of Stock Prices: The Long-Term Correlation between Signs and Sizes

Number of pages: 9 Posted: 29 Nov 2007 Last Revised: 16 Jun 2008
Gabriele La Spada, J. Doyne Farmer and Fabrizio Lillo
Federal Reserve Banks - Federal Reserve Bank of New York, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 281 (106,270)

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Econophysics, Brownian motion, Stochastic processes

15.

How Efficiency Shapes Market Impact

Number of pages: 34 Posted: 20 Mar 2013 Last Revised: 27 Sep 2013
J. Doyne Farmer, Austin Gerig, Fabrizio Lillo and Henri Waelbroeck
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, U.S. Securities and Exchange Commission, Università di Bologna and Portware LLC
Downloads 239 (125,697)

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market impact, metaorder

16.

A New Interpretation of the Economic Complexity Index

Number of pages: 36 Posted: 27 Nov 2017 Last Revised: 21 Sep 2018
Penny Mealy, J. Doyne Farmer and Alexander Teytelboym
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and University of Oxford - Oxford Martin School
Downloads 219 (136,981)

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Economic Complexity, Spectral Clustering, Economic Development, Networks

17.

Discounting the Distant Future

Cowles Foundation Discussion Paper No. 1951
Number of pages: 32 Posted: 16 Jul 2014
J. Doyne Farmer, John Geanakoplos, Jaume Masoliver, Miquel Montero and Josep Perelló
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Yale University - Cowles Foundation, University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 219 (136,981)

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Discounting, Environment, Interest rates, Inflation, Ornstein-Uhlenbeck process

18.

The Reality Game

Number of pages: 22 Posted: 03 Feb 2009 Last Revised: 09 Feb 2009
Dmitriy Cherkashin, J. Doyne Farmer and Seth Lloyd
Goldman Sachs Group, Inc. - Equity Derivatives Research, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and affiliation not provided to SSRN
Downloads 183 (161,853)

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Financial markets, evolutionary games, information theory, arbitrage, market efficiency, beauty contests, noise trader models, market reflexivity

19.

What You Do at Work Matters: New Lenses on Labour

Number of pages: 30 Posted: 19 Mar 2018
Penny Mealy, R Maria del Rio-Chanona and J. Doyne Farmer
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 160 (182,042)

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job transitions, networks, division of labour, tasks, occupations, future of work

20.

Macroprudential Policy in an Agent-Based Model of the UK Housing Market

Bank of England Working Paper No. 619
Number of pages: 50 Posted: 11 Oct 2016
Rafa Baptista, J. Doyne Farmer, Marc Hinterschweiger, Katie Low, Daniel Tang and Arzu Uluc
University of Oxford, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Bank of England, Bank of England, University of Oxford and Bank of England
Downloads 151 (192,179)

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Agent-based model, housing market, macroprudential policy, buy-to-let sector

21.

A Theory for Long-Memory in Supply and Demand

Santa Fe Institute Working Paper No. 04-12-041
Number of pages: 12 Posted: 30 Apr 2005
Fabrizio Lillo, Szabolcs Mike and J. Doyne Farmer
Università di Bologna, Santa Fe Institute - Economics and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 144 (198,662)

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Long memory processes, Financial markets, Order flow, Market efficiency

22.

Stability Analysis of Financial Contagion Due to Overlapping Portfolios

Number of pages: 25 Posted: 16 Nov 2012
Fabio Caccioli, Munik Shrestha, Cristopher Moore and J. Doyne Farmer
University College London - Financial Computing and Analytics Group, Department of Computer Science, Santa Fe Institute, Santa Fe Institute and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 125 (222,241)

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network models, systemic risk

23.

Supporting Information – An Explanation of Universality in Growth Fluctuations

Number of pages: 36 Posted: 29 Apr 2010 Last Revised: 10 Feb 2011
Yonathan Schwarzkopf, Robert Axtell and J. Doyne Farmer
Lime Brokerage LLC, George Mason University - Department of Computational Social Science and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 111 (242,509)

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firm growth, scaling, mutual fund flows

24.

Wright Meets Markowitz: How Standard Portfolio Theory Changes When Assets Are Technologies Following Experience Curves

Number of pages: 43 Posted: 11 May 2017 Last Revised: 29 Aug 2018
Rupert Way, Francois Lafond, Fabrizio Lillo, Valentyn Panchenko and J. Doyne Farmer
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Università di Bologna, UNSW Business School, Economics, University of New South Wales and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 110 (245,714)

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Experience curves, Technological change, Learning-by-doing, Portfolio theory, Technology investment, Markowitz portfolio

25.

Heterogeneity, Correlations and Financial Contagion

Number of pages: 15 Posted: 07 Sep 2011
Fabio Caccioli, Thomas A. Catanach and J. Doyne Farmer
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of Notre Dame and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 109 (245,714)

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Network Models, Systemic Risk

26.

An Empirical Study of the Tails of Mutual Fund Size

Number of pages: 6 Posted: 27 May 2010
Yonathan Schwarzkopf and J. Doyne Farmer
Lime Brokerage LLC and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 92 (275,177)

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mutual funds, fund size, power law, log-normal, distribution

27.

Historical Costs of Coal-Fired Electricity and Implications for the Future

Number of pages: 16 Posted: 19 Dec 2009
James McNerney, Jessika E. Trancik and J. Doyne Farmer
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 84 (291,335)

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28.

The Role of Design Complexity in Technology Improvement

Number of pages: 6 Posted: 02 Aug 2010
James McNerney, J. Doyne Farmer, Sid Redner and Jessika E. Trancik
Massachusetts Institute of Technology (MIT), University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Santa Fe Institute and Massachusetts Institute of Technology
Downloads 73 (316,414)

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experience curve, learning curve, progress function, performance curve, design structure matrix, evolution of technology

29.

Uncertain Growth and the Value of the Future

Cowles Foundation Discussion Paper No. 1930
Number of pages: 9 Posted: 18 Nov 2013 Last Revised: 18 Dec 2013
Jaume Masoliver, Miquel Montero, Josep Perelló, John Geanakoplos and J. Doyne Farmer
University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada, University of Barcelona - Department of Physics, Yale University - Cowles Foundation and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 69 (326,223)

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stochastic processes, environmental economics, Ornstein-Uhlenbeck, discount

30.

Determining the Differences that Matter: Development and Divergence in US States Over 1850-2010

HKS Working Paper No. RWP18-030
Number of pages: 44 Posted: 29 Aug 2018
Penny Mealy, J. Doyne Farmer and Ricardo Hausmann
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Harvard University - Harvard Kennedy School (HKS)
Downloads 48 (388,392)

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regional development, structural change, economic complexity, rustbelt, economic growth

31.

A Taxonomy of Learning Dynamics in 2 × 2 Games

Number of pages: 35 Posted: 08 Feb 2017 Last Revised: 09 Feb 2017
Marco Pangallo, James Sanders, Tobias Galla and J. Doyne Farmer
University of Oxford, University of Manchester, University of Manchester - School of Physics and Astronomy and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 26 (484,444)

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Behavioural Game Theory, EWA Learning, Convergence, Equilibrium, Chaos

32.

Inherent Instability: Scenario-Free Analysis of Financial Systems with Interacting Contagion Channels

INET Oxford Working Paper No. 2019-10
Number of pages: 96
Garbrand Wiersema, Alissa M. Kleinnijenhuis, Thom Wetzer and J. Doyne Farmer
University of Oxford, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Students , University of Oxford, Students and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 6

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Financial Stability, Systemic Risk, Interacting Contagion Channels, Financial Contagion, Multiplex Networks, Stress Test, Liquidity-Solvency Nexus

33.

Market Impact and Trading Profile of Large Trading Orders in Stock Markets

Posted: 03 Aug 2009
Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna
Universidad Carlos III de Madrid, Santa Fe Institute, Universidad Carlos III de Madrid, U.S. Securities and Exchange Commission, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Palermo, Università di Bologna and University of Palermo

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financial markets, market impact, large trading orders

34.

Correlations and Clustering in the Trading of Membersof the London Stock Exchange

Posted: 24 Jun 2008
J. Doyne Farmer and Ilija I. Zovko
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and affiliation not provided to SSRN

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35.

Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process

Physical Review Letters, Vol. 90, No. 10, 2003
Posted: 08 Nov 2005
Giulia Iori, J. Doyne Farmer, Eric Smith and Laszlo Gillemot
City University London - Department of Economics, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Santa Fe Institute - Economics and Santa Fe Institute

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