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

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

44

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156

Scholarly Papers (44)

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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 1,473 (17,990)
Citation 71

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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, 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, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Downloads 981 (32,673)
Citation 18

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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
Downloads 782 (44,660)
Citation 7

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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

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 658 (56,147)
Citation 54

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

5.

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 592 (64,225)
Citation 6

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Economic Complexity, Spectral Clustering, Economic Development, Networks

6.

Leverage Causes Fat Tails and Clustered Volatility

Downloads 566 ( 68,287)
Citation 29

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
Downloads 351 (119,327)
Citation 1

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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
Downloads 215 (195,583)
Citation 35

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

7.

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 535 (73,141)
Citation 1

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

8.

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
Downloads 507 (77,930)
Citation 23

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

9.

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, Thom Wetzer 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, Stanford Institute for Economic Policy Research, Stanford University and University of OxfordUniversity of Oxford, Faculty of Law
Downloads 432 (94,210)
Citation 5

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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

10.

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 406 (101,286)
Citation 2

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

11.

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 393 (105,136)
Citation 31

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

12.

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 346 (121,244)
Citation 5

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firm growth, scaling, mutual fund flows

13.

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 338 (124,524)
Citation 9

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14.

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 336 (125,277)
Citation 3

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

15.

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
Capital Fund Management, 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 335 (125,656)
Citation 8

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

16.

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 304 (139,229)
Citation 16

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market impact, metaorder

17.

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 303 (139,688)
Citation 7

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Volatility clustering, transaction frequency, alternative time clocks

18.

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 291 (145,642)
Citation 3

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Econophysics, Brownian motion, Stochastic processes

19.

Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels

INET Oxford Working Paper No. 2019-10
Number of pages: 104 Posted: 04 Jul 2019 Last Revised: 14 Jan 2020
Garbrand Wiersema, Alissa M. Kleinnijenhuis, Thom Wetzer, Thom Wetzer and J. Doyne Farmer
University of Oxford, Stanford Institute for Economic Policy Research, Stanford University, University of OxfordUniversity of Oxford, Faculty of Law and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 270 (157,154)
Citation 4

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

20.

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, University of Barcelona - Department of Physics, University of Barcelona - Departament de Física de la Matèria Condensada and University of Barcelona - Department of Physics
Downloads 249 (170,938)
Citation 3

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

21.

Stress Testing the Financial Macrocosm

Forthcoming in Handbook of Financial Stress Testing (CUP, 2022)
Number of pages: 41 Posted: 31 Aug 2021 Last Revised: 02 Nov 2021
J. Doyne Farmer, Alissa M. Kleinnijenhuis, Thom Wetzer and Thom Wetzer
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Stanford Institute for Economic Policy Research, Stanford University and University of OxfordUniversity of Oxford, Faculty of Law
Downloads 209 (201,049)

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Financial Stress Testing, Financial Crisis, Systemic Risk, Financial Stability, Market Ecology, Economic Simulations, Climate Stress Tests, Macroprudential Regulation, Economy-Wide Financial Stress Tests

22.

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 202 (207,506)
Citation 3

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

23.

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 170 (241,013)
Citation 7

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

24.

Stability Analysis of Financial Contagion Due to Overlapping Portfolios

Number of pages: 25 Posted: 16 Nov 2012
Fabio Caccioli, Munik Shrestha, Munik Shrestha, Cristopher Moore and J. Doyne Farmer
University College London, University of New MexicoSanta Fe Institute, Santa Fe Institute and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 151 (265,928)
Citation 66

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network models, systemic risk

25.

Systemic Implications of the Bail-In Design

Downloads 144 (276,342)

Systemic Implications of the Bail-In Design

Number of pages: 56 Posted: 31 Aug 2021 Last Revised: 07 Sep 2021
Alissa M. Kleinnijenhuis, Charles Goodhart and J. Doyne Farmer
Stanford Institute for Economic Policy Research, Stanford University, London School of Economics & Political Science (LSE) - Financial Markets Group and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 144 (277,249)

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Too big to fail, resolution, bail-in, liquidation, insolvency law, financial crises, contagion, financial networks, failure, default, bail-out, banks, systemically important banks, loss absorption requirements, bail-in debt, bail-in debt pricing, political economy

Systemic Implications of the Bail-In Design

CEPR Discussion Paper No. DP16509
Number of pages: 73 Posted: 22 Sep 2021 Last Revised: 04 Feb 2022
J. Doyne Farmer, Charles Goodhart and Alissa M. Kleinnijenhuis
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, London School of Economics & Political Science (LSE) - Financial Markets Group and Stanford Institute for Economic Policy Research, Stanford University
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bail-in, bail-in debt pricing, contagion, default, financial crisis, Financial Networks, political economy, Resolution, systemically important banks, Too Big To Fail

26.

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, University of Notre Dame and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 132 (295,324)
Citation 22

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Network Models, Systemic Risk

27.

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 131 (297,082)
Citation 3

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

28.

How Market Ecology Explains Market Malfunction

PNAS, 2020
Number of pages: 12 Posted: 11 Nov 2020 Last Revised: 27 Jan 2021
Maarten P. Scholl, Anisoara Calinescu and J. Doyne Farmer
Department of Computer Science, University of Oxford, Department of Computer Science, University of Oxford and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 123 (311,346)
Citation 1

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market efficiency, market ecology, agent-based modeling

29.

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 120 (317,015)
Citation 1

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firm growth, scaling, mutual fund flows

30.

A Simulation of the Insurance Industry: The Problem of Risk Model Homogeneity

Number of pages: 38 Posted: 14 Jul 2019 Last Revised: 21 Nov 2019
Torsten Heinrich, Juan Sabuco and J. Doyne Farmer
Faculty for Economics and Business Administration, Chemnitz University of Technology, 09111 Chemnitz, Germany, 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 118 (320,736)

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insurance, systemic risk, reinsurance, agent-based simulation, risk modeling

31.

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 115 (326,574)

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

32.

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 102 (354,357)
Citation 2

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

33.

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 97 (366,011)
Citation 5

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34.

Technological Interdependencies Predict Innovation Dynamics

Number of pages: 25 Posted: 27 Mar 2020
Anton Pichler, Francois Lafond 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 93 (378,341)

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innovation technology network forecasting patents spatial econometrics

35.

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 85 (396,951)
Citation 18

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

36.

Emergent Inequality and Endogenous Dynamics in a Simple Behavioral Macroeconomic Model

Number of pages: 18 Posted: 09 Jul 2019
Yuki M. Asano, Jakob Kolb, Jobst Heitzig and J. Doyne Farmer
University of Oxford - Department of Engineering Science, affiliation not provided to SSRN, Potsdam-Institut für Klimafolgenforschung (PIK) and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 81 (408,430)
Citation 3

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macroeconomic growth, complexity economics, social dynamics

37.

Towards a Taxonomy of Learning Dynamics in 2 × 2 Games

Number of pages: 34 Posted: 08 Feb 2017 Last Revised: 02 Sep 2021
Marco Pangallo, James Sanders, Tobias Galla and J. Doyne Farmer
Scuola Superiore Sant'Anna di Pisa, 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 75 (426,642)
Citation 3

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

38.

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 and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 73 (432,994)

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stochastic processes, environmental economics, Ornstein-Uhlenbeck, discount

39.

Production Network and GDP Growth: A Decomposition Approach

Number of pages: 9 Posted: 17 Sep 2021 Last Revised: 29 Nov 2021
Jangho Yang, Jangho Yang, Luis Daniel Torres Gonzalez, Advait Aiyer, Advait Aiyer and J. Doyne Farmer
INET & Oxford Martin SchoolUniversity of Waterloo, National Autonomous University of Mexico (UNAM), The New School for Social Research, StudentsUniversity of Pennsylvania, The Wharton School, Students and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 47 (532,894)

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Economic growth, input-output linkages, economic structure

40.

Measuring Productivity Dispersion: A Parametric Approach Using the Lévy Alpha-Stable Distribution

Number of pages: 46 Posted: 22 Oct 2019 Last Revised: 22 Apr 2022
Jangho Yang, Jangho Yang, Torsten Heinrich, Julian Winkler, Francois Lafond, Pantelis Koutroumpis and J. Doyne Farmer
INET & Oxford Martin SchoolUniversity of Waterloo, Faculty for Economics and Business Administration, Chemnitz University of Technology, 09111 Chemnitz, Germany, 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, Oxford Martin Programme of Technological and Economic Change and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 34 (599,254)
Citation 4

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productivity, dispersion, distribution, heavy-tail, Lévy stable distribution

41.

Online Appendix: Systemic Implications of the Bail-In Design

Number of pages: 35 Posted: 31 Aug 2021
Alissa M. Kleinnijenhuis, Charles Goodhart and J. Doyne Farmer
Stanford Institute for Economic Policy Research, Stanford University, London School of Economics & Political Science (LSE) - Financial Markets Group and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 22 (678,784)

Abstract:

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Too big to fail, resolution, bail-in, liquidation, insolvency law, financial crisis, contagion, financial networks, failure, default, bail-out, banks, systemically important banks, loss absorption requirements, bail-in debt, bail-in debt pricing, political economy

42.

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

43.

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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44.

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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