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J. Doyne Farmer

Institute for New Economic Thinking

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/

  • Institute for New Economic Thinking

  • Santa Fe Institute

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

32

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7,838

CITATIONS
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107

Scholarly Papers (32)

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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, Institute for New Economic Thinking and Scuola Normale Superiore
Downloads 1,039 (11,916)
Citation 36

Abstract:

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 L. Axtell, J. Doyne Farmer, Peter Howitt, Benjamin Conlee, Jonathan Goldstein, Matthew Hendrey, Nathan M. Palmer and Chun-Yi Yang
Yale University - Cowles Foundation, George Mason University - Department of Computational Social Science, Institute for New Economic Thinking, 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 778 (22,414)

Abstract:

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
Institute for New Economic Thinking and Yale University - Cowles Foundation
Downloads 720 (26,978)
Citation 9

Abstract:

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
Institute for New Economic Thinking, Santa Fe Institute and affiliation not provided to SSRN
Downloads 583 (35,242)
Citation 15

Abstract:

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

5.

Leverage Causes Fat Tails and Clustered Volatility

Downloads 469 ( 49,821)
Citation 9

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, Institute for New Economic Thinking and Yale University - Cowles Foundation
Downloads 273 (93,348)
Citation 9

Abstract:

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, Institute for New Economic Thinking and Yale University - Cowles Foundation
Downloads 196 (130,660)
Citation 9

Abstract:

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

6.

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 Institute for New Economic Thinking
Downloads 351 (67,288)
Citation 5

Abstract:

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

7.

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 Institute for New Economic Thinking
Downloads 281 (89,223)
Citation 9

Abstract:

8.

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, Institute for New Economic Thinking and Scuola Normale Superiore
Downloads 267 (93,492)

Abstract:

Econophysics, Brownian motion, Stochastic processes

9.

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
Institute for New Economic Thinking and Yale University - Cowles Foundation
Downloads 266 (82,906)

Abstract:

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

10.

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 Institute for New Economic Thinking
Downloads 265 (89,576)
Citation 1

Abstract:

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

11.

An Explanation of Universality in Growth Fluctuations

Number of pages: 14 Posted: 29 Apr 2010 Last Revised: 13 Feb 2011
Yonathan Schwarzkopf, Robert L. Axtell and J. Doyne Farmer
Lime Brokerage LLC, George Mason University - Department of Computational Social Science and Institute for New Economic Thinking
Downloads 261 (91,622)
Citation 2

Abstract:

firm growth, scaling, mutual fund flows

12.

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, Institute for New Economic Thinking and Scuola Normale Superiore
Downloads 259 (92,770)
Citation 5

Abstract:

Volatility clustering, transaction frequency, alternative time clocks

13.

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, Scuola Normale Superiore, Capital Fund Management, Capital Fund Management and Institute for New Economic Thinking
Downloads 240 (93,132)

Abstract:

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

14.

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
Institute for New Economic Thinking, U.S. Securities and Exchange Commission, Scuola Normale Superiore and Portware LLC
Downloads 166 (126,651)
Citation 2

Abstract:

market impact, metaorder

15.

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, Institute for New Economic Thinking and affiliation not provided to SSRN
Downloads 160 (149,867)

Abstract:

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

16.

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
Institute for New Economic Thinking, Yale University - Cowles Foundation, University of Barcelona - Department of Physics, University of Barcelona - Department de Física Fonamental and University of Barcelona - Department of Physics
Downloads 140 (129,675)

Abstract:

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

17.

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
Scuola Normale Superiore, Santa Fe Institute - Economics and Institute for New Economic Thinking
Downloads 136 (175,736)
Citation 8

Abstract:

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

18.

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 Institute for New Economic Thinking
Downloads 108 (200,980)

Abstract:

network models, systemic risk

19.

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 L. Axtell and J. Doyne Farmer
Lime Brokerage LLC, George Mason University - Department of Computational Social Science and Institute for New Economic Thinking
Downloads 98 (218,848)

Abstract:

firm growth, scaling, mutual fund flows

20.

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 Institute for New Economic Thinking
Downloads 88 (239,214)
Citation 2

Abstract:

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

21.

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 Institute for New Economic Thinking
Downloads 80 (230,997)
Citation 3

Abstract:

Network Models, Systemic Risk

22.

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 Institute for New Economic Thinking
Downloads 75 (259,215)

Abstract:

23.

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), Institute for New Economic Thinking, Santa Fe Institute and Massachusetts Institute of Technology
Downloads 59 (291,224)
Citation 1

Abstract:

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

24.

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 - Department de Física Fonamental, University of Barcelona - Department of Physics, Yale University - Cowles Foundation and Institute for New Economic Thinking
Downloads 58 (291,224)

Abstract:

stochastic processes, environmental economics, Ornstein-Uhlenbeck, discount

25.

Models of Financial Stability and Their Application in Stress Tests

Forthcoming, Handbook of Computational Economics (Blake LeBaron and Cars Hommes)
Number of pages: 63 Posted: 22 Aug 2017
Christoph Aymanns, J. Doyne Farmer, Alissa M. Kleinnijenhuis and Thom Wetzer
London School of Economics & Political Science (LSE) - London School of Economics, Institute for New Economic Thinking, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Students and University of Oxford, Students
Downloads 0 (298,291)

Abstract:

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

26.

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

Number of pages: 34 Posted: 11 May 2017
Rupert Way, Francois Lafond, J. Doyne Farmer, Fabrizio Lillo and Valentyn Panchenko
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, Institute for New Economic Thinking, Scuola Normale Superiore and UNSW Business School, Economics, University of New South Wales
Downloads 0 (383,327)

Abstract:

Technological Progress, Experience Curves, Portfolio Optimization

27.

Best Reply Structure and Equilibrium Convergence in Generic Games

Number of pages: 14 Posted: 19 Apr 2017
Marco Pangallo, Torsten Heinrich and J. Doyne Farmer
University of Oxford, University of Bremen and Institute for New Economic Thinking
Downloads 0 (494,000)

Abstract:

Learning, evolutionary dynamics, equilibrium, best reply

28.

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 Institute for New Economic Thinking
Downloads 0 (499,170)

Abstract:

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

29.

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, Institute for New Economic Thinking, Bank of England, Bank of England, University of Oxford and Bank of England
Downloads 0 (288,840)

Abstract:

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

30.

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, Institute for New Economic Thinking, University of Palermo, Scuola Normale Superiore and University of Palermo

Abstract:

financial markets, market impact, large trading orders

31.

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

Posted: 24 Jun 2008
J. Doyne Farmer and Ilija I. Zovko
Institute for New Economic Thinking and affiliation not provided to SSRN

Abstract:

32.

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, Institute for New Economic Thinking, Santa Fe Institute - Economics and Santa Fe Institute

Abstract:

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