Access Statistics for J. Doyne Farmer

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A proposal for impact-adjusted valuation: Critical leverage and execution risk 0 0 0 32 1 1 2 90
A quantitative model of trading and price formation in financial markets 0 0 2 64 0 0 9 184
A theory for long-memory in supply and demand 0 0 1 22 1 1 6 58
An empirical behavioral model of liquidity and volatility 0 1 5 78 3 8 18 246
An empirical behavioral model of price formation 0 0 2 41 0 0 7 110
An empirical study of the tails of mutual fund size 0 0 0 43 2 2 7 103
Best reply structure and equilibrium convergence in generic games 1 1 5 28 2 3 16 31
Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate 0 1 6 16 1 3 11 28
Chaos in Learning a Simple Two Person Game 0 0 0 196 0 1 10 590
Correlations and clustering in the trading of members of the London Stock Exchange 0 1 3 35 1 3 9 83
Demand Storage, Market Liquidity, and Price Volatility 0 0 0 119 0 2 5 566
Discounting the Distant Future 1 1 5 48 3 6 25 101
Discounting the distant future: What do historical bond prices imply about the long term discount rate? 0 2 8 28 4 20 50 112
Economics: the next physical science? 0 0 2 468 0 1 10 1,258
Frontiers of Finance: Evolution and Efficient Markets 0 0 0 521 0 1 22 1,605
Getting at Systemic Risk via an Agent-Based Model of the Housing Market 0 0 5 280 0 4 24 677
Heterogeneity, correlations and financial contagion 0 1 2 77 2 6 12 145
How does the market react to your order flow? 0 0 1 100 2 2 6 243
How efficiency shapes market impact 0 2 8 120 2 4 20 251
How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network 0 0 1 41 1 2 13 87
How markets slowly digest changes in supply and demand 0 1 8 135 0 4 24 441
How predictable is technological progress? 0 2 6 24 1 4 14 84
How production networks amplify economic growth 0 1 9 42 2 4 21 48
How well do experience curves predict technological progress? A method for making distributional forecasts 1 3 6 45 8 11 25 99
Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates 0 1 13 646 3 15 62 2,100
Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates 0 0 0 105 0 0 2 188
Interpreting Economic Complexity 1 5 19 44 8 17 61 141
Leverage Causes Fat Tails and Clustered Volatility 0 0 1 119 0 0 7 314
Leverage Causes Fat Tails and Clustered Volatility 0 0 2 159 1 4 23 302
Leverage Causes Fat Tails and Clustered Volatility 0 1 4 37 0 1 12 148
Leverage-induced systemic risk under Basle II and other credit risk policies 0 1 3 139 1 2 13 212
Macroprudential policy in an agent-based model of the UK housing market 1 3 19 106 3 14 98 247
Market Force, Ecology, and Evolution 0 0 0 0 1 3 21 852
Market Force, Ecology, and Evolution 0 4 13 512 1 8 41 1,852
Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary? 0 0 5 53 0 0 11 160
Market impact and trading profile of large trading orders in stock markets 0 2 4 119 1 3 12 344
Market making, price formation, and technical trading 0 0 0 0 0 4 19 639
Mechanical vs. informational components of price impact 1 1 4 35 1 1 11 99
Models of Financial Stability and their Application in Stress Tests 0 4 18 58 0 7 39 76
On the origin of power law tails in price fluctuations 0 1 1 40 1 4 11 145
Optimal Design, Robustness, and Risk Aversion 0 0 0 131 0 2 7 671
Physicists Attempt to Scale the Ivory Towers of Finance 0 0 0 235 0 2 7 765
Segmentation algorithm for non-stationary compound Poisson processes 0 0 1 48 0 0 7 172
Single Curve Collapse of the Price Impact Function for the New York Stock Exchange 0 0 0 40 1 2 11 120
Stability analysis of financial contagion due to overlapping portfolios 0 1 4 60 0 3 11 140
Statistical Basis for Predicting Technological Progress 0 0 2 83 3 4 9 163
Statistical theory of the continuous double auction 0 0 3 70 0 0 5 175
Studies of the limit order book around large price changes 1 1 5 91 4 4 14 194
Taming the Basel Leverage Cycle 0 0 0 19 1 1 6 30
Taming the Basel leverage cycle 0 0 0 24 0 2 11 25
Taming the Basel leverage cycle 0 0 1 39 1 2 7 31
The Intrafirm Complexity of Systemically Important Financial Institutions 0 0 2 23 0 0 4 44
The Predictive Power of Zero Intelligence in Financial Markets 0 1 3 46 0 3 15 154
The Price Dynamics of Common Trading Strategies 0 0 0 321 1 6 27 1,107
The Reality Game 0 0 3 47 1 5 11 194
The Virtues and Vices of Equilibrium and the Future of Financial Economics 0 2 2 10 1 4 12 61
The Virtues and Vices of Equilibrium and the Future of Financial Economics 3 4 10 319 5 8 39 951
The dynamics of the leverage cycle 0 1 2 38 2 5 23 88
The long memory of the efficient market 0 0 1 55 0 1 11 176
The non-random walk of stock prices: The long-term correlation between signs and sizes 0 1 3 63 0 2 10 161
The prevalence of chaotic dynamics in games with many players 0 0 1 33 2 3 5 27
The price dynamics of common trading strategies 0 0 5 81 0 4 21 310
The virtues and vices of equilibrium and the future of financial economics 0 0 0 14 2 4 14 87
There's more to volatility than volume 0 0 1 27 2 2 5 79
Tick size and price diffusion 0 0 1 63 1 1 4 135
To bail-out or to bail-in? Answers from an agent-based model 0 1 2 31 0 3 10 43
Uncertain growth and the value of the future 0 1 3 8 0 1 4 22
What drives mutual fund asset concentration? 0 0 0 29 2 5 10 120
What really causes large price changes? 0 0 4 70 1 3 16 273
Why is order flow so persistent? 0 4 7 99 2 7 14 243
Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves 0 2 8 21 1 3 21 46
Total Working Papers 10 59 265 7,013 90 268 1,180 21,866


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET 1 4 9 13 1 5 16 25
A Third Wave in the Economics of Climate Change 1 4 38 126 8 25 116 371
An analysis of price impact function in order-driven markets 0 0 0 7 0 0 4 27
An ecological perspective on the future of computer trading 0 0 8 42 1 2 17 107
An empirical behavioral model of liquidity and volatility 0 1 4 110 0 2 13 275
Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow 0 0 0 6 1 1 7 26
Evaluation of Traffic Injury Prevention Programs Using Counting Process Approaches 0 0 0 9 0 2 4 46
Getting at Systemic Risk via an Agent-Based Model of the Housing Market 0 0 2 111 2 2 11 356
HETEROGENEITY, CORRELATIONS AND FINANCIAL CONTAGION 0 0 0 3 0 1 7 23
Historical costs of coal-fired electricity and implications for the future 0 0 3 29 1 1 6 108
How does the market react to your order flow? 0 0 0 15 0 0 6 65
How efficiency shapes market impact 0 0 0 2 0 0 5 14
How predictable is technological progress? 0 1 8 23 2 6 73 226
How well do experience curves predict technological progress? A method for making distributional forecasts 0 0 1 2 2 5 19 40
Hypotheses non fingo: Problems with the scientific method in economics 1 1 4 18 3 7 27 71
Introduction to special issue on `Applications of Statistical Physics in Economics and Finance' 0 0 2 103 0 0 6 206
Leverage causes fat tails and clustered volatility 1 2 11 45 3 9 27 310
Leverage-induced systemic risk under Basle II and other credit risk policies 0 0 4 33 0 2 28 136
Looking forward to the future 0 0 0 15 0 1 5 43
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? 0 0 1 41 0 0 4 145
Market force, ecology and evolution 0 0 0 2 1 6 27 593
Mechanical vs. informational components of price impact 0 0 0 6 0 0 3 26
Overlapping portfolios, contagion, and financial stability 1 3 17 98 2 5 36 223
PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE 0 1 2 3 1 3 8 12
Resilient and Inclusive Prosperity within Planetary Boundaries 0 0 0 3 1 1 7 32
Segmentation algorithm for non-stationary compound Poisson processes 0 0 0 2 0 0 4 18
Stability analysis of financial contagion due to overlapping portfolios 0 3 10 50 3 15 40 204
Statistical theory of the continuous double auction 0 0 0 26 0 0 4 76
Studies of the limit order book around large price changes 0 1 3 16 1 2 7 50
Taming the Basel leverage cycle 0 0 1 3 3 6 45 104
The Long Memory of the Efficient Market 0 1 5 94 0 1 13 357
The dynamics of the leverage cycle 0 0 1 31 0 0 11 101
The non-random walk of stock prices: the long-term correlation between signs and sizes 0 0 0 11 1 1 2 34
The power of patience: a behavioural regularity in limit-order placement 0 0 0 11 3 4 11 62
The price dynamics of common trading strategies 1 2 18 272 4 9 46 710
The reality game 0 0 0 22 1 1 3 85
The unsmooth trajectory of Benoit Mandelbrot 0 0 1 28 0 0 2 61
There's more to volatility than volume 0 0 3 12 0 2 11 43
What really causes large price changes? 0 1 4 25 0 3 19 90
Why is equity order flow so persistent? 0 0 5 14 1 2 17 75
Total Journal Articles 6 25 165 1,482 46 132 717 5,576


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Properly discounting the future: using predictions in an uncertain world 0 0 0 9 1 1 4 26
Total Chapters 0 0 0 9 1 1 4 26


Statistics updated 2020-09-04