J. Doyne Farmer : Citation Profile


Are you J. Doyne Farmer?

Oxford University

22

H index

31

i10 index

1616

Citations

RESEARCH PRODUCTION:

40

Articles

71

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 80
   Journals where J. Doyne Farmer has often published
   Relations with other researchers
   Recent citing documents: 326.    Total self citations: 43 (2.59 %)

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   Permalink: http://citec.repec.org/pfa201
   Updated: 2019-10-06    RAS profile: 2019-01-18    
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Relations with other researchers


Works with:

Lafond, François (5)

Montero, Miquel (3)

Teytelboym, Alexander (3)

Masoliver, Jaume (2)

Hepburn, Cameron (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with J. Doyne Farmer.

Is cited by:

Westerhoff, Frank (51)

Roventini, Andrea (39)

Napoletano, Mauro (37)

Hommes, Cars (32)

He, Xuezhong (30)

Chiarella, Carl (24)

Potters, Marc (23)

Challet, Damien (20)

Fagiolo, Giorgio (18)

Iori, Giulia (16)

Fricke, Daniel (13)

Cites to:

Shleifer, Andrei (17)

Lebaron, Blake (16)

Gerig, Austin (14)

Iori, Giulia (12)

Weitzman, Martin (12)

Potters, Marc (12)

Shin, Hyun Song (12)

Gabaix, Xavier (11)

Challet, Damien (10)

Kapadia, Sujit (9)

Nordhaus, William (9)

Main data


Where J. Doyne Farmer has published?


Journals with more than one article published# docs
Quantitative Finance12
Journal of Economic Dynamics and Control6
The European Physical Journal B: Condensed Matter and Complex Systems4
International Journal of Theoretical and Applied Finance (IJTAF)2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org48
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University7

Recent works citing J. Doyne Farmer (2018 and 2017)


YearTitle of citing document
2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2017Heterogeneity and Clustering of Defaults. (2017). Turner, Matthew ; Terovitis, Spyridon ; Galanis, Girogos ; Karlis, Alexandros . In: Economic Research Papers. RePEc:ags:uwarer:270011.

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2018Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns. (2018). Gu, Gao-Feng ; Jiang, Zhi-Qiang ; Xiong, Xiong ; Zhang, Wei ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1404.1051.

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2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2018). Pirino, Davide ; di Gangi, Domenico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1509.00607.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2017The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495.

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2018Statistically validated lead-lag networks and inventory prediction in the foreign exchange market. (2018). Challet, Damien ; Kassibrakis, Serge ; Lallouache, Mehdi ; Chicheportiche, R'emy . In: Papers. RePEc:arx:papers:1609.04640.

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2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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2017Optimal liquidation in a Level-I limit order book for large tick stocks. (2017). Jacquier, Antoine ; Liu, Hao. In: Papers. RePEc:arx:papers:1701.01327.

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2017Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shan Shan . In: Papers. RePEc:arx:papers:1701.03098.

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2017The amazing power of dimensional analysis: Quantifying market impact. (2017). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1702.05434.

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2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

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2018The short-term price impact of trades is universal. (2018). Eisler, Zoltan ; Toth, Bence ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:1702.08029.

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2017Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744.

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2017Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability. (2017). Biondi, Yuri ; Zhou, Feng. In: Papers. RePEc:arx:papers:1702.08774.

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2018Long-run dynamics of the U.S. patent classification system. (2018). Lafond, François ; Kim, Daniel . In: Papers. RePEc:arx:papers:1703.02104.

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2017New approaches in agent-based modeling of complex financial systems. (2017). Li, Y ; Chen, T T ; Jiang, X F ; Zheng, B. In: Papers. RePEc:arx:papers:1703.06840.

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2017A fractional reaction-diffusion description of supply and demand. (2017). Benzaquen, Michael ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:1704.02638.

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2017An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354.

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2017A level-1 Limit Order book with time dependent arrival rates. (2017). Ch, Jonathan A ; Swishchuk, Anatoliy V ; Bruno, ; Elliott, Robert J. In: Papers. RePEc:arx:papers:1704.06572.

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2017Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Bechler, Kyle ; Ludkovski, Michael. In: Papers. RePEc:arx:papers:1708.02715.

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2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

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2017Behind the price: on the role of agents reflexivity in financial market microstructure. (2017). Barucca, Paolo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1708.07047.

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2017Market impact with multi-timescale liquidity. (2017). Benzaquen, Michael ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:1710.03734.

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2017Network models of financial systemic risk: A review. (2017). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1710.11512.

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2017Bank Panics and Fire Sales, Insolvency and Illiquidity. (2017). Hurd, T R. In: Papers. RePEc:arx:papers:1711.05289.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, Vygintas ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:1712.05121.

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2018SABCEMM-A Simulator for Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Frank, Martin ; Pabich, Emma ; Beikirch, Max ; Cramer, Simon ; Otte, Philipp. In: Papers. RePEc:arx:papers:1801.01811.

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2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Poledna, Sebastian ; Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In. In: Papers. RePEc:arx:papers:1802.00311.

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2018Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139.

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2018Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101.

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2018Optimal inventory management and order book modeling. (2018). Baradel, Nicolas ; Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1802.08135.

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2019Market Impact: A systematic study of limit orders. (2018). Said, Emilio ; Paribas, Bnp ; Markets, Global ; Fr'ed'eric Abergel, ; Ayed, Hadj ; Bel, Ahmed ; Husson, Alexandre ; Hadj, Ahmed Bel. In: Papers. RePEc:arx:papers:1802.08502.

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2019Equilibrium in thin security markets under restricted participation. (2018). Anthropelos, Michail ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1802.09954.

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2018Large large-trader activity weakens the long memory of limit order markets. (2018). Challet, Damien ; Primicerio, Kevin. In: Papers. RePEc:arx:papers:1803.08390.

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2018Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Beguvsi, Stjepan ; Podobnik, Boris ; Stanley, Eugene H ; Kostanjvcar, Zvonko. In: Papers. RePEc:arx:papers:1803.08405.

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2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1803.11467.

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2018Co-impact: Crowding effects in institutional trading activity. (2018). Fr'ed'eric Bucci, ; Lehalle, Charles-Albert ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Eisler, Zolt'an ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1804.09565.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

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2018Data-Driven Investment Decision-Making: Applying Moores Law and S-Curves to Business Strategies. (2018). Benson, Christopher L ; Magee, Christopher L. In: Papers. RePEc:arx:papers:1805.06339.

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2018No-arbitrage implies power-law market impact and rough volatility. (2018). Jusselin, Paul ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1805.07134.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

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2018Reconstruction methods for networks: the case of economic and financial systems. (2018). Squartini, Tiziano ; Garlaschelli, Diego ; Gabrielli, Andrea ; Cimini, Giulio ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1806.06941.

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2018Forecasting the value of battery electric vehicles compared to internal combustion engine vehicles: the influence of driving range and battery technology. (2018). Woo, Jongroul ; Magee, Christopher L. In: Papers. RePEc:arx:papers:1806.06947.

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2019Capital Regulation under Price Impacts and Dynamic Financial Contagion. (2018). Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.02711.

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2018Disentangling and quantifying market participant volatility contributions. (2018). Rambaldi, Marcello ; Muzy, Jean-Franccois ; Bacry, Emmanuel. In: Papers. RePEc:arx:papers:1807.07036.

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2018Optimal mitigation with endogenous learning and a cumulative constraint: with application to negative emissions of carbon dioxide. (2018). Seshadri, Ashwin K. In: Papers. RePEc:arx:papers:1808.08717.

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2018Multi-agent Economics and the Emergence of Critical Markets. (2018). Harr, Michael S. In: Papers. RePEc:arx:papers:1809.01332.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1809.08060.

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2018Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data. (2018). Makinen, Milla ; Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1810.10845.

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2018Better to stay apart: asset commonality, bipartite network centrality, and investment strategies. (2018). Flori, Andrea ; Spelta, Alessandro ; Pammolli, Fabio ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1811.01624.

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2019Selection mechanism design affects volatility in a market of evolving zero-intelligence agents. (2018). van Oort, Colin Michael ; Dewhurst, David Rushing ; Arnold, Michael Vincent. In: Papers. RePEc:arx:papers:1812.05657.

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2019The market nanostructure origin of asset price time reversal asymmetry. (2019). Cordi, Marcus ; Kassibrakis, Serge ; Challet, Damien. In: Papers. RePEc:arx:papers:1901.00834.

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2019Optimal VWAP execution under transient price impact. (2019). Barzykin, Alexander ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1901.02327.

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2019Divestment may burst the carbon bubble if investors beliefs tip to anticipating strong future climate policy. (2019). Peterson, Sonja ; Heitzig, Jobst ; Donges, Jonathan F ; Ewers, Birte. In: Papers. RePEc:arx:papers:1902.07481.

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2019From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2019). Saliba, Pamela ; Rosenbaum, Mathieu ; Huang, Weibing . In: Papers. RePEc:arx:papers:1902.10743.

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2019Three Different Ways Synchronization Can Cause Contagion in Financial Markets. (2019). Andersen, Jorgen Vitting ; Massad, Naji. In: Papers. RePEc:arx:papers:1902.10800.

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2019Frictional Unemployment on Labor Flow Networks. (2019). L'Opez, Eduardo ; Guerrero, Omar A ; Axtell, Robert L. In: Papers. RePEc:arx:papers:1903.04954.

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2019Dynamics of Value-Tracking in Financial Markets. (2019). Battey, Heather S ; Bashe, Kutlwano L ; Gunton, Richard M ; Cl, Nicholas ; MacKay, Robert S. In: Papers. RePEc:arx:papers:1903.09898.

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2019A stochastic PDE model for limit order book dynamics. (2019). Mueller, Marvin S ; Cont, Rama. In: Papers. RePEc:arx:papers:1904.03058.

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2019Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian ; Trimborn, Torsten ; Pabich, Emma. In: Papers. RePEc:arx:papers:1904.04951.

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2019Clearing price distributions in call auctions. (2019). Kleijn, B ; Derksen, M. In: Papers. RePEc:arx:papers:1904.07583.

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2019Pure Nash Equilibria and Best-Response Dynamics in Random Games. (2019). Scarsini, Marco ; Collevecchio, Andrea ; Amiet, Ben. In: Papers. RePEc:arx:papers:1905.10758.

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2019A simulation of the insurance industry: The problem of risk model homogeneity. (2019). Farmer, Doyne J ; Sabuco, Juan ; Heinrich, Torsten. In: Papers. RePEc:arx:papers:1907.05954.

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2019Risk-dependent centrality in economic and financial networks. (2019). Estrada, Ernesto ; Grassi, Rosanna ; Clemente, Gian Paolo ; Benzi, Michele ; Bartesaghi, Paolo. In: Papers. RePEc:arx:papers:1907.07908.

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2019The emergence of critical stocks in market crash. (2019). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. In: Papers. RePEc:arx:papers:1908.07244.

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2018Fiscal buffers, private debt and recession: the good, the bad and the ugly. (2018). Villa, Stefania ; Batini, Nicoletta ; Melina, Giovanni. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1186_18.

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2017Banks in Colombia: how homogeneous are they?. (2017). León, Carlos ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1022.

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2017Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. (2017). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Gamba-Santamaria, Santiago ; Hurtado-Guarin, Jorge Luis . In: Borradores de Economia. RePEc:bdr:borrec:983.

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2018AGENT‐BASED MACROECONOMICS AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS: WHERE DO WE GO FROM HERE?. (2018). Levine, Paul ; Calvert Jump, Robert ; Dilaver, Ozge. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:1134-1159.

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2017Market design for a high-renewables European electricity system. (2017). Ritz, Robert ; Pollitt, Michael ; Newbery, David M ; Strielkowski, W. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1726.

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2018Resolving Non-Performing Loans in Ireland: 2010-2018. (2018). Donnery, Sharon ; O'Keeffe, Micheal ; McCann, Fergal ; Greaney, Darren ; Fitzpatrick, Trevor. In: Quarterly Bulletin Articles. RePEc:cbi:qtbart:y:2018:m:04:p:54-70.

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2017Agent-Based Risk Assessment Model of the European Banking Network. (2017). Klinger, Tomas ; Teply, Petr . In: CERGE-EI Working Papers. RePEc:cer:papers:wp602.

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2018To Build or Not to Build? Capital Stocks and Climate Policy. (2018). Kuralbayeva, Karlygash ; Cai, Yongyang ; Baldwin, Elizabeth. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6884.

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2017Subprime assets and financial crisis: theory, policy and the law. (2017). Miller, Marcus ; Rastapana, Songklod ; Zhang, Lei. In: CAGE Online Working Paper Series. RePEc:cge:wacage:340.

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2017Developing macroprudential policy for alternative investment funds. (2017). Weistroffer, Christian ; Levels, Anouk ; de Sousa van Stralen, René ; Chaudron, Raymond ; Vivar, Luis Molestina ; Lambert, Claudia ; van der Veer, Koen. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1504.

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2018Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Lelyveld, Iman ; Schaumburg, Julia ; van Lelyveld, Iman ; Wang, Dieter . In: DNB Working Papers. RePEc:dnb:dnbwpp:619.

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2017Developing macroprudential policy for alternative investment funds. (2017). Weistroffer, Christian ; Levels, Anouk ; de Sousa van Stralen, René ; Chaudron, Raymond ; Vivar, Luis Molestina ; Lambert, Claudia ; van der Veer, Koen. In: Occasional Paper Series. RePEc:ecb:ecbops:2017202.

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2018Agent-based model of system-wide implications of funding risk. (2018). Halaj, Grzegorz ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20182121.

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2019An agent-based model for the assessment of LTV caps. (2019). Buesa, Alejandro ; Poblacion, Francisco Javier ; Leber, Miha ; Laliotis, Dimitrios. In: Working Paper Series. RePEc:ecb:ecbwps:20192294.

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2017Micro-macro interactions, growth and income distribution revisited. (2017). Porcile, Gabriel ; Cimoli, Mario. In: Desarrollo Productivo. RePEc:ecr:col026:41854.

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2018Recurrence statistics for anomalous diffusion regime change detection. (2018). Sikora, Grzegorz ; Krapf, Diego ; Wyomaska, Agnieszka. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:380-394.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

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2019Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. (2019). Panchenko, Valentyn ; Lafond, François ; Way, Rupert ; Farmer, Doyne J ; Lillo, Fabrizio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:211-238.

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2019Identifying booms and busts in house prices under heterogeneous expectations. (2019). Hommes, Cars ; Bolt, Wilko ; van der Leij, Marco ; Diks, Cees ; Demertzis, Maria. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:234-259.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. (2017). Poledna, Sebastian ; Thurner, Stefan ; Bochmann, Olaf . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:230-246.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53.

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2017Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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2017Temperature shocks and welfare costs. (2017). Schlag, Christian ; Donadelli, Michael ; Riedel, M ; Juppner, M. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:331-355.

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2017Modeling loss-propagation in the global supply network: The dynamic agent-based model acclimate. (2017). Wenz, L ; Frieler, K ; Levermann, A ; Willner, S N ; Otto, C. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:232-269.

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2018Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70.

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2017Assessing the efficacy of borrower-based macroprudential policy using an integrated micro-macro model for European households. (2017). Gross, Marco ; Poblacion, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:510-528.

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More than 100 citations found, this list is not complete...

Works by J. Doyne Farmer:


YearTitleTypeCited
2012Getting at Systemic Risk via an Agent-Based Model of the Housing Market In: American Economic Review.
[Full Text][Citation analysis]
article55
2012Getting at Systemic Risk via an Agent-Based Model of the Housing Market.(2012) In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2007An empirical behavioral model of liquidity and volatility In: Papers.
[Full Text][Citation analysis]
paper85
2008An empirical behavioral model of liquidity and volatility.(2008) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85
article
2007Correlations and clustering in the trading of members of the London Stock Exchange In: Papers.
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2008The non-random walk of stock prices: The long-term correlation between signs and sizes In: Papers.
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2008The non-random walk of stock prices: the long-term correlation between signs and sizes.(2008) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2008The virtues and vices of equilibrium and the future of financial economics In: Papers.
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2008The Virtues and Vices of Equilibrium and the Future of Financial Economics.(2008) In: Levine's Working Paper Archive.
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2008The Virtues and Vices of Equilibrium and the Future of Financial Economics.(2008) In: Cowles Foundation Discussion Papers.
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2010What drives mutual fund asset concentration? In: Papers.
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2008How markets slowly digest changes in supply and demand In: Papers.
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2009Studies of the limit order book around large price changes In: Papers.
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2009Studies of the limit order book around large price changes.(2009) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2009The Reality Game In: Papers.
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2009The reality game.(2009) In: Journal of Economic Dynamics and Control.
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2009Market impact and trading profile of large trading orders in stock markets In: Papers.
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2010Leverage Causes Fat Tails and Clustered Volatility In: Papers.
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2010Leverage Causes Fat Tails and Clustered Volatility.(2010) In: Cowles Foundation Discussion Papers.
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2011Leverage Causes Fat Tails and Clustered Volatility.(2011) In: Cowles Foundation Discussion Papers.
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2012Leverage causes fat tails and clustered volatility.(2012) In: Quantitative Finance.
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2011Segmentation algorithm for non-stationary compound Poisson processes In: Papers.
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2010Segmentation algorithm for non-stationary compound Poisson processes.(2010) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2010An empirical study of the tails of mutual fund size In: Papers.
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2013How efficiency shapes market impact.(2013) In: Quantitative Finance.
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2012How does the market react to your order flow? In: Papers.
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2012How does the market react to your order flow?.(2012) In: Quantitative Finance.
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2014Why is order flow so persistent? In: Papers.
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2011Heterogeneity, correlations and financial contagion In: Papers.
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2012HETEROGENEITY, CORRELATIONS AND FINANCIAL CONTAGION.(2012) In: Advances in Complex Systems (ACS).
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2012A proposal for impact-adjusted valuation: Critical leverage and execution risk In: Papers.
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2012Statistical Basis for Predicting Technological Progress In: Papers.
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2012Stability analysis of financial contagion due to overlapping portfolios In: Papers.
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2014Stability analysis of financial contagion due to overlapping portfolios.(2014) In: Journal of Banking & Finance.
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2014Leverage-induced systemic risk under Basle II and other credit risk policies In: Papers.
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2014Leverage-induced systemic risk under Basle II and other credit risk policies.(2014) In: Journal of Banking & Finance.
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2013How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network In: Papers.
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2014The dynamics of the leverage cycle In: Papers.
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2015The dynamics of the leverage cycle.(2015) In: Journal of Economic Dynamics and Control.
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2014Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate In: Papers.
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2016How predictable is technological progress?.(2016) In: Research Policy.
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2015The Intrafirm Complexity of Systemically Important Financial Institutions In: Papers.
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2015Taming the Basel Leverage Cycle In: Papers.
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2016Taming the Basel leverage cycle.(2016) In: Journal of Financial Stability.
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2015Taming the Basel leverage cycle.(2015) In: LSE Research Online Documents on Economics.
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2016Taming the Basel leverage cycle.(2016) In: LSE Research Online Documents on Economics.
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2016The prevalence of chaotic dynamics in games with many players In: Papers.
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2017How well do experience curves predict technological progress? A method for making distributional forecasts In: Papers.
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2018How well do experience curves predict technological progress? A method for making distributional forecasts.(2018) In: Technological Forecasting and Social Change.
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2018Best reply structure and equilibrium convergence in generic games In: Papers.
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2000The price dynamics of common trading strategies In: Papers.
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2002The price dynamics of common trading strategies.(2002) In: Journal of Economic Behavior & Organization.
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2000The Price Dynamics of Common Trading Strategies.(2000) In: Working Papers.
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2002A quantitative model of trading and price formation in financial markets In: Papers.
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2002Single Curve Collapse of the Price Impact Function for the New York Stock Exchange In: Papers.
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2002Statistical theory of the continuous double auction In: Papers.
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2003Statistical theory of the continuous double auction.(2003) In: Quantitative Finance.
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2004The Predictive Power of Zero Intelligence in Financial Markets In: Papers.
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2004The long memory of the efficient market In: Papers.
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2004The Long Memory of the Efficient Market.(2004) In: Studies in Nonlinear Dynamics & Econometrics.
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2004What really causes large price changes? In: Papers.
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2005A theory for long-memory in supply and demand In: Papers.
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2005Theres more to volatility than volume In: Papers.
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2006Theres more to volatility than volume.(2006) In: Quantitative Finance.
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2006Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary? In: Papers.
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2006Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?.(2006) In: Quantitative Finance.
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2006Mechanical vs. informational components of price impact In: Papers.
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2007Mechanical vs. informational components of price impact.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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2001Evaluation of Traffic Injury Prevention Programs Using Counting Process Approaches In: Journal of the American Statistical Association.
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2014Resilient and Inclusive Prosperity within Planetary Boundaries In: China & World Economy.
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2016Macroprudential policy in an agent-based model of the UK housing market In: Bank of England working papers.
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2017Discounting the distant future: What do historical bond prices imply about the long term discount rate? In: LABORatorio R. Revelli Working Papers Series.
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2009Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates In: Levine's Working Paper Archive.
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2009Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates.(2009) In: Cowles Foundation Discussion Papers.
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2005Economics: the next physical science? In: Cowles Foundation Discussion Papers.
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2008Introduction to special issue on `Applications of Statistical Physics in Economics and Finance In: Journal of Economic Dynamics and Control.
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1998Market Force, Ecology, and Evolution.(1998) In: Research in Economics.
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2001Market making, price formation, and technical trading In: Computing in Economics and Finance 2001.
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2002The power of patience: a behavioural regularity in limit-order placement In: Quantitative Finance.
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2002Optimal Design, Robustness, and Risk Aversion In: Working Papers.
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1999Frontiers of Finance: Evolution and Efficient Markets In: Working Papers.
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1999Physicists Attempt to Scale the Ivory Towers of Finance In: Working Papers.
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2000PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
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