J. Doyne Farmer : Citation Profile


Are you J. Doyne Farmer?

Oxford University

24

H index

37

i10 index

2118

Citations

RESEARCH PRODUCTION:

40

Articles

71

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 105
   Journals where J. Doyne Farmer has often published
   Relations with other researchers
   Recent citing documents: 219.    Total self citations: 43 (1.99 %)

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   Permalink: http://citec.repec.org/pfa201
   Updated: 2021-09-25    RAS profile: 2019-01-18    
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Relations with other researchers


Works with:

Lafond, François (4)

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 (60)

Zhou, Wei-Xing (54)

Napoletano, Mauro (52)

Roventini, Andrea (48)

Hommes, Cars (33)

He, Xuezhong (32)

Challet, Damien (26)

Chiarella, Carl (24)

Potters, Marc (23)

Fagiolo, Giorgio (23)

Fricke, Daniel (19)

Cites to:

Shleifer, Andrei (17)

Lebaron, Blake (16)

Gerig, Austin (14)

Shin, Hyun Song (13)

Gabaix, Xavier (12)

Iori, Giulia (12)

Weitzman, Martin (12)

Potters, Marc (12)

Challet, Damien (10)

Nordhaus, William (9)

Kapadia, Sujit (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
Journal of Banking & Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2

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 (2021 and 2020)


YearTitle of citing document
2020.

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2020.

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2021.

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2021.

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2021.

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2020Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101.

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2020Optimal 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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2020The market nanostructure origin of asset price time reversal asymmetry. (2019). Challet, Damien ; Kassibrakis, Serge ; Cordi, Marcus. In: Papers. RePEc:arx:papers:1901.00834.

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2021A 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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2021Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

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2020Pure 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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2020Risk-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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2020Endogenous Liquidity Crises. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:1912.00359.

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2020A simple microstructural explanation of concave pice impact. (2020). Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:2001.01860.

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2020Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc. In: Papers. RePEc:arx:papers:2002.03319.

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2020Technological interdependencies predict innovation dynamics. (2020). Lafond, François ; Farmer, Doyne J ; Pichler, Anton. In: Papers. RePEc:arx:papers:2003.00580.

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2020Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics. (2020). Waelbroeck, Henri ; Ccetin, Umut. In: Papers. RePEc:arx:papers:2003.04425.

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2020On the structure of the world economy: An absorbing Markov chain approach. (2020). Kocarev, Ljupco ; Stojkoski, Viktor ; Kostoska, Olivera. In: Papers. RePEc:arx:papers:2003.05204.

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2021Market Efficient Portfolios in a Systemic Economy. (2020). Weber, Stefan ; Capponi, Agostino ; Awiszus, Kerstin. In: Papers. RePEc:arx:papers:2003.10121.

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2021Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2020Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large scale agent-based model. (2020). Harre, Michael ; Ormerod, Paul ; Carro, Adrian ; Prokopenko, Mikhail ; Glavatskiy, Kirill S. In: Papers. RePEc:arx:papers:2004.07571.

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2020The rise of science in low-carbon energy technologies. (2020). Lafond, François ; Pichler, Anton ; Hotte, Kerstin. In: Papers. RePEc:arx:papers:2004.09959.

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2021Order book dynamics in the presence of liquidity fluctuations. (2020). Yambartsev, Anatoly ; Rojas, Helder. In: Papers. RePEc:arx:papers:2004.10632.

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2021The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

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2020Technological improvement rate estimates for all technologies: Use of patent data and an extended domain description. (2020). Magee, Christopher L ; Triulzi, Giorgio ; Singh, Anuraag. In: Papers. RePEc:arx:papers:2004.13919.

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2020Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:2005.05730.

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2020Dynamic Coupling and Market Instability. (2020). Zaparanuks, Dmitrijs ; Court, Elias ; Clack, Christopher D. In: Papers. RePEc:arx:papers:2005.13621.

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2020Evidence of Crowding on Russell 3000 Reconstitution Events. (2020). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2006.07456.

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2020Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110.

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2020Inversion-free Leontief inverse: statistical regularities in input-output analysis from partial information. (2020). Vivo, Pierpaolo ; Caravelli, Francesco ; Caccioli, Fabio ; Bartolucci, Silvia. In: Papers. RePEc:arx:papers:2009.06350.

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2021How Market Ecology Explains Market Malfunction. (2021). Farmer, Doyne J ; Calinescu, Anisoara ; Scholl, Maarten P. In: Papers. RePEc:arx:papers:2009.09454.

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2020Price response functions and spread impact in correlated financial markets. (2020). Krause, Sebastian M ; Henao-Londono, Juan C ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2010.15105.

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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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2020The Frequency of Convergent Games under Best-Response Dynamics. (2020). Heinrich, Torsten ; Wiese, Samuel C. In: Papers. RePEc:arx:papers:2011.01052.

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2020Comparing the market microstructure between two South African exchanges. (2020). Chang, Patrick ; Jericevich, Ivan ; Gebbie, Tim. In: Papers. RePEc:arx:papers:2011.04367.

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2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2021A Stationary Kyle Setup: Microfounding propagator models. (2020). , Bence ; Mastromatteo, Iacopo ; Vodret, Michele ; Benzaquen, Michael. In: Papers. RePEc:arx:papers:2011.10242.

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2021The Epps effect under alternative sampling schemes. (2020). Gebbie, Tim ; Pienaar, Etienne ; Chang, Patrick. In: Papers. RePEc:arx:papers:2011.11281.

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2020Heavy tailed distributions in closing auctions. (2020). Kleijn, B ; Derksen, M ; de Vilder, R. In: Papers. RePEc:arx:papers:2012.10145.

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2021Best-response dynamics, playing sequences, and convergence to equilibrium in random games. (2021). Tarbush, Bassel ; Scott, Alex ; Pangallo, Marco ; Mungo, Luca ; Jang, Yoojin ; Heinrich, Torsten ; Wiese, Samuel. In: Papers. RePEc:arx:papers:2101.04222.

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2021PolicySpace2: modeling markets and endogenous housing policies. (2021). Furtado, Bernardo Alves. In: Papers. RePEc:arx:papers:2102.11929.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Technical Note: Parameterised-Response Zero-Intelligence (PRZI) Traders. (2021). Cliff, Dave. In: Papers. RePEc:arx:papers:2103.11341.

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2021Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2103.15302.

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2021Calibrating an adaptive Farmer-Joshi agent-based model for financial markets. (2021). Jericevich, Ivan ; Gebbie, Tim ; McKechnie, Murray. In: Papers. RePEc:arx:papers:2104.09863.

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2021Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2021Order flow and price formation. (2021). Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2105.00521.

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2021Order flow in the financial markets from the perspective of the Fractional L\{e}vy stable motion. (2021). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2105.02057.

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2021Simulation and estimation of a point-process market-model with a matching engine. (2021). Jericevich, Ivan ; Gebbie, Tim ; Chang, Patrick. In: Papers. RePEc:arx:papers:2105.02211.

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2021Trading with the Crowd. (2021). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2106.09267.

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2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: Papers. RePEc:arx:papers:2106.14168.

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2021Financial Markets and the Phase Transition between Water and Steam. (2021). Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2107.03857.

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2021The Inelastic Market Hypothesis: A Microstructural Interpretation. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2108.00242.

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2021Understanding the nature of the long-range memory phenomenon in socioeconomic systems. (2021). Gontis, Vygintas ; Kaulakys, Bronislovas ; Kononovicius, Aleksejus ; Kazakevicius, Rytis. In: Papers. RePEc:arx:papers:2108.02506.

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2021Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets. (2021). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2108.09750.

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2020Shadow Economy and Populism – Risk and Uncertainty Factors for Establishing Low-Carbon Economy of Balkan Countries (Case Study for Bulgaria). (2020). Nozharov, Shteryo ; Nikolova, Nina. In: Economic Studies journal. RePEc:bas:econst:y:2020:i:3:p:121-144.

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2020Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540.

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2020Securities cross-holding in the Colombian financial system: A topological approach. (2020). León, Carlos ; Miguelez, Javier ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1134.

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2020Contagion Accounting. (2020). Kok, Christoffer ; Aldasoro, Iñaki ; Sorensen, Christoffer Kok ; Huser, Anne-Caroline. In: BIS Working Papers. RePEc:bis:biswps:908.

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2020Margin trading and price efficiency: information content or price‐adjustment speed?. (2020). Lv, Dayong ; Wu, Wenfeng. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2889-2918.

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2020Environmental policies, national culture, and stock price crash risk: Evidence from renewable energy firms. (2020). Yildiz, Yilmaz ; YilmazYildiz, ; Karan, Mehmet Baha. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:29:y:2020:i:6:p:2374-2391.

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2020Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281.

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2020Network valuation in financial systems. (2020). D'Errico, Marco ; Caccioli, Fabio ; Bardoscia, Marco ; Barucca, Paolo ; Battiston, Stefano ; Caldarelli, Guido ; Visentin, Gabriele. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204.

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2020No‐arbitrage implies power‐law market impact and rough volatility. (2020). Rosenbaum, Mathieu ; Jusselin, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1309-1336.

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2020Foundations of system-wide financial stress testing with heterogeneous institutions. (2020). Wetzer, Thom ; Nahai-Williamson, Paul ; Kleinnijenhuis, Alissa M ; Farmer, Doyne J. In: Bank of England working papers. RePEc:boe:boeewp:0861.

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2021Modelling fire sale contagion across banks and non-banks. (2020). Ferrara, Gerardo ; Ramadiah, Amanah ; Caccioli, Fabio. In: Bank of England working papers. RePEc:boe:boeewp:0878.

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2020Contagion accounting. (2020). Kok, Christoffer ; Aldasoro, Iñaki ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:0897.

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2020Climate Finance Intermediation: Interest Spread Effects in a Climate Policy Model. (2020). Kalkuhl, Matthias ; Lessmann, Kai. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8380.

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2020Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc. In: DNB Working Papers. RePEc:dnb:dnbwpp:668.

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2020Cross-border spillover effects of macroprudential policies: a conceptual framework. (2020). Reinhardt, Dennis ; Kok, Christoffer ; On, Task Force . In: Occasional Paper Series. RePEc:ecb:ecbops:2020242.

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2020Simulating fire sales in a system of banks and asset managers. (2020). Żochowski, Dawid ; Calimani, Susanna ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20202373.

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2020The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios. (2020). Craig, Ben ; Paterlini, Sandra ; Giuzio, Margherita. In: Working Paper Series. RePEc:ecb:ecbwps:20202384.

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2020Fire sales by euro area banks and funds: what is their asset price impact?. (2020). Palligkinis, Spyros ; Pancaro, Cosimo ; Moccero, Diego ; Mirza, Harun. In: Working Paper Series. RePEc:ecb:ecbwps:20202491.

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2020Contagion accounting. (2020). Kok, Christoffer ; Aldasoro, Iñaki ; Huser, Anne-Caroline. In: Working Paper Series. RePEc:ecb:ecbwps:20202499.

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2021An algorithm for ranking the nodes of multiplex networks with data based on the PageRank concept. (2021). Vicent, Jose F ; Tortosa, Leandro ; Yeghikyan, Gevorg. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306299.

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2020Technological development of key domains in electric vehicles: Improvement rates, technology trajectories and key assignees. (2020). Magee, Christopher L ; Feng, Sida. In: Applied Energy. RePEc:eee:appene:v:260:y:2020:i:c:s0306261919319518.

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2020Peer-to-peer electricity trading in grid-connected residential communities with household distributed photovoltaic. (2020). Ma, Tao ; Li, Zhenpeng. In: Applied Energy. RePEc:eee:appene:v:278:y:2020:i:c:s0306261920311661.

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2020Hybrid input-output analysis of embodied energy security. (2020). Pratson, Lincoln F ; Shepard, Jun U. In: Applied Energy. RePEc:eee:appene:v:279:y:2020:i:c:s0306261920312873.

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2021Ammonia to power: Forecasting the levelized cost of electricity from green ammonia in large-scale power plants. (2021). Baares-Alcantara, Rene ; Mason, Mike ; Nayak-Luke, Richard ; Ives, Matthew ; Cesaro, Zac. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920314549.

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2020How government regulation of interbank financing impacts risk for Chinese commercial banks. (2020). Fu, Jingyuan ; Liu, Bai ; Wang, Shuyao ; Zhang, Ailian. In: Journal of Asian Economics. RePEc:eee:asieco:v:66:y:2020:i:c:s1049007819300983.

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2020Are individual investors irrational or adaptive to market dynamics?. (2020). Chary, Venkata Narasimha. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019300991.

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2020Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000.

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2021Generalized entropy plane based on multiscale weighted multivariate dispersion entropy for financial time series. (2021). Shang, Pengjian ; Wang, Zhuo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920308651.

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2021A finite population destroys a traveling wave in spatial replicator dynamics. (2021). Deforest, Russ ; Mummah, Riley ; Griffin, Christopher. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002009.

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2020Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. (2020). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301927.

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2020Reconstructing and stress testing credit networks. (2020). Ramadiah, Amanah ; Fricke, Daniel ; Caccioli, Fabio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930212x.

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2020A comparison of economic agent-based model calibration methods. (2020). Platt, Donovan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300294.

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2020Quantifying the concerns of Dimon and Buffett with data and computation. (2020). Oldham, Matthew. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300336.

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2020Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks. (2020). Grilli, Ruggero ; Gallegati, Mauro ; Tedeschi, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188918303476.

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2020What is the minimal systemic risk in financial exposure networks?. (2020). Pichler, Anton ; Diem, Christian ; Thurner, Stefan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300683.

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2020Winter is possibly not coming: Mitigating financial instability in an agent-based model with interbank market. (2020). Roventini, Andrea ; Napoletano, Mauro ; Popoyan, Lilit. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301056.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020The future of coal and renewable power generation in Australia: A review of market trends. (2020). de Silva, Nadeeka H ; Webb, Jeremy ; Wilson, Clevo. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:363-378.

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2020Housing market cycles in large urban areas. (2020). Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:257-267.

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2020Fire sales by euro area banks and funds: What is their asset price impact?. (2020). Palligkinis, Spyros ; Pancaro, Cosimo ; Moccero, Diego ; Mirza, Harun. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:430-444.

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2020Determining the information share of liquidity and order flows in extreme price movements. (2020). Long, Yunshen ; Liu, Chang ; Wu, Liang. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:559-575.

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2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

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2020Modelling contagion of financial crises. (2020). Chen, Zhenxi ; Huang, Weihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830069x.

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2020Capital regulation under price impacts and dynamic financial contagion. (2020). Feinstein, Zachary. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:2:p:449-463.

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2020Do banks change their liquidity ratios based on network characteristics?. (2020). TARAZI, Amine ; Ardekani, Aref Mahdavi ; Distinguin, Isabelle. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:789-803.

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2020How to accelerate green technology diffusion? Directed technological change in the presence of coevolving absorptive capacity. (2020). Hotte, Kerstin. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303603.

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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.
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article89
2012Getting at Systemic Risk via an Agent-Based Model of the Housing Market.(2012) In: Cowles Foundation Discussion Papers.
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2007An empirical behavioral model of liquidity and volatility In: Papers.
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2008An empirical behavioral model of liquidity and volatility.(2008) In: Journal of Economic Dynamics and Control.
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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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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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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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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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2018Interpreting Economic Complexity 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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2004What really causes large price changes?.(2004) In: Quantitative Finance.
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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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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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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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