J. Doyne Farmer : Citation Profile


Are you J. Doyne Farmer?

Santa Fe Institute

19

H index

23

i10 index

1289

Citations

RESEARCH PRODUCTION:

24

Articles

51

Papers

RESEARCH ACTIVITY:

   16 years (1998 - 2014). See details.
   Cites by year: 80
   Journals where J. Doyne Farmer has often published
   Relations with other researchers
   Recent citing documents: 130.    Total self citations: 21 (1.6 %)

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   Permalink: http://citec.repec.org/pfa201
   Updated: 2018-11-17    RAS profile: 2014-09-11    
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Relations with other researchers


Works with:

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)

He, Xuezhong (29)

Hommes, Cars (28)

Chiarella, Carl (24)

Roventini, Andrea (23)

Napoletano, Mauro (21)

Fagiolo, Giorgio (18)

Potters, Marc (18)

Iori, Giulia (16)

Challet, Damien (15)

Lo, Andrew (13)

Cites to:

Lebaron, Blake (12)

Potters, Marc (10)

Gabaix, Xavier (9)

Iori, Giulia (9)

Challet, Damien (9)

Wang, Jianxin (8)

Domowitz, Ian (8)

Gerig, Austin (8)

Lo, Andrew (7)

Brock, William (7)

Hommes, Cars (7)

Main data


Where J. Doyne Farmer has published?


Journals with more than one article published# docs
Quantitative Finance10
The European Physical Journal B: Condensed Matter and Complex Systems4
Journal of Economic Dynamics and Control3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org34
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University6

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). Morariu-Patrichi, Maxime ; Pakkanen, Mikko. In: CREATES Research Papers. RePEc:aah:create:2018-26.

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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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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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2017Dynamic 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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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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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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2018Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. (2018). Lafond, François ; Panchenko, Valentyn ; Lillo, Fabrizio ; Farmer, Doyne J ; Way, Rupert . In: Papers. RePEc:arx:papers:1705.03423.

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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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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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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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2018Market 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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2018Equilibrium 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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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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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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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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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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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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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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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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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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2017Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:322-333.

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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows. (2017). Le Fol, Gaelle ; darolles, serge ; Mero, Gulten. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:367-383.

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2018Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171.

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2017Heavy tails and asymmetry of returns in the Russian stock market. (2017). Ankudinov, Andrei ; Ibragimov, Rustam ; Lebedev, Oleg . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:200-219.

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2018Limits to growth redux: A system dynamics model for assessing energy and climate change constraints to global growth. (2018). Ansell, Thomas ; Cayzer, Steve. In: Energy Policy. RePEc:eee:enepol:v:120:y:2018:i:c:p:514-525.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51.

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2017Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?. (2017). Chattopadhyay, Manojit ; Mitra, Subrata Kumar ; Kannadhasan, M ; Bawa, Jaslene ; Goyal, Vinay. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:269-273.

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2017Identifying events in financial time series – A new approach with bipower variation. (2017). Andor, Gyorgy ; Bohak, Andras . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48.

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2017An empirically grounded agent based simulator for the air traffic management in the SESAR scenario. (2017). Gurtner, G ; Miccich, S ; Ducci, M ; Bongiorno, C. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:59:y:2017:i:c:p:26-43.

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2017Taming macroeconomic instability: Monetary and macro-prudential policy interactions in an agent-based model. (2017). Roventini, Andrea ; Popoyan, Lilit ; Napoletano, Mauro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:134:y:2017:i:c:p:117-140.

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2018Inequality, household debt and financial instability: An agent-based perspective. (2018). Cardaci, Alberto. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:149:y:2018:i:c:p:434-458.

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2017Post-hit dynamics of price limit hits in the Chinese stock markets. (2017). Li, Ming-Xia ; Wang, Yue ; Wu, Ting. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:464-471.

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2017Value of the distant future: Model-independent results. (2017). Katz, Yuri A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:269-276.

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2017Deviations in expected price impact for small transaction volumes under fee restructuring. (2017). Wilcox, D ; Harvey, M ; Hendricks, D ; Gebbie, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:416-426.

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2017Structural break detection method based on the Adaptive Regression Splines technique. (2017). Kucharczyk, Daniel ; Zimroz, Radosaw ; Wyomaska, Agnieszka. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:499-511.

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2017Nonlinear complexity of random visibility graph and Lempel-Ziv on multitype range-intensity interacting financial dynamics. (2017). Zhang, Yali ; Wang, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:741-756.

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2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperue, Waldo ; Basgall, Maria Jose . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:82-90.

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2017Low-traffic limit and first-passage times for a simple model of the continuous double auction. (2017). Scalas, Enrico ; Radivojevi, Tijana ; Rapallo, Fabio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:61-72.

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2018Optimal execution with price impact under Cumulative Prospect Theory. (2018). Li, Xindan ; Zhao, Jingdong ; Zhu, Hongliang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1228-1237.

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2018Variance change point detection for fractional Brownian motion based on the likelihood ratio test. (2018). Kucharczyk, Daniel ; Wyomaska, Agnieszka ; Sikora, Grzegorz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:439-450.

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2018Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders. (2018). Zhong, Li-Xin ; He, Yun-Xing ; Ren, Fei ; Qiu, Tian ; Chen, Rong-Da ; Xu, Wen-Juan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:301-310.

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2018Modeling and complexity of stochastic interacting Lévy type financial price dynamics. (2018). Wang, Yiduan ; Zhang, Wei ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:498-511.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1075-1083.

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2018Ising model, econophysics and analogies. (2018). Schinckus, Christophe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:95-103.

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2018Empirical scaling relations of market event rates in foreign currency market. (2018). Boilard, J.-F., ; Takayasu, M ; Kanazawa, K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1152-1161.

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2018Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Begui, Stjepan ; Podobnik, Boris ; Stanley, Eugene H ; Kostanjar, Zvonko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:400-406.

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2017Cost of power or power of cost: A U.S. modeling perspective. (2017). Muratori, Matteo ; Edmonds, Jae ; Clarke, Leon E ; Kheshgi, Haroon S ; Wise, Marshall ; Kim, Son H ; Patel, Pralit ; Kyle, Page ; McJeon, Haewon ; Ledna, Catherine . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:861-874.

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2018The experience curve theory and its application in the field of electricity generation technologies – A literature review. (2018). Samadi, Sascha. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:82:y:2018:i:p3:p:2346-2364.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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2017Feedback trading in stock index futures: Evidence from South Africa. (2017). Charteris, Ailie ; Musadziruma, Arnold. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1289-1297.

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2017Capability satisficing in high frequency trading. (2017). van Vliet, Ben. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:509-521.

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2017Statistical inference for ergodic point processes and application to Limit Order Book. (2017). Clinet, Simon ; Yoshida, Nakahiro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1800-1839.

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2017A one-level limit order book model with memory and variable spread. (2017). Chavez-Casillas, Jonathan A ; Figueroa-Lopez, Jose E. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2447-2481.

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2017Integrated crisis-energy policy: Macro-evolutionary modelling of technology, finance and energy interactions. (2017). van den Bergh, Jeroen ; Safarzynska, Karolina ; Safarzyska, Karolina. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:114:y:2017:i:c:p:119-137.

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2017A simple extension of dematerialization theory: Incorporation of technical progress and the rebound effect. (2017). Magee, Christopher L ; Devezas, Tessaleno C. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:117:y:2017:i:c:p:196-205.

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2017.

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2017Nuclear Power Learning and Deployment Rates; Disruption and Global Benefits Forgone. (2017). Lang, Peter A. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:12:p:2169-:d:123388.

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2018Three Different Ways Synchronization Can Cause Contagion in Financial Markets. (2018). Massad, Naji ; Andersen, Jorgen Vitting. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:104-:d:171293.

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2018How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS. (2018). Guo, Jianfeng ; Liu, Yinpeng ; Feng, Lianyong ; Yang, Guang ; Su, Bin. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3255-:d:169312.

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2017Three different ways synchronization can cause contagion in financial markets. (2017). Massad, Naji ; Andersen, Jorgen-Vitting. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01673333.

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2018High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration. (2018). Lu, Xiaofei ; Abergel, Frederic. In: Post-Print. RePEc:hal:journl:hal-01686122.

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2017Modelling intensities of order flows in a limit order book. (2017). Toke, Ioane Muni ; Yoshida, Nakahiro. In: Post-Print. RePEc:hal:journl:hal-01705080.

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2017Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Leal, Sandrine Jacob ; Napoletano, Mauro. In: Post-Print. RePEc:hal:journl:hal-01768876.

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2017Limit order book modelling with high dimensional Hawkes processes. (2017). Lu, Xiaofei ; Abergel, Frederic. In: Working Papers. RePEc:hal:wpaper:hal-01512430.

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2018Market Impact: A systematic study of limit orders. (2018). Said, Emilio ; Abergel, Frederic ; Husson, Alexandre ; Hadj, Ahmed Bel. In: Working Papers. RePEc:hal:wpaper:hal-01561128.

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2018Optimal inventory management and order book modeling. (2018). Baradel, Nicolas ; Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-01710301.

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2018Market impact in a latent order book. (2018). Lemhadri, Ismael. In: Working Papers. RePEc:hal:wpaper:hal-01711192.

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2017Characterizing the financial cycle: evidence from a frequency domain analysis. (2017). Proaño, Christian ; Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: IMK Working Paper. RePEc:imk:wpaper:189-2017.

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2017Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns. (2017). Zhou, Jian ; Zhang, Wei ; Chen, Wei ; Xiong, Xiong ; Jiang, Zhi-Qiang ; Gu, Gao-Feng . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:4:d:10.1007_s10614-016-9612-1.

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2018The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market. (2018). Stanek, Filip ; Kukacka, Jiri. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9649-9.

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2018The impact of the financial crisis on the long-range memory of European corporate bond and stock markets. (2018). Fernandez Bariviera, Aurelio ; Terceo, Antonio ; Guercio, Belen M ; Martinez, Lisana B. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9340-8.

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2017Towards a New Austrian Macroeconomics. (2017). White, Lawrence ; Veetil, Vipin P. In: The Review of Austrian Economics. RePEc:kap:revaec:v:30:y:2017:i:1:d:10.1007_s11138-016-0354-z.

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2017Uncertain discount and hyperbolic preferences. (2017). Pennesi, Daniele. In: Theory and Decision. RePEc:kap:theord:v:83:y:2017:i:3:d:10.1007_s11238-017-9603-2.

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2017Hitelciklusok és anticiklikus tőkepuffer egy ágensalapú keynesi modellben. (2017). Hosszu, Zsuzsanna ; Mer, Bence . In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1694.

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2017A likviditás és a permanens árhatás szerepe a portfólióértékelésben. (2017). Hever, Judit. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1702.

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2017Three different ways synchronization can cause contagion in financial markets. (2017). Massad, Naji ; Andersen, Jorgen Vitting. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17059.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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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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article47
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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paper7
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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This paper has another version. Agregated cites: 7
article
2008The virtues and vices of equilibrium and the future of financial economics In: Papers.
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paper9
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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This paper has another version. Agregated cites: 9
paper
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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paper32
2009Studies of the limit order book around large price changes In: Papers.
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paper9
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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This paper has another version. Agregated cites: 9
article
2009The Reality Game In: Papers.
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paper1
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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paper53
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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paper
2012Leverage causes fat tails and clustered volatility.(2012) In: Quantitative Finance.
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This paper has another version. Agregated cites: 53
article
2011Segmentation algorithm for non-stationary compound Poisson processes In: Papers.
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paper9
2010Segmentation algorithm for non-stationary compound Poisson processes.(2010) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 9
article
2010An empirical study of the tails of mutual fund size In: Papers.
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2010Tick size and price diffusion In: Papers.
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2013How efficiency shapes market impact In: Papers.
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2012How does the market react to your order flow? In: Papers.
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paper8
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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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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paper11
2014Leverage-induced systemic risk under Basle II and other credit risk policies In: Papers.
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paper23
2000The price dynamics of common trading strategies In: Papers.
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paper209
2002The price dynamics of common trading strategies.(2002) In: Journal of Economic Behavior & Organization.
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This paper has another version. Agregated cites: 209
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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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paper6
2002Statistical theory of the continuous double auction In: Papers.
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paper88
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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2004On the origin of power law tails in price fluctuations In: Papers.
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paper36
2004The long memory of the efficient market In: Papers.
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paper74
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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paper89
2004What really causes large price changes?.(2004) In: Quantitative Finance.
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article
2005A theory for long-memory in supply and demand In: Papers.
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paper20
2005An empirical behavioral model of price formation In: Papers.
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paper6
2005Theres more to volatility than volume In: Papers.
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paper14
2006Theres more to volatility than volume.(2006) In: Quantitative Finance.
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This paper has another version. Agregated cites: 14
article
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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paper19
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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This paper has another version. Agregated cites: 19
article
2006Mechanical vs. informational components of price impact In: Papers.
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paper1
2007Mechanical vs. informational components of price impact.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 1
article
2001Evaluation of Traffic Injury Prevention Programs Using Counting Process Approaches In: Journal of the American Statistical Association.
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article1
2009Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates In: Levine's Working Paper Archive.
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paper9
2009Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates.(2009) In: Cowles Foundation Discussion Papers.
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paper
2005Economics: the next physical science? In: Cowles Foundation Discussion Papers.
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paper10
2008Introduction to special issue on `Applications of Statistical Physics in Economics and Finance In: Journal of Economic Dynamics and Control.
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article7
2011Historical costs of coal-fired electricity and implications for the future In: Energy Policy.
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article18
2003An analysis of price impact function in order-driven markets In: Physica A: Statistical Mechanics and its Applications.
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article9
2002Market force, ecology and evolution In: Industrial and Corporate Change.
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article92
1999Market Force, Ecology, and Evolution.(1999) In: Computing in Economics and Finance 1999.
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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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paper0
2011The unsmooth trajectory of Benoit Mandelbrot In: Quantitative Finance.
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article0
2002The power of patience: a behavioural regularity in limit-order placement In: Quantitative Finance.
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article37
2003Looking forward to the future In: Quantitative Finance.
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article0
2006Comment on Large stock price changes: volume or liquidity?, by Weber and Rosenow In: Quantitative Finance.
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article1
2001Chaos in Learning a Simple Two Person Game In: Working Papers.
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paper6
2002Demand Storage, Market Liquidity, and Price Volatility In: Working Papers.
[Citation analysis]
paper0
2002Optimal Design, Robustness, and Risk Aversion In: Working Papers.
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paper1
1999Frontiers of Finance: Evolution and Efficient Markets In: Working Papers.
[Citation analysis]
paper34
1999Physicists Attempt to Scale the Ivory Towers of Finance In: Working Papers.
[Citation analysis]
paper34

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