Perelló, Josep; Montero, Miquel; Masoliver, Jaume; Farmer, J. Doyne; Geanakoplos, John Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation. (English) Zbl 1456.91124 J. Stat. Mech. Theory Exp. 2020, No. 4, Article ID 043210, 21 p. (2020). MSC: 91G30 62P05 91B76 PDFBibTeX XMLCite \textit{J. Perelló} et al., J. Stat. Mech. Theory Exp. 2020, No. 4, Article ID 043210, 21 p. (2020; Zbl 1456.91124) Full Text: DOI arXiv
Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne Why is equity order flow so persistent? (English) Zbl 1402.91179 J. Econ. Dyn. Control 51, 218-239 (2015). MSC: 91B26 PDFBibTeX XMLCite \textit{B. Tóth} et al., J. Econ. Dyn. Control 51, 218--239 (2015; Zbl 1402.91179) Full Text: DOI arXiv
Aymanns, Christoph; Farmer, J. Doyne The dynamics of the leverage cycle. (English) Zbl 1402.91901 J. Econ. Dyn. Control 50, 155-179 (2015). MSC: 91G70 91G80 PDFBibTeX XMLCite \textit{C. Aymanns} and \textit{J. D. Farmer}, J. Econ. Dyn. Control 50, 155--179 (2015; Zbl 1402.91901) Full Text: DOI arXiv
Klimek, Peter; Poledna, Sebastian; Doyne Farmer, J.; Thurner, Stefan To bail-out or to bail-in? Answers from an agent-based model. (English) Zbl 1402.91955 J. Econ. Dyn. Control 50, 144-154 (2015). MSC: 91G80 91B69 PDFBibTeX XMLCite \textit{P. Klimek} et al., J. Econ. Dyn. Control 50, 144--154 (2015; Zbl 1402.91955) Full Text: DOI arXiv Link
Farmer, J. Doyne; Gerig, Austin; Lillo, Fabrizio; Waelbroeck, Henri How efficiency shapes market impact. (English) Zbl 1284.91518 Quant. Finance 13, No. 11, 1743-1758 (2013). MSC: 91G10 PDFBibTeX XMLCite \textit{J. D. Farmer} et al., Quant. Finance 13, No. 11, 1743--1758 (2013; Zbl 1284.91518) Full Text: DOI arXiv
Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John Leverage causes fat tails and clustered volatility. (English) Zbl 1278.91154 Quant. Finance 12, No. 5, 695-707 (2012). MSC: 91G10 91B84 91G70 PDFBibTeX XMLCite \textit{S. Thurner} et al., Quant. Finance 12, No. 5, 695--707 (2012; Zbl 1278.91154) Full Text: DOI arXiv
Tóth, B.; Kertész, J.; Farmer, J. D. Studies of the limit order book around large price changes. (English) Zbl 1188.91165 Eur. Phys. J. B, Condens. Matter Complex Syst. 71, No. 4, 499-510 (2009). MSC: 91B80 91B24 PDFBibTeX XMLCite \textit{B. Tóth} et al., Eur. Phys. J. B, Condens. Matter Complex Syst. 71, No. 4, 499--510 (2009; Zbl 1188.91165) Full Text: DOI arXiv
La Spada, G.; Farmer, J. D.; Lillo, F. The non-random walk of stock prices: the long-term correlation between signs and sizes. (English) Zbl 1189.91226 Eur. Phys. J. B, Condens. Matter Complex Syst. 64, No. 3-4, 607-614 (2008). MSC: 91G70 91B84 91B80 PDFBibTeX XMLCite \textit{G. La Spada} et al., Eur. Phys. J. B, Condens. Matter Complex Syst. 64, No. 3--4, 607--614 (2008; Zbl 1189.91226) Full Text: DOI arXiv
Farmer, J. Doyne; Zamani, N. Mechanical vs. informational components of price impact. (English) Zbl 1189.91059 Eur. Phys. J. B, Condens. Matter Complex Syst. 55, No. 2, 189-200 (2007). MSC: 91B24 PDFBibTeX XMLCite \textit{J. D. Farmer} and \textit{N. Zamani}, Eur. Phys. J. B, Condens. Matter Complex Syst. 55, No. 2, 189--200 (2007; Zbl 1189.91059) Full Text: DOI arXiv
Farmer, J. Doyne; Gerig, Austin; Lillo, Fabrizio; Mike, Szabolcs Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? (English) Zbl 1136.91565 Quant. Finance 6, No. 2, 107-112 (2006). MSC: 91B84 62P05 91B26 91B24 91B42 PDFBibTeX XMLCite \textit{J. D. Farmer} et al., Quant. Finance 6, No. 2, 107--112 (2006; Zbl 1136.91565) Full Text: DOI arXiv
Farmer, J. Doyne; Gillemot, László; Lillo, Fabrizio; Mike, Szabolcs; Sen, Anindya What really causes large price changes? (English) Zbl 1405.91738 Quant. Finance 4, No. 4, 383-397 (2004). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{J. D. Farmer} et al., Quant. Finance 4, No. 4, 383--397 (2004; Zbl 1405.91738) Full Text: DOI arXiv
Farmer, J. Doyne; Lillo, Fabrizio On the origin of power-law tails in price fluctuations. (English) Zbl 1405.91551 Quant. Finance 4, No. 1, 7-11 (2004). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{J. D. Farmer} and \textit{F. Lillo}, Quant. Finance 4, No. 1, 7--11 (2004; Zbl 1405.91551) Full Text: DOI arXiv
Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya Statistical theory of the continuous double auction. (English) Zbl 1405.91241 Quant. Finance 3, No. 6, 481-514 (2003). MSC: 91B26 91G10 62P05 PDFBibTeX XMLCite \textit{E. Smith} et al., Quant. Finance 3, No. 6, 481--514 (2003; Zbl 1405.91241) Full Text: DOI arXiv
Iori, G.; Daniels, M. G.; Farmer, J. D.; Gillemot, L.; Krishnamurthy, S.; Smith, E. An analysis of price impact function in order-driven markets. (English) Zbl 1072.91566 Physica A 324, No. 1-2, 146-151 (2003). MSC: 91B26 91B24 PDFBibTeX XMLCite \textit{G. Iori} et al., Physica A 324, No. 1--2, 146--151 (2003; Zbl 1072.91566) Full Text: DOI
Zovko, Ilija; Farmer, J. Doyne The power of patience: a behavioural regularity in limit-order placement. (English) Zbl 1405.91773 Quant. Finance 2, No. 5, 387-392 (2002). MSC: 91G99 62P05 62M10 PDFBibTeX XMLCite \textit{I. Zovko} and \textit{J. D. Farmer}, Quant. Finance 2, No. 5, 387--392 (2002; Zbl 1405.91773) Full Text: DOI arXiv