J. Doyne Farmer

Last updated
J. Doyne Farmer
J. Doyne Farmer.jpg
Born22 June 1952 (1952-06-22) (age 72)
Houston, Texas
NationalityAmerican
Alma mater Stanford University (BS)
University of California, Santa Cruz (PhD)
Scientific career
FieldsPhysics
Finance
Institutions Oxford University
Santa Fe Institute
Los Alamos National Laboratory

J. Doyne Farmer (born 22 June 1952) is an American complex systems scientist and entrepreneur with interests in chaos theory, complexity and econophysics. He is Baillie Gifford Professor of Complex Systems Science at the Smith School of Enterprise and the Environment, Oxford University, where he is also director of the Complexity Economics programme at the Institute for New Economic Thinking at the Oxford Martin School. Additionally he is an external professor at the Santa Fe Institute. His current research is on complexity economics, focusing on systemic risk in financial markets and technological progress. During his career he has made important contributions to complex systems, chaos, artificial life, theoretical biology, time series forecasting and econophysics. He co-founded Prediction Company, one of the first companies to do fully automated quantitative trading. While a graduate student he led a group that called itself Eudaemonic Enterprises and built the first wearable digital computer, which was used to beat the game of roulette. He is a founder and the Chief Scientist of Macrocosm Inc, a company devoted to scaling up complexity economics methods and reducing them to practice.

Contents

Farmer's book, Making Sense of Chaos: A Better Economics for a Better World was published by Allen Lane in April 2024. [1]

Biography

Early life

Though born in Houston, Texas, Farmer grew up in Silver City, New Mexico. He was strongly influenced by Tom Ingerson, a young physicist and Boy Scout leader who inspired his interest in science and adventure. [2] Scout activities included searching for an abandoned Spanish goldmine to fund a mission to Mars, a road trip to the Northwest Territories and backcountry camping in the Barranca del Cobre. [3] Farmer graduated from Stanford University in 1973 with a BS in physics and went to graduate school at the University of California, Santa Cruz, where he studied physical cosmology under George Blumenthal.

Beating roulette

While still in graduate school, Farmer and his childhood friend Norman Packard formed a group called Eudaemonic Enterprises. [2] Their goal was to beat the game of roulette and use the proceeds to form a science commune. [4] The word eudaemonia comes from Aristotle and refers to a state of enlightenment derived from a life lived in accordance with reason.

Farmer's shoe computer on display at the Heinz Nixdorf MuseumsForum ShoeComputer-3.jpg
Farmer's shoe computer on display at the Heinz Nixdorf MuseumsForum
The Eudaemonic Pie display, including Farmer's roulette shoe computer, at the Heinz Nixdorf MuseumsForum ShoeComputer-1.jpg
The Eudaemonic Pie display, including Farmer's roulette shoe computer, at the Heinz Nixdorf MuseumsForum

They bought a roulette wheel and did an extensive experimental and theoretical study of its physics. To execute their system, they built the first wearable digital computer, at roughly the same time as the first Apple desktop computer. Farmer hand-coded the three-kilobyte program for the computer in machine language. The program included a floating-point package, a sequencer to perform the calculation, and an operating system that functioned with toe inputs and vibrating outputs. The earliest version of the computer was hidden under the armpits, but a later version was concealed in a shoe. [2] [5]

Their scheme took advantage of the fact that typically more than ten seconds elapse from the time the croupier releases the ball until bets are closed. During this time one person measured the position and velocity of the ball and rotor using his big toe to click a switch in his shoe. The computer used this information to predict the likely landing position of the ball. A signal was relayed to a second person, who quickly placed the bets. They made over eleven trips to Las Vegas, Reno and Tahoe, and achieved a 20% advantage over the house, but suffered persistent hardware problems. This combined with their fear of violence at the hands of the casinos, so that they never played for high stakes and failed to realize the large sums they originally dreamed of. [2]

Chaos and the Dynamical Systems Collective

After the roulette project Farmer switched his dissertation topic to chaotic dynamics and joined together with James P. Crutchfield, Norman Packard, and Robert Shaw to found the Dynamical Systems Collective (subsequently known by others as the Chaos Cabal). Although they had the blessing of faculty members William L. Burke and Ralph Abraham, they essentially co-advised each other's PhD theses.[ citation needed ] Their most important contribution was a method for state space reconstruction, that made it possible to visualize and study chaotic attractors based only on a single time series. This has now been used to identify chaotic attractors and study their properties in a wide variety of physical systems. [6] In his PhD thesis in 1981 Farmer showed how varying a parameter of an infinite dimensional system could give rise to a sequence of successively more complicated chaotic attractors, resembling the transition to turbulence. He later developed a method for nonlinear time series forecasting that has been used for exploiting low dimensional chaos to make better short term forecasts. [7] Other work included an improved method for state space reconstruction, and a derivation of the fundamental limits in which this becomes impossible, so that the dynamics become inherently random. [7] [8] He and colleagues also developed a method for determining when chaos can be distinguished from the null hypothesis of a correlated linear random process. [9] [10]

Work

The Los Alamos Complex Systems Group

After finishing his doctorate in 1981, Farmer took a post-doctoral appointment at the Center for Nonlinear Studies at Los Alamos National Laboratory and received an Oppenheimer Fellowship in 1983. He developed an interest in what is now called complex systems and co-organized several seminal conferences in this area. [11] [12] [13] In 1988 he founded the Complex Systems Group in the Theoretical Division and recruited a group of postdoctoral fellows who subsequently became leaders in the field, including Kunihiko Kaneko, Chris Langton, Walter Fontana, Steen Rasmussen, David Wolpert, Stephanie Forrest, James Theiler and Seth Lloyd. [14]

Farmer and Norman Packard developed the concept of metadynamics , i.e. co-evolving networks and dynamical systems. For example, the nodes of the network might represent chemical species and the edges their possible reactions, whose kinetics give rise to a system of differential equations. As new species are produced the set of reactions changes and the kinetics are in turn altered. This concept was used to model the immune system and the origin of life. [15] Joint work with Richard Bagley produced a simulation of an autocatalytic set of polymers in which a few species are maintained at high concentration, with many of the properties of a metabolism; the autocatalytic set evolved through time in a manner resembling the evolution of living systems, but without a genetic code. [16] [17]

James Keeler and Farmer demonstrated that a system of coupled logistic maps could produce fluctuations with a 1/f power spectrum. [18] They showed that this occurred because the system continually tunes itself to stay near a critical point, a property that was later dubbed self-organized criticality by Per Bak.

Prediction Company

In 1991 Farmer gave up his position at Los Alamos, reunited with Norman Packard and graduate school classmate James McGill, and co-founded the Prediction Company. The prevailing view at the time was that markets were perfectly efficient, so that it was not possible to make consistent profits without inside information. [19] Farmer and Packard were motivated by their desire to prove this wrong. The trading strategy that was developed was an early version of statistical arbitrage, and made use of a variety of signals that derived from processing essentially all quantitative inputs related to the US stock market. It also included a high-frequency forecasting model as an overlay that reduced transaction costs. From 1996 onward, trading was completely automated. Farmer was one of the chief architects of the trading system as it existed in 1999. Prediction Company was sold to UBS in 2006 and in 2013 was re-sold to Millennium Management. The strategy was eventually shut down in 2018.

Market ecology

Farmer left Prediction Company in 1999 for the Santa Fe Institute, where he did interdisciplinary research at the interface of economics and complex systems, developed a theory of market ecology and was one of the founders of econophysics.

Market ecology is based on the observation that financial firms engage in specialized strategies and can be sorted into groups, analogous to species in biology. [20] Market impact limits the size of any particular strategy. Farmer showed how to a construct a market food web, that describes the way in which trading strategies influence each other's profits and size. The market food web is supported by fundamental economic activities, such as demand for liquidity, lending to the real economy and risk diversification. These create patterns in prices that are exploited by trading firms, who are analogous to predators in biology. Some strategies are stabilizing while others are destabilizing, and shifts in the market ecology can give rise to financial instabilities, e.g. booms and busts. These ideas had an important influence on the adaptive markets hypothesis. [21]

Econophysics and market microstructure

Farmer is considered one of the founders of the field of "econophysics".[ citation needed ] This is distinguished from economics by a more data-driven approach to building fundamental models, breaking away from the standard theoretical template used in economics of utility maximization and equilibrium. [22] Together with Michael Dempster of Cambridge, Farmer started a new journal called Quantitative Finance and served as the co-editor-in-chief for several years.

His contributions to market microstructure include the identification of several striking empirical regularities in financial markets, such as the extraordinary persistence of order flow. Fabrizio Lillo and Farmer observed that there are long periods where the orders flowing into the market are much more likely to be to buy than to sell, and vice versa, with correlations decaying very slowly as a power law. [23] He and his collaborators developed a zero intelligence model for the continuous double auction that was shown to predict the spread between bid and ask prices. [24] A variety of different empirical studies documented the law of market impact, which states that the average change in price due to an order entering the market is proportional to the square root of the order size. This law is remarkable as it is universal, in the sense that the functional form of market impact remains the same as long as markets are operating under "normal" conditions. [25] The work of him and his colleagues set the foundation that was eventually developed by the group of Jean-Philippe Bouchaud. [26]

Leverage cycles and financial stability

The crisis of 2008 is widely believed to have been an example of a leverage cycle, in which lending first becomes too loose and then becomes too tight. [27] An agent-based model for leveraged value investors shows how the use of leverage can explain the fat tails and clustered volatility observed in financial markets. [28] Similarly, the use of Value at Risk, as embodied in Basel II, can lead to a cycle in which leverage and prices slowly rise while volatility falls, followed by a crash in which prices and leverage plummet while volatility spikes upward, resembling the Great Moderation and subsequent crisis. [29] Farmer is an editor of the Handbook of Financial Stress Testing. [30]

Predicting technological progress

Although innovation might seem by its very nature to be unpredictable, in fact there are several empirical regularities that suggest the opposite. Together with several colleagues Farmer developed a theory for explaining Wright's law, which states that costs drop as a power law function of cumulative production. [31] By gathering data on many different technologies, this can be shown to be closely related to Moore's law, which can be used to make reliable forecasts for technological progress under business as usual scenarios. [32] [33] Recently, in a paper in collaboration with J. McNerney, J. Savoie, F. Caravelli and V. Carvalho, it was shown that the position of an industry in the global production network is an important determinant of its long term growth. [34]

Macroeconomics and COVID19

Responding to the COVID pandemic, together with François Lafond, Penny Mealy, Marco Pangallo, Anton Pichler and R. Maria del Rio Chanona, Farmer’s group at Oxford correctly predicted the impact of COVID on the UK economy. [35] [36] In a separate effort, Asano et al. have shown how extending a standard macroeconomic model by assuming that households make their savings decisions by copying each other leads to behavior that resembles an endogenous business cycle. [37]

Other interests

Farmer has written about science and adventure and is an avid sailor and backpacker.

Farmer and Packard's work on roulette, along with their adventures in the casinos of Nevada, has been featured in the 2004 Breaking Vegas documentary series, "Beat the Wheel".

See also

Related Research Articles

<span class="mw-page-title-main">Chaos theory</span> Field of mathematics and science based on non-linear systems and initial conditions

Chaos theory is an interdisciplinary area of scientific study and branch of mathematics. It focuses on underlying patterns and deterministic laws of dynamical systems that are highly sensitive to initial conditions. These were once thought to have completely random states of disorder and irregularities. Chaos theory states that within the apparent randomness of chaotic complex systems, there are underlying patterns, interconnection, constant feedback loops, repetition, self-similarity, fractals and self-organization. The butterfly effect, an underlying principle of chaos, describes how a small change in one state of a deterministic nonlinear system can result in large differences in a later state. A metaphor for this behavior is that a butterfly flapping its wings in Brazil can cause a tornado in Texas.

A complex system is a system composed of many components which may interact with each other. Examples of complex systems are Earth's global climate, organisms, the human brain, infrastructure such as power grid, transportation or communication systems, complex software and electronic systems, social and economic organizations, an ecosystem, a living cell, and, ultimately, for some authors, the entire universe.

<span class="mw-page-title-main">Edge of chaos</span> Transition space between order and disorder

The edge of chaos is a transition space between order and disorder that is hypothesized to exist within a wide variety of systems. This transition zone is a region of bounded instability that engenders a constant dynamic interplay between order and disorder.

Econophysics is a non-orthodox interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and nonlinear dynamics. Some of its application to the study of financial markets has also been termed statistical finance referring to its roots in statistical physics. Econophysics is closely related to social physics.

<span class="mw-page-title-main">Norman Packard</span> American chaos theory physicist

Norman Harry Packard is a chaos theory physicist and one of the founders of the Prediction Company and ProtoLife. He is an alumnus of Reed College and the University of California, Santa Cruz. Packard is known for his contributions to chaos theory, complex systems, and artificial life. He coined the phrase "the edge of chaos".

<span class="mw-page-title-main">Lorenz system</span> System of ordinary differential equations with chaotic solutions

The Lorenz system is a system of ordinary differential equations first studied by mathematician and meteorologist Edward Lorenz. It is notable for having chaotic solutions for certain parameter values and initial conditions. In particular, the Lorenz attractor is a set of chaotic solutions of the Lorenz system. The term "butterfly effect" in popular media may stem from the real-world implications of the Lorenz attractor, namely that tiny changes in initial conditions evolve to completely different trajectories. This underscores that chaotic systems can be completely deterministic and yet still be inherently impractical or even impossible to predict over longer periods of time. For example, even the small flap of a butterfly's wings could set the earth's atmosphere on a vastly different trajectory, in which for example a hurricane occurs where it otherwise would have not. The shape of the Lorenz attractor itself, when plotted in phase space, may also be seen to resemble a butterfly.

Statistical finance is the application of econophysics to financial markets. Instead of the normative roots of finance, it uses a positivist framework. It includes exemplars from statistical physics with an emphasis on emergent or collective properties of financial markets. Empirically observed stylized facts are the starting point for this approach to understanding financial markets.

<span class="mw-page-title-main">Boolean network</span> Discrete set of Boolean variables

A Boolean network consists of a discrete set of Boolean variables each of which has a Boolean function assigned to it which takes inputs from a subset of those variables and output that determines the state of the variable it is assigned to. This set of functions in effect determines a topology (connectivity) on the set of variables, which then become nodes in a network. Usually, the dynamics of the system is taken as a discrete time series where the state of the entire network at time t+1 is determined by evaluating each variable's function on the state of the network at time t. This may be done synchronously or asynchronously.

Robert Stetson Shaw is an American physicist who was part of Eudaemonic Enterprises in Santa Cruz in the late 1970s and early 1980s. In 1988 he was awarded a MacArthur Fellowship for his work in chaos theory.

Dissipative solitons (DSs) are stable solitary localized structures that arise in nonlinear spatially extended dissipative systems due to mechanisms of self-organization. They can be considered as an extension of the classical soliton concept in conservative systems. An alternative terminology includes autosolitons, spots and pulses.

A coupled map lattice (CML) is a dynamical system that models the behavior of nonlinear systems. They are predominantly used to qualitatively study the chaotic dynamics of spatially extended systems. This includes the dynamics of spatiotemporal chaos where the number of effective degrees of freedom diverges as the size of the system increases.

Peter Grassberger is a retired professor who worked in statistical and particle physics. He made contributions to chaos theory, where he introduced the idea of correlation dimension, a means of measuring a type of fractal dimension of the strange attractor.

Surrogate data testing is a statistical proof by contradiction technique similar to permutation tests and parametric bootstrapping. It is used to detect non-linearity in a time series. The technique involves specifying a null hypothesis describing a linear process and then generating several surrogate data sets according to using Monte Carlo methods. A discriminating statistic is then calculated for the original time series and all the surrogate set. If the value of the statistic is significantly different for the original series than for the surrogate set, the null hypothesis is rejected and non-linearity assumed.

James P. Crutchfield is an American mathematician and physicist. He received his B.A. summa cum laude in physics and mathematics from the University of California, Santa Cruz, in 1979 and his Ph.D. in physics there in 1983. He is currently a professor of physics at the University of California, Davis, where he is director of the Complexity Sciences Center—a new research and graduate program in complex systems. Prior to this, he was research professor at the Santa Fe Institute for many years, where he ran the Dynamics of Learning Group and SFI's Network Dynamics Program. From 1985 to 1997, he was a research physicist in the physics department at the University of California, Berkeley. He has been a visiting research professor at the Sloan Center for Theoretical Neurobiology, University of California, San Francisco; a postdoctoral fellow of the Miller Institute for Basic Research in Science at UCB; a UCB physics department IBM postdoctoral fellow in condensed matter physics; a distinguished visiting research professor of the Beckman Institute at the University of Illinois, Urbana-Champaign; and a Bernard Osher Fellow at the San Francisco Exploratorium.

<span class="mw-page-title-main">Edward Ott</span> American physicist

Edward Ott is an American physicist and electrical engineer, who is a professor at University of Maryland, College Park. He is best known for his contributions to the development of chaos theory.

<span class="mw-page-title-main">Strange nonchaotic attractor</span>

In mathematics, a strange nonchaotic attractor (SNA) is a form of attractor which, while converging to a limit, is strange, because it is not piecewise differentiable, and also non-chaotic, in that its Lyapunov exponents are non-positive. SNAs were introduced as a topic of study by Grebogi et al. in 1984. SNAs can be distinguished from periodic, quasiperiodic and chaotic attractors using the 0-1 test for chaos.

Dwight Barkley is a professor of mathematics at the University of Warwick.

<span class="mw-page-title-main">Michael Ghil</span>

Michael Ghil is an American and European mathematician and physicist, focusing on the climate sciences and their interdisciplinary aspects. He is a founder of theoretical climate dynamics, as well as of advanced data assimilation methodology. He has systematically applied dynamical systems theory to planetary-scale flows, both atmospheric and oceanic. Ghil has used these methods to proceed from simple flows with high temporal regularity and spatial symmetry to the observed flows, with their complex behavior in space and time. His studies of climate variability on many time scales have used a full hierarchy of models, from the simplest ‘toy’ models all the way to atmospheric, oceanic and coupled general circulation models. Recently, Ghil has also worked on modeling and data analysis in population dynamics, macroeconomics, and the climate–economy–biosphere system.

In fractal geometry, the Higuchi dimension (or Higuchi fractal dimension (HFD)) is an approximate value for the box-counting dimension of the graph of a real-valued function or time series. This value is obtained via an algorithmic approximation so one also talks about the Higuchi method. It has many applications in science and engineering and has been applied to subjects like characterizing primary waves in seismograms, clinical neurophysiology and analyzing changes in the electroencephalogram in Alzheimer's disease.

Ichiro Tsuda is a Japanese mathematical scientist, applied mathematician, physicist, and writer. His research carrier started at an early stage of chaos studies. His research interests cover chaotic dynamical systems, complex systems, brain dynamics and artificial intelligence.

References

  1. ↑ Making Sense of Chaos. 25 April 2024.
  2. 1 2 3 4 Bass, Thomas (1985). The Eudaemonic Pie. Houghton Mifflin Harcourt.
  3. ↑ Brockman, John (2004). Curious Minds: How a Child Becomes a Scientist . Knopf Doubleday Publishing Group. ISBN   978-1400076864.
  4. ↑ Regis, Ed (1988). Who Got Einstein's Office? Eccentricity and Genius at the Institute for Advanced Study. Basic Books. ISBN   978-0201122787.
  5. ↑ "Heinz Nixdorf Museum's exhibit of the roulette beating shoe computer". Heinz Nixdorf Museum. Archived from the original on 9 March 2016. Retrieved 9 March 2016.
  6. ↑ Packard, N.; Crutchfield, J. P.; Farmer, J. Doyne; Shaw, R. S. (1980). "Geometry from a Time Series" (PDF). Physical Review Letters. 45 (9): 712–716. Bibcode:1980PhRvL..45..712P. doi:10.1103/PhysRevLett.45.712. Archived from the original (PDF) on 2016-03-09. Retrieved 2016-03-09.
  7. 1 2 Farmer, J. Doyne; Sidorowich, J. J. (1987). "Predicting Chaotic Time Series" (PDF). Physical Review Letters. 59 (8): 845–848. Bibcode:1987PhRvL..59..845F. doi:10.1103/PhysRevLett.59.845. PMID   10035887.[ permanent dead link ]
  8. ↑ Gibson, J. J.; Casdagli, M.; Eubank, S. (1992). "An Analytic Approach to Practical State Space Reconstruction" (PDF). Physica D. 57 (1–2): 1–30. Bibcode:1992PhyD...57....1G. doi:10.1016/0167-2789(92)90085-2.
  9. ↑ Casdagli, M.; Eubank, S.; Farmer, J. Doyne; Gibson, J. (1991). "State Space Reconstruction in the Presence of Noise" (PDF). Physica D. 51 (1–3): 52–98. Bibcode:1991PhyD...51...52C. doi:10.1016/0167-2789(91)90222-U. Archived from the original (PDF) on 2016-03-09. Retrieved 2016-03-09.
  10. ↑ Theiler, J.; Galdrikian, B.; Longtin., A.; Eubank, S.; Farmer, J. Doyne (1992). "Detecting Nonlinear Structure in Time Series" (PDF). Physica D. 58 (1–4): 77–94. Bibcode:1992PhyD...58...77T. doi:10.1016/0167-2789(92)90102-S.
  11. ↑ Farmer, J. Doyne; Toffoli, T.; Wolfram, S. (1983). "Cellular Automata, Proceedings of an Interdisciplinary Workshop". Physica D: Nonlinear Phenomena. 10.
  12. ↑ Farmer, J. Doyne; Lapedes, A. S.; Packard, N.; Wendroff, B. (1986). "Evolution, Games, and Learning: Models for Adaptation in Machines and Nature". Physica D: Nonlinear Phenomena. 22 (1–3): vii–xii. Bibcode:1986PhyD...22D...7F. doi:10.1016/0167-2789(86)90227-7.
  13. ↑ Langston, C. G.; Taylor, C.; Farmer, J. Doyne; Rasmussen, S. (1991). Artificial Life II. Santa Fe Institute Studies in the Sciences of Complexity Proceedings. Addison Wesley Longman. ISBN   978-0201525717.
  14. ↑ Waldrop, M. Mitchell (1993). Complexity: The Emerging Science at the Edge of Order and Chaos. Simon & Schuster. ISBN   978-0671872342.
  15. ↑ Farmer, J. Doyne; Kauffman, S.; Packard, N. (1986). "Autocatalytic Replication of Polymers" (PDF). Physica D. 22 (1–3): 50–67. Bibcode:1986PhyD...22...50F. doi:10.1016/0167-2789(86)90233-2. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-10.
  16. ↑ Bagley, R. J.; Farmer, J. Doyne; Fontana, W. (1991). "Spontaneous Emergence of a Metabolism" (PDF). Artificial Life II. Santa Fe Institute Studies in the Sciences of Complexity. pp. 93–140. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-10.
  17. ↑ Bagley, R. J.; Farmer, J. Doyne (1991). "Evolution of a Metabolism" (PDF). Artificial Life II. Santa Fe Institute Studies in the Sciences of Complexity. pp. 141–158. Archived from the original (PDF) on 2010-07-29. Retrieved 2016-03-10.
  18. ↑ Keeler, James; Farmer, J. Doyne (1986). "Robust Space-Time Intermittency and 1/f Noise" (PDF). Physica D. 23 (1–3): 413–435. Bibcode:1986PhyD...23..413K. doi:10.1016/0167-2789(86)90148-X. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-10.
  19. ↑ Bass, Thomas (1998). The Predictors: How a Band of Maverick Physicists Used Chaos Theory to Trade Their Way to a Fortune on Wall Street. Penguin Press Science.
  20. ↑ Farmer, J. Doyne (2002). "Market Force, Ecology, and Evolution" (PDF). Industrial and Corporate Change. 11 (5): 895–953. arXiv: adap-org/9812005 . doi:10.1093/icc/11.5.895. S2CID   118938089. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-10.
  21. ↑ Farmer, J. Doyne; Lo, A. W. (1999). "Frontiers of Finance: Evolution and Efficient Markets" (PDF). PNAS. 96 (18): 9991–9992. arXiv: adap-org/9912001 . Bibcode:1999PNAS...96.9991F. doi: 10.1073/pnas.96.18.9991 . PMC   33727 . PMID   10468547. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-10.
  22. ↑ Philosophy of Complex Systems, edited by Paul Thagard, Cliff A. Hooker, John Woods. Elsevier Science. 2011. p.  545. ISBN   9780080931227 . Retrieved 11 November 2020.
  23. ↑ Lillo, F.; Farmer, J. Doyne (2004). "The Long Memory of the Efficient Market" (PDF). Studies in Nonlinear Dynamics & Econometrics. 8 (3): 1226. arXiv: cond-mat/0311053 . doi:10.2202/1558-3708.1226. S2CID   31214126. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-10.
  24. ↑ Farmer, J. Doyne; Patelli, P.; Zovko, I. (2005). "The Predictive Power of Zero Intelligence in Financial Markets" (PDF). PNAS USA. 102 (6): 2254–2259. Bibcode:2005PNAS..102.2254F. doi: 10.1073/pnas.0409157102 . PMC   548562 . PMID   15687505. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-09.
  25. ↑ Smith, E.; Farmer, J. Doyne; Gilemot, L.; Krishnamurthy, S. (2003). "Statistical Theory of the Continuous Double Auction" (PDF). Quantitative Finance. 3 (6): 481–514. arXiv: cond-mat/0210475 . Bibcode:2003QuFin...3..481S. doi:10.1088/1469-7688/3/6/307. S2CID   23788.[ permanent dead link ]
  26. ↑ Donier, J.; Bonart, J.; Mastromatteo, I.; Bouchaud, J. P. (2014). "A fully consistent, minimal model for non-linear market impact". Quantitative Finance. 15 (7): 1109–1121. arXiv: 1412.0141 . doi:10.1080/14697688.2015.1040056. S2CID   219715855.
  27. ↑ Geanakoplos, J. (2009). "The leverage cycle". NBER Macroeconomics Annual 2009. 24. University of Chicago Press: 1–65. doi:10.1086/648285. S2CID   224800842.
  28. ↑ Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John (2012). "Leverage Causes Fat Tails And Clustered Volatility" (PDF). Quantitative Finance. 12 (5): 695–707. arXiv: 0908.1555 . doi:10.1080/14697688.2012.674301. S2CID   219718701. Archived from the original (PDF) on 2016-03-10. Retrieved 2016-03-10.
  29. ↑ Aymanns, Christoph; Caccioli, Fabio; Farmer, J. Doyne; Tan, Vincent (2016). "Taming the Basel Leverage Cycle". Journal of Financial Stability. 27: 263–277. arXiv: 1507.04136 . doi:10.1016/j.jfs.2016.02.004. S2CID   5560992.
  30. ↑ Farmer, Doyne; Kleinnijenhuis, Alissa; Wetzer, Thom (2022). "Stress Testing the Financial Microcosm". In Farmer, Doyne; Kleinnijenhuis, Alissa; Schuermann, Til; Wetzer, Thom (eds.). Stress Testing the Financial Macrocosm. Cambridge University Press. pp. 661–696. doi:10.1017/9781108903011.037. ISBN   9781108903011.
  31. ↑ McNerney, James; Farmer, J. Doyne; Redner, Sid; Track, Jessika (2011). "Role of Design Complexity in Technology Improvement" (PDF). PNAS. 108 (22): 9008–9013. arXiv: 0907.0036 . Bibcode:2011PNAS..108.9008M. doi: 10.1073/pnas.1017298108 . PMC   3107265 . PMID   21576499. Archived from the original (PDF) on 2016-03-09. Retrieved 2016-03-09.
  32. ↑ Nagy, B.; Farmer, J. Doyne; Bui, Q. M.; Trancik, J. E. (2013). "Statistical Basis for Predicting Technological Progress". PLOS ONE. 8 (2): e52669. arXiv: 1207.1463 . Bibcode:2013PLoSO...852669N. doi: 10.1371/journal.pone.0052669 . PMC   3585312 . PMID   23468837.
  33. ↑ Farmer, J. Doyne; Lafond, F. (2016). "How Predictable Is Technological Progress?". Research Policy. 45 (3): 647–655. arXiv: 1502.05274 . doi:10.1016/j.respol.2015.11.001. S2CID   154564641.
  34. ↑ Doyne Farmer, J. (2018). "How production networks amplify economic growth". arXiv: 1810.07774 [q-fin.GN].
  35. ↑ R Maria del Rio-Chanona, Penny Mealy, Anton Pichler, François Lafond, J Doyne Farmer, Supply and demand shocks in the COVID-19 pandemic: an industry and occupation perspective, Oxford Review of Economic Policy, graa033, https://doi.org/10.1093/oxrep/graa033
  36. ↑ Pichler, A., Pangallo, M., del Rio-Chanona, R.M., Lafond, F. & Farmer, J.D. (2020). 'Production networks and epidemic spreading: How to restart the UK economy?' https://arxiv.org/abs/2005.10585v1
  37. ↑ Asano, Y., Kolb, J.J., Heitzig, J. & Farmer, J.D. (2019). 'Emergent Inequality and Endogenous Dynamics in a Simple Behavioral Macroeconomic Model' https://arxiv.org/abs/1907.02155v1

Further reading

This page is based on this Wikipedia article
Text is available under the CC BY-SA 4.0 license; additional terms may apply.
Images, videos and audio are available under their respective licenses.