Publications (cont’d.)
Economics
 
Caccioli, F., T. A. Catanach, and J. D. Farmer.  “Heterogeneity, Correlations and Financial Contagion.  Working Paper #11--09-044, Santa Fe Institute, Santa Fe, NM, 2011. http://arxiv.org/abs/1109.1213.
 
Tóth, B., I. Palit, F. Lillo, and J. D. Farmer.  “Why is Order Flow so Persistent?” www.santafe.edu.
 
Tóth, B., Z. Eisler, F. Lillo, J.-P. Bouchaud, J. Kockelkoren, and J. D Farmer.  “How Does The Market React to Your Order Flow?”   April 5, 2011.  http://arxiv.org/abs/1104.0587
 
Farmer, J. Doyne, Austin Gerig, Fabrizio Lillo, and Henri Waelbroeck.  “How Efficiency Shapes Market Impact.” February 26, 2011. http://arxiv.org/abs/1102.5457
 
La Spada, G., J. D. Farmer, and F. Lillo.  “Tick Size and Price Diffusion.”  http://arxiv.org/abs/1009.2329.
 
Schwarzkopf, Yonathan, and J. Doyne Farmer.  “The Cause of Universality in Growth Fluctuations.” Santa Fe Institute, Santa Fe, NM, 2010.  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1597504
 
Schwarzkopf, Yonathan, and J. Doyne Farmer.  “Supporting Information — The Cause of Universality in Growth Fluctuations.” Santa Fe Institute, Santa Fe, NM, 2010.  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1597505
 
Schwarzkopf, Yonathan, and J. Doyne Farmer.  “An Empirical Study of the Tails of Mutual Fund Size.” Phys. Rev. E 81 (2010): 0066113.  PDF
 
Tóth, Bence, Fabrizio Lillo, and J. Doyne Farmer. "Segmentation Algorithm for Non-Stationary Compound Poisson Processes." Eur. Phys. J. B 78 (2010): 235-243.  PDF
 
Schwarzkopf, Yonathan, and J. Doyne Farmer.  “What Drives Mutual Fund Asset Concentration?”  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1173046
 
McNerney, James, Jessika E. Trancik, and J. Doyne Farmer.  “Historical Costs of Coal-Fired Electricity and Implications for the Future.  Energy Policy 39(6) (2011): 3042-3054.  Working Paper #09-12-047, Santa Fe Institute, Santa Fe, NM, 2010.  http://arxiv.org/abs/1001.0605  PDF
 
Farmer, J. Doyne, and John Geanakoplos.  “Hyperbolic Discounting is Rational:  Valuing the Far Future with Uncertain Discount Rates.”  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1448811  PDF
 
McNerney, James, J. Doyne Farmer, Sid Rdener, and Jessika E. Trancik.  “Role of Design Complexity in Technology Improvement.” PNAS 108(22) (2011): 9008-9013.  PDF
 
Moro, Esteban, Javier Vicente, Luis G. Mayano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo, and Rosarioo N. Mantegna. “Market Impact and Trading Profile of Hidden Orders in Stock Markets.” Phys Rev E 80(6) (2009): 1-8.  http://link.aps.org/abstract/PRE/v80/e066102 PDF
 
Thurner, Stefan, J. Doyne Farmer, and John Geanakoplos.  “Leverage Causes Fat Tails and Clustered Volatility.”  August 3,  2009. http://lanl.arxiv.org/abs/0908.1555.
 
Thurner, Stefan, J. Doyne Farmer, and John Geanakoplos.  Supplementary material to “Leverage Causes Fat Tails and Clustered Volatility.” http://lanl.arxiv.org/abs/0908.1555  PDF
 
Farmer, J. Doyne, and John Geanakoplos.  “The Virtues and Vices of Equilibrium and the Future of Financial Economics.  Complexity 14 (2009): 11-38.  PDF
 
Cherkashin, Dmitriy, J. Doyne Farmer, and Seth Lloyd.  “The Reality Game.”  J. Economic Dynamics and Control 33(5) (2009): 1091-1105.  PDF
 
Tóth, Bence, János Kertész, and J. Doyne Farmer.  “Studies of the Limit Order Book around Large Price Changes.  Eur. J. Phys. B 71 (2009): 499-510.  PDF
 
Bais, F. Alexander, and J. Doyne Farmer.  The Physics of Information.”  In Philosophy of Information, 609-684.  Eds. Pieter Adriaans, Johan Van Benthem.  Elsevier, 2008.
 
Bouchaud, Jean-Philippe, J. Doyne Farmer, and Fabrizio Lillo.  “How Markets Slowly Digest Changes in Supply and Demand.”  In Handbook of Financial Markets: Dynamics and Evolution, 57-156.  Eds. Thorsten Hens and Klaus Schenk-Hoppe. Elsevier: Academic Press, 2008. PDF
 
La Spada, G., J. D. Farmer, and F. Lillo.  “The Non-Random Walk of Stock Prices:  The Long-Term Correlation between Signs and Sizes.”  Eur. Phys. J. B (2008): 1-8.  PDF
 
Farmer, J. D., and John Geneakoplos.  “The Virtues and Vices of Equilibrium and the Future of Financial Economics.” Complexity (2008): to appear.  Santa Fe Institute Working Paper 08-03-014, Santa Fe, NM,  2008. PDF
 
Farmer, J. D., and J. Trancik.  “Dynamics of Technological Development in the Energy Sector.”  London Accord, Eds. Michael Mainelli and Jan-Peter Onstwedder, 2007.  PDF
 
Mike, S., and J. D. Farmer. "An Empirical Behavioral Model of Liquidity and Volatility." J  Economic Dynamics and Control 32(1) (2008): 200-234.  PDF
 
Farmer, J. D., and T. Lux, eds.  Introduction to Special Issue on “Applications of Statistical Physics in Economics and Finance.”  Journal of Economic Dynamics and Control, Elsevier 32(1) (2007): 1-6.  PDF
 
Zovko, I. I., and J. D. Farmer.  “Correlations and Clustering in the Trading of Members of the London Stock Exchange.”  In Complexity, Metastability and Nonextensivity:  An International Conference, eds. S. Abe, T. Mie, H. Herrmann, P. Quarati, A. Rapisarda, and C. Tsallis.  AIP Conference Proceedings.  Springer, 2007.  PDF
 
Farmer, J. D., and N. Zamani.  “Mechanical vs. Informational Components of Price Impact.”  Eur. Phys. J. B 55 (2) (2007): 189-200.   PDF
 
Cherkashin, D., J. D. Farmer,  and S. Lloyd.  “A Simple Evolutionary Game with Feedback between Perception and Reality.”  Santa Fe Institute Working Paper 07-08-032, Santa Fe, NM, 2007.  PDF
 
Gillemot, L., J. D. Farmer, and F. Lillo. "There's More to Volatility than Volume." Quantitative Finance 6(5) (2007): 371-384. PDF
 
Farmer, J. D., A. Gerig, F. Lillo, and S. Mike. "Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary." Quant. Fin. 6(2) (2006): 107-112. PDF
 
Farmer, J. D., D. E. Smith, and M. Shubik. "Is Economics the Next Physical Science?" Physics Today 58(9) (2005): 37-42. PDF
 
Farmer, J. D., L. Gillemot, G. Iori, S. Krishnamurthy, D. E. Smith, and M. G. Daniels. "A Random Order Placement Model of Price Formation in the Continuous Double Auction." In The Economy as an Evolving Complex System, III, eds. L. Blume and S. Durlauf, 133-173. New York: Oxford University Press, 2005. PDF
 
Lillo, F., and J. D. Farmer. "The Key Role of Liquidity Fluctuations in Determining Large Price Fluctuations." Fluctuations and Noise Lett. 5 (2005): L209-L216. PDF
 
Lillo, F., S. Mike, and J. D. Farmer. "Theory for Long Memory in Supply and Demand." Phys. Rev. E 7106(6 pt 2) (2005): 287-297.  PDF
 
Farmer, J. D., P. Patelli, and I. I. Zovko. "The Predictive Power of Zero Intelligence in Financial Markets" PNAS USA 102(11) (2005): 2254-2259.  PDF
 
Farmer, J. D., P. Patelli, and I. I. Zovko. "The Predictive Power of Zero Intelligence in Financial Markets" Supplementaty Information PNAS USA 102(6) (2005). PDF
 
Farmer, J. D., L. Gillemot, F. Lillo, S. Mike, and A. Sen. "What Really Causes Large Price Changes?" Quant. Fin. 4(4) (2004): 383-397. PDF
 
Farmer, J. D. and F. Lillo. "On the Origin of Power Law Tails in Price Fluctuations." Quant. Fin.  4(1)  (2004): 7-11. PDF
 
Lillo, F., and J. D. Farmer. "The Long Memory of the Efficient Market." Studies in Nonlinear Dynamics & Econometrics 8 (3) article 1 http://www.bepress.com/snde/vol8/iss3/art1 (2004).  PDF
 
Daniels, M. G., J. D. Farmer, L. Gillemot, G. Iori, and E. Smith. "Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process." Phys. Rev. Lett. 90(10) (2003): 108102.  PDF
 
Iori, G., M. G. Daniels, J. D. Farmer, L. Gillemot, S. Krishnamurty and E. Smith. "An Analysis of Price Impact Function in Order-Driven Markets." Physica A 324(1-2) (2003): 145-151. PDF
 
Lillo, F., J. D. Farmer, and R. Mantegna. "Single Curve Collapse of the Price Impact Function for the New York Stock Exchange." PDF
 
Smith, E., J. D. Farmer, L. Gillemot, and S. Krishnamurthy. "Statistical Theory of the Continuous Double Auction." Quant. Fin. 3(6) (2003): 481-514. PDF
 
Farmer, J. D., and S. Joshi. "The Price Dynamics of Common Trading Strategies." J. Econ. Behavi. & Org. 49(2) (2002): 149-171. PDF
 
Farmer, J. D. "Market Force, Ecology and Evolution." Ind. & Corp. Change 11(5) (2002): 895-953.  PDF
 
Sato, S., E. Akiyama, and J. D. Farmer. "Chaos in Learning a Simple Two Person Game." PNAS 99(7) (2002): 4748-4751.  PDF
 
Zovko, I., and J.D. Farmer. "The Power of Patience: A Behavioral Regularity in Limit Order Placement." Quant. Fin. 2(5) (2002): 387-392.  PDF
 
Farmer, J. D. "Toward Agent-Based Models for Investment." In Developments in Quantitative Investment Models, AIMR (2001). PDF
 
Farmer, J. D. "Physicists Attempt to Scale the Ivory Towers of Finance." Comp. Sci. & Eng. (IEEE) 1(6) (1999): 26-39. PDF
 
Farmer, J. D., and Andrew W. Lo. "Frontiers of Finance: Evolution and Efficient Markets." PNAS 96 (1999): 9991-9992. PDF
 
Farmer, J. D. "Slippage 1996." Technical Report, Prediction Company, Santa Fe, NM, 1996. PDF