Economics
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, eds. Thorsten Hens and Klaus Schenk-Hoppe. Elsevier: Academic Press, 2008. PDF
Schwarzkopf, Yonathan, and J. Doyne Farmer. “Time Evolution of the Mutual Fund Size Distribution.” Unpublished manuscript, 2008. Working Paper #08-08-031, Santa Fe Institute, Santa Fe, NM, 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 Predicitive 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
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
Publications (cont’d.)
