Complex systems and information theory

2024

• Samuel Wiese ,  Jagoda Kaszowska-Mojsa ,  Joel Dyer ,  Jose Moran ,  Marco Pangallo ,  François Lafond ,  John Muellbauer ,  Anisoara Calinescu ,  J. Doyne Farmer. “Forecasting Macroeconomic Dynamics using a Calibrated Data-Driven Agent-based Model,” INET Oxford Working Paper, No. 2024-06 (2024).

2023

• Joel Dyer, Arnau Quera-Bofarull, Ayush Chopra, J. Doyne Farmer, Anisoara Calinescu, and Michael Wooldridge. 2023. “Gradient-Assisted Calibration for Financial Agent-Based Models”. In Proceedings of the Fourth ACM International Conference on AI in Finance (ICAIF '23). Association for Computing Machinery, New York, NY, USA, 288–296.

2022

• Blas Kolic, Juan Sabuco, & J. Doyne Farmer. “Estimating initial conditions for dynamical systems with incomplete information”. Nonlinear Dynamics 108, 3783–3805 (2022).

• Jaume Masoliver, Miquel Montero, Josep Perelló, J. Doyne Farmer, John Geanakoplos. “Valuing the Future and Discounting in Random Environments: A Review.” Entropy 2022, 24, 496.

• Joel Dyer, Patrick Cannon, J. Doyne Farmer, & Sebastian Schmon (2022). ’Calibrating agent-based models to microdata with graph neural networks’, arXiv:2206.07570 (pre-print) (Working paper)

• Robert L. Axtell & J. Doyne Farmer (2022). 'Agent-Based Modeling in Economics and Finance: Past, Present, and Future'. INET Oxford Working Paper No. 2022-10. (Working paper)

• Jangho Yang, Torsten Heinrich, Julian Winkler, Francois Lafond, Panos Koutroumpis, & J. Doyne Farmer (2022). 'Measuring productivity dispersion: a parametric approach using the Lévy alpha-stable distribution'. INET Oxford Working Paper No. 2019-14. (Working paper)

• Joel Dyer, Patrick Cannon, J. Doyne Farmer, & Sebastian Schmon (2022). 'Black-box Bayesian inference for economic agent-based models'. INET Oxford Working Paper No. 2022-05. (Working paper)

2021

• R. L. Lumsdaine, D. N. Rockmore, N. Foti, G. Leibon and J. D. Farmer, “The Intrafirm Complexity of Systemically Important Financial Institutions.” Journal of Financial Stability, Vol 52 (2021)

2019

• P. Mealy, J. D. Farmer and A. Teytelboym, “Interpreting economic complexity”, Science Advances, 5(1), DOI: 10.1126/sciadv.aau1705 (2019).

2016

• Stefano Battiston, J. Doyne Farmer, Andreas Flache, Diego Garlaschelli, Andy Haldane, Hans Heesterbeck, Cars Hommes, Carlo Jaeger, Robert May and Marten Scheffer, “Complexity Theory to Support Public Policy and Financial Regulation: Economic Policy Needs Network Analysis and Behavioral Modeling”, to appear in Science (2016). (Commentary/review)

2015

• J. Doyne Farmer, Alex Teytelboym, Penny Mealy and Cameron Hepburn, “A Third Wave in the Economics of Climate Change.” Environmental Resource Economics 62, 2, 329 – 357 (2015).

• Fabio Caccioli, J. Doyne Farmer, Nick Foti and Dan Rockmore, “Overlapping Portfolios, Contagion and Financial Stability.” Journal of Economic Dynamics and Control 51, 50-63 (2015).

• R. L. Lumsdaine, D. N. Rockmore, N. Foti, G. Leibon and J. D. Farmer, “The Intrafirm Complexity of Systemically Important Financial Institutions.” (2015). (Working paper)

• R. Axtell, and J. D. Farmer, “Old Economic Models Couldn’t Predict the Recession: Time for New Ones." Christian Science Monitor, Dec. 10, 2015. (Commentary/review)

2014

• Fabio Caccioli, Munik Shreshtha, Cris Moore and J. Doyne Farmer, “Stability Analysis of Financial Contagion Due to Overlapping Portfolios." Journal of Banking and Finance 46, 233-245 (2014).

• Sebastian Poledna, Stefan Thurner, J. Doyne Farmer and John Geanakoplos, “Leverage-induced Systemic Risk under Basle II and other Credit Risk Policies.” Journal of Banking & Finance 42 (2014) 199–212.

• D. Helbing, E. Mitleton-Kelly, J-P Bouchaud, F. Caccioli, J. D. Farmer, S. Keen, K. Pistor, D.J. Snower, R. Olsen, A. Ranaldo, N. Haring and E. Fullbrook, “How to Improve the Financial Architecture and its Resilience.”,(2014). (Working paper)

2013

• J. Doyne Farmer and Spyros Skouras, “An Ecological Perspective On The Future Of Computer Trading.” Quantitative Finance, (2013) 13:3, 325-346, http://dx.doi.org.10.1080/14697688.2012.757636.

• Ricard V. Solée, Sergi Valverde, Marti Rosas Casals, Stuart A. Kauffman, J. Doyne Farmer, Niles Eldredge, “The Evolutionary Ecology Of Technological Innovations.” Complexity 18 (4), 15-27 (2013).

• Béla Nagy, J. Doyne Farmer, Quan M. Bui, Jessika E. Trancik, "Statistical Basis for Predicting Technological Progress." PLoS ONE 8(2): e52669. (2013).

• J. Doyne Farmer, “Economics Needs to Treat the Economy as a Complex System.” (2013). (Working paper)

2012

• Stefan Thurner, J. Doyne Farmer and John Geanakoplos, “Leverage Causes Fat Tails And Clustered Volatility.” Quantitative Finance 12 (5) (2012): 695-707.

• Fabio Caccioli, A. Catanach Thomas and J. Doyne Farmer, "Heterogeneity, Correlations And Financial Contagion." Advances in Complex Systems 15(2) 1250058 (2012).

• J. Doyne Farmer, Mauro Gallegati, Cars Hommes, Alan Kirman, Paul Ormerod, Silvano Cincotti, Anxo Sanchez and Dirk Helbing, "A Complex Systems Approach To Constructing Better Models For Managing Financial Markets And The Economy." European Physics Journal 214 (1) 295-324 (2012).

2011

• James McNerney, J. Doyne Farmer, Sid Redner and Jessika Trancik, “Role of Design Complexity in Technology Improvement." PNAS 108(22) (2011): 9008-9013.

• Béla Nagy, J. Doyne Farmer, Jessika E. Trancik and John Paul Gonzales, “Superexponential Long-Term Trends in Information Technology." J. of Technological Forecasting and Social Change 73 (2011): 1061-1083.

• T. Galla and J. D. Farmer, “Complex Dynamics in Learning Complicated Games.” PNAS 108(22) (2011): 9008-9013.

2010

• D. C. Krakauer, J. C. Flack, S. Dedeo, J. D. Farmer and D. Rockmore, "Intelligent Data Analysis of Intelligent Systems." Advances in Intelligent Data Analysis IX 6065 (2010): 8-17.

• Bence Tóth, Fabrizio Lillo and J. Doyne Farmer, “Segmentation Algorithm for Non-Stationary Compound Poisson Processes.” European Physics Journal B 78(2) (2010): 235-243.

• Yonathan Schwarzkopf and J. Doyne Farmer, “An Empirical Study of the Tails of Mutual Fund Size.” Physical Review E 81(6) (2010): 066113

• Yonathan Schwarzkopf and J. Doyne Farmer, “The Cause of Universality in Growth Fluctuations.” (2010). Supporting Information. (Working paper)

• Yonathan Schwarzkopf and J. Doyne Farmer, “What Drives Mutual Fund Asset Concentration?” (2010). (Working paper)

2009

• J. Doyne Farmer and John Geanakoplos, “The Virtues and Vices of Equilibrium and the Future of Financial Economics.” Complexity 14(3) (2009): 11-38.

• Dmitriy Cherkashin, J. Doyne Farmer and Seth Lloyd, “The Reality Game.” Journal of Economic Dynamics and Control 33(5) (2009): 1091-1105.

• J. D. Farmer and D. Foley, “The Economy Needs Agent-based Modeling.” Nature 460 (2009): 685-686. (Commentary/review)

2008

• F. Alexander Bais and J. Doyne Farmer, “The Physics of Information.” In Philosophy of Information, 609-684. Eds. Pieter Adriaans, Johan Van Benthem. Elsevier, 2008. (Book chapter)

• J. Doyne Farmer and John Geanakoplos, “The Virtues and Vices of Equilibrium and the Future of Financial Economics.” Complexity 14(3) (2009): 11-38.

2006

• D. R. White, N. Kejzar, C. Tsallis, J. D. Farmer and S. White, “Generative Model for Feedback Networks.” Physical Review E 73(1) (2006): Art. No. 016119 Part 2.

2004

• J. Doyne Farmer and Fabrizio Lillo, “On the Origin of Power-Law Tails in Price Fluctuations.” Quantitative Finance 4(1) (2004): C7-C11.

2002

• Y. Sato, E. Akiyama and J. D. Farmer, “Chaos in Learning a Simple Two-Person Game.” PNAS USA 99(7) (2002): 4748-4751.

• J. Doyne Farmer, “Market Force, Ecology, and Evolution.” Industrial and Corporate Change 11(5) (2002): 895-953.

• M. Newman, M. Girvan and J. D. Farmer, “Optimal Design, Robustness, and Risk Aversion.” Physical Review Letters 89(2) (2002): 028301.

1999

• J. D. Farmer, and A. W. Lo. “Frontiers of Finance: Evolution and Efficient Markets”, PNAS USA 96(18) (1999): 9991-9992.

1992

• J. Theiler, B. Galdrikian, A. Longtin, S. Eubank and J. D. Farmer, “Detecting Nonlinear Structure in Time Series.” Physica D 58 (1992): 77-94.

1991

• R. J. Bagley, J. D. Farmer and W. Fontana, “Evolution of a Metabolism.” In Artificial Life II, eds. C. Langton, C. Taylor, J. D.Farmer, and S. Rasmussen, 141-158. Santa Fe Institute Studies in the Sciences of Complexity. Redwood City, CA: Addison Wesley, 1991. (Book chapter)

• R. J. Bagley and J. D. Farmer, “Spontaneous Emergence of a Metabolism.” In Artificial Life II, eds. C. Langton, C. Taylor, J. D. Farmer, and S. Rasmussen, proc. 93-140. Santa Fe Institute Studies in the Sciences of Complexity. Redwood City, CA: Addison Wesley, 1991. (Book chapter)

• J. D. Farmer and A. d’A. Belin, “Artificial Life: The Coming Evolution.” In Artificial Life II, eds. C. Langton, C. Taylor,

• J. D. Farmer, and S. Rasmussen, 815-840. Santa Fe Institute Studies in the Sciences of Complexity. Redwood City, CA: Addison-Wesley, 1991. (Book chapter)

1990

• J. Doyne Farmer, “A Rosetta Stone For Connectionism.” Physica D 42(1-3) (1990): 153-187..

1989

• J. ThR. J. Bagley, J. D. Farmer, S. A. Kauffman, N. H. Packard, A. S. Perelson and I. M. Stadnyk, “Modeling Adaptive Biological Systems.” Biosystems 23 (1989): 113-138

1987

• J. D. Farmer, S. Kauffman, N. Packard and A. Perelson, “Adaptive Dynamic Networks as Models for the Immune System and Autocatalytic Sets.” Perspectives in Biological Dynamics and Theoretical Medicine Ann. NY Acad. Sci. 504 (1987): 118-131.

1986

• J. D. Keeler and J. D. Farmer, “Robust Space-Time Intermittency and 1/f Noise.” Physica D 23(1-3) (1986): 413-435.

• J. D. Farmer, S. Kauffman and N. H. Packard, “Autocatalytic Replication of Polymers”, Physica D 22(1-3) (1986): 50-67.

• J. D. Farmer, N. H. Packard and A. Perelsonm, “The Immune System, Adaptation, and Machine Learning.” Physica D 22(1-3) (1986): 187-204.

1985

• D. Campbell, J. Crutchfield, J. D. Farmer and E. Jen, “Experimental Mathematics: The Role of Computation in Nonlinear Studies.” Comm. ACM 28(4) (1985): 374-384.

1984

• C. Burks and J. D. Farmer, “Towards Modeling DNA Sequences as Automata.” Physica D 10(1-2) (1984): 157-167.