General finance

2025

• Robert L. Axtell & J. Doyne Farmer, (2025). 'Agent-Based Modeling in Economics and Finance: Past, Present, and Future'. Journal of Economic Literature 63 (1): 197–287.2025. DOI: 10.1257/jel.20221319

2023

• J. Doyne Farmer, John Geanakoplos, Matteo Richiardi, Miquel Montero, Josep Perelló and Jaume Masoliver, “Discounting the distant future: What do historical bond prices imply about the long term discount rate?” Working paper (2023).

• Garbrand Wiersema, Alissa M. Kleinnijenhuis, Thom Wetzer, and J. Doyne Farmer, “Scenario-free analysis of financial stability with interacting contagion channels”, Journal of Banking & Finance (2023).

• Adrian Carro, Marc Hinterschweiger, Arzu Uluc and J. Doyne Farmer. “Heterogeneous Effects and Spillovers of Macroprudential Policy in an Agent-Based Model of the UK Housing Market.” Industrial and Corporate Change, Volume 32, Issue 2, April 2023, Pages 386–432

• M. G. Daniels, J. D. Farmer, L. Gillemot, G. Iori and D. E. Smith, “Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process”, Physical Review Letters 90(10) (2003): 108102-108104.

2022

• Adrian Carro, Marc Hinterschweiger, Arzu Uluc and J. Doyne Farmer (2022). “Heterogeneous Effects and Spillovers of Macroprudential Policy in an Agent-Based Model of the UK Housing Market.” INET Oxford Working Paper No. 2022-06.

2021

• Alissa M. Kleinnijenhuis, Charles Goodhart, and J. Doyne Farmer (2021). “Systemic implications of the bail-in design”. INET Oxford Working Paper No. 2021-21.

• Maarten P. Scholl, Anisoara Calinescu and J. Doyne Farmer. “How Market Ecology Explains Market Malfunction”, Proceedings of the National Academy of Sciences of the United States of America (2021)

2019

• Torsten Heinrich, Juan Sabuco and J. Doyne Farmer, “A Simulation of the Insurance Industry: The Problem of Risk Model Homogeneity”, (2019).

2015

• J. Doyne Farmer, John Geanakoplos, Jaume Masoliver, Miquel Montero and Josep Perello, “Value of the Future: Discounting in Random Environments”, Physical Review E 91, 052816 (2015).

2009

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

2008

• Spada, J. D. Farmer and F. Lillo, “The Non-Random Walk of Stock Prices: The Long-Term Correlation between Signs and Sizes,” European Journal of Physics B 64(3-4), 607-614 (2008).

• S. Mike and J. D. Farmer, “An Empirical Behavioral Model of Liquidity and Volatility”, Journal of Economic Dynamics and Control32(1) (2008): 200-234.

2007

• Laszlo Gillemot, J. Doyne Farmer and Fabrizio Lillo, “There's More to Volatility than Volume”, Quantitative Finance 6(5) (2007): 371-384.

2006

• J. D. Farmer, 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?" Quantitative Finance 6(2) (2006): 107-112.

2005

• J. D. Farmer, D. E. Smith and M. Shubik, “Is Economics the Next Physical Science?” Physics Today 58(9) (2005): 37-42.

• F. Lillo, S. Mike and J. D. Farmer, “Theory for Long Memory in Supply and Demand,” Physical Review E, 71(6 pt 2) (2005): 287-297.

• J. D. Farmer, P. Patelli and I. Zovko, “The Predictive Power of Zero Intelligence in Financial Markets”, PNAS USA 102(6) (2005): 2254-2259.

2004

• J. D. Farmer, L. Gillemot, F. Lillo, S. Mike and A. Sen, “What Really Causes Large Price Changes?” Quantitative Finance 4(4) (2004): 383-397.

• F. Lillo and J. D. Farmer, “The Long Memory of the Efficient Market,” Studies in Nonlinear Dynamics & Econometrics 8(3) (2004): 1226.

2003

• G. Iori, M. G. Daniels, J. D. Farmer, L. Gillemot, S. Krishnamurthy and E. Smith, “An Analysis of Price Impact Function in Order-Driven Markets”, Physica A 324(1-2) (2003): 146-151.

• E. Smith, J. D. Farmer, L. Gillemot and S. Krishnamurthy, “Statistical Theory of the Continuous Double Auction”, Quantitative Finance 3(6) (2003): 481-514.

• F. Lillo, J. D. Farmer and R. N. Mantegna, “Master Curve for Price-Impact Function”, Nature 421(6919) (2003): 129-130.

• M. G. Daniels, J. D. Farmer, L. Gillemot, G. Iori and D. E. Smith, “Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process”, Physical Review Letters 90(10) (2003): 108102-108104.

• J. D. Farmer, "Looking Forward to the Future", Quantitative Finance 3(3) (2003): C30.

2002

• I. Zovko and J. D. Farmer, “The Power of Patience: A Behavioral Regularity in Limit Order Placement”, Quantitative Finance 2(5) (2002): 387-392.

• J. D. Farmer, and S. Joshi, “The Price Dynamics of Common Trading Strategies”,Journal of Economic Behavior and Organization 49(2) (2002): 149-171.

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

1999

• J. D. Farmer, “Physicists Attempt to Scale the Ivory Towers of Finance”, Computational Science and Engineering (IEEE) 1(6) (1999): 26-39.

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