72 citations · 125 across the 5 of their papers we have counts for
8 papers
Emergent inequality and endogenous dynamics in a simple behavioral macroeconomic model
Yuki M. Asano, Jakob J. Kolb, Jobst Heitzig +1
Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive…
The prevalence of chaotic dynamics in games with many players
James B. T. Sanders, J. Doyne Farmer, Tobias Galla
We study adaptive learning in a typical p-player game. The payoffs of the games are randomly generated and then held fixed. The strategies of the players evolve through time as the…
Taming the Basel Leverage Cycle
Christoph Aymanns, Fabio Caccioli, J. Doyne Farmer +1
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic i…
Power-laws in recurrence networks from dynamical systems
Y. Zou, J. Heitzig, R. V. Donner +6
Recurrence networks are a novel tool of nonlinear time series analysis allowing the characterisation of higher-order geometric properties of complex dynamical systems based on recu…
How efficiency shapes market impact
J. Doyne Farmer, Austin Gerig, Fabrizio Lillo +1
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market im…
An empirical study of the tails of mutual fund size
Yonathan Schwarzkopf, J. Doyne Farmer
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is co…
What drives mutual fund asset concentration?
Yonathan Schwarzkopf, J. Doyne Farmer
Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic f…
Physicists attempt to scale the ivory towers of finance
J. Doyne Farmer
Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This…