347 citations · 1.3k across the 32 of their papers we have counts for
4 papers · 1 filter
Tick size and price diffusion
Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which af…
The cause of universality in growth fluctuations
Yonathan Schwarzkopf, Robert L. Axtell, J. Doyne Farmer
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, the GDP of individual countries and the scientific output of universities…
Segmentation algorithm for non-stationary compound Poisson processes
Bence Toth, Fabrizio Lillo, J. Doyne Farmer
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regi…
Historical Costs of Coal-Fired Electricity and Implications for the Future
James McNerney, J. Doyne Farmer, Jessika E. Trancik
We study the costs of coal-fired electricity in the United States between 1882 and 2006 by decomposing it in terms of the price of coal, transportation costs, energy density, therm…