135 citations · 439 across the 7 of their papers we have counts for
10 papers
How Market Ecology Explains Market Malfunction
Maarten P. Scholl, Anisoara Calinescu, J. Doyne Farmer
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists…
The dynamics of the leverage cycle
Christoph Aymanns, J. Doyne Farmer
We present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constrai…
Leverage-induced systemic risk under Basle II and other credit risk policies
Sebastian Poledna, Stefan Thurner, J. Doyne Farmer +1
We use a simple agent based model of value investors in financial markets to test three credit regulation policies. The first is the unregulated case, which only imposes limits on…
Why is order flow so persistent?
Bence Toth, Imon Palit, Fabrizio Lillo +1
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders,…
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identi…
Leverage Causes Fat Tails and Clustered Volatility
Stefan Thurner, J. Doyne Farmer, John Geanakoplos
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. syste…