135 citations · 439 across the 7 of their papers we have counts for
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q-fin.ST2009
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…
q-fin.ST2007★ 18 cited
The non-random walk of stock prices: The long-term correlation between signs and sizes
Gabriele La Spada, J. Doyne Farmer, Fabrizio Lillo
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (vo…