11 citations · 11 across the 1 of their papers we have counts for
2 papers
physics.soc-ph2006★ 11 cited
Mechanical vs. informational components of price impact
J. Doyne Farmer, Neda Zamani
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in deci…
cond-mat.stat-mech2003
The Predictive Power of Zero Intelligence in Financial Markets
J. Doyne Farmer, Paolo Patelli, Ilija I. Zovko
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market in…