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Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700
Recent members
J Doyne Farmer wrote a new blog post titled New: How Efficiency Shapes Market Impact
J. Doyne FarmerSanta Fe Institute; LUISS Guido Carli UniversityAustin GerigUniversity of Oxford - Said Business SchoolFabrizio LilloUniversity of PalermoHenri WaelbroeckPortware LLCAbstractWe 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 impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large metaorders is smaller than that of small metaorders. We formulate a stylized model of an algorithmic execution service and...
90 days ago
J Doyne Farmer wrote a new blog post titled New: Stability Analysis of Financial Contagion Due to Overlapping Portfolios
Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage, and we show how it can be understood in terms of a generalized branching process. By studying a stylized model we estimate the circumstances under which systemic instabilities are likely to occur as a function of parameters such as leverage, ma
214 days ago
J Doyne Farmer wrote a new blog post titled New: Getting at Systemic Risk Via an Agent-Based Model of the Housing Market
Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.
214 days ago
J Doyne Farmer wrote a new blog post titled New: Leverage Causes Fat Tails and Clustered Volatility
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., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are approximately normally distributed and uncorrelated across time. This changes when the funds are allowed to leverage, i.e., borrow from a bank, which allows them to purchase more assets than their wealth w
214 days ago
J Doyne Farmer wrote a new blog post titled New: Getting at Systemic Risk Via an Agent-Based Model of the Housing Market
Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.
464 days ago
J Doyne Farmer wrote a new blog post titled New: Leverage Causes Fat Tails and Clustered Volatility
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., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are approximately normally distributed and uncorrelated across time. This changes when the funds are allowed to leverage, i.e., borrow from a bank, which allows them to purchase more assets than their wealth w
464 days ago
J Doyne Farmer wrote a new blog post titled New: Heterogeneity, Correlations and Financial Contagion
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the failure of a random bank, the most connected bank and the biggest bank, and we consider
464 days ago
J Doyne Farmer wrote a new blog post titled New: How Does the Market React to Your Order Flow?
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 identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision - some are consistently liquidity providers while others are consistentl
464 days ago
J Doyne Farmer wrote a new blog post titled New: Leverage Causes Fat Tails and Clustered Volatility
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., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are approximately normally distributed and uncorrelated across time. This changes when the funds are allowed to leverage, i.e., borrow from a bank, which allows them to purchase more assets than their wealth w
573 days ago
J Doyne Farmer wrote a new blog post titled New: Heterogeneity, Correlations and Financial Contagion
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the failure of a random bank, the most connected bank and the biggest bank, and we consider
573 days ago
J Doyne Farmer wrote a new blog post titled New: How Does the Market React to Your Order Flow?
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 identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision - some are consistently liquidity providers while others are consistentl
573 days ago
J Doyne Farmer wrote a new blog post titled REVISION: An Explanation of Universality in Growth Fluctuations
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, and the scientific output of universities all show unusual but remarkably similar growth fluctuations.
The fluctuations display characteristic features, including heavy tails and anomalous power law scaling of the standard deviation as a function of size. Many theories have now been put forward to explain this, all of them based on modifications and extensions of proportional growth of s
573 days ago
J Doyne Farmer wrote a new blog post titled REVISION: Supporting Information – An Explanation of Universality in Growth Fluctuations
Supplementary materials for "The cause of universality in growth fluctuations".
As supplementary materials we provide the following:
In Section 1 we discuss a modification to our model incorporating a constraint over the number of elements. In Section 2 we derive and discuss in detail the logarithmic growth rate distribution arising from our model. In Section 3 we discuss a modification to the model that incorporates correlations in the replication factors of elements belonging to the same gro
573 days ago
J Doyne Farmer wrote a new blog post titled New: Heterogeneity, Correlations and Financial Contagion
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the failure of a random bank, the most connected bank and the biggest bank, and we consider
650 days ago
J Doyne Farmer wrote a new blog post titled New: How Does the Market React to Your Order Flow?
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 identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision - some are consistently liquidity providers while others are consistentl
650 days ago
J Doyne Farmer wrote a new blog post titled REVISION: An Explanation of Universality in Growth Fluctuations
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, and the scientific output of universities all show unusual but remarkably similar growth fluctuations.
The fluctuations display characteristic features, including heavy tails and anomalous power law scaling of the standard deviation as a function of size. Many theories have now been put forward to explain this, all of them based on modifications and extensions of proportional growth of s
650 days ago
J Doyne Farmer wrote a new blog post titled REVISION: Supporting Information – An Explanation of Universality in Growth Fluctuations
Supplementary materials for "The cause of universality in growth fluctuations".
As supplementary materials we provide the following:
In Section 1 we discuss a modification to our model incorporating a constraint over the number of elements. In Section 2 we derive and discuss in detail the logarithmic growth rate distribution arising from our model. In Section 3 we discuss a modification to the model that incorporates correlations in the replication factors of elements belonging to the same gro
650 days ago
J Doyne Farmer bookmarked Economics "underutilising computers by a couple of orders of magnitude"
712 days ago
J Doyne Farmer wrote a new blog post titled New: How Does the Market React to Your Order Flow?
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 identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision - some are consistently liquidity providers while others are consistentl
713 days ago
J Doyne Farmer wrote a new blog post titled REVISION: An Explanation of Universality in Growth Fluctuations
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, and the scientific output of universities all show unusual but remarkably similar growth fluctuations.
The fluctuations display characteristic features, including heavy tails and anomalous power law scaling of the standard deviation as a function of size. Many theories have now been put forward to explain this, all of them based on modifications and extensions of proportional growth of s
713 days ago
