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MoneyScience Financial Training: Introduction to QuantLib Development - London, March 13th-15th, 2017

 
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Title: Professor

Short Description: J. Doyne Farmer is a professor at the Santa Fe Institute. His main interests are complex systems, with applications to financial markets and techological innovation.

Institution: Santa Fe Institute

Special Academic Interests: , ,

Dept Homepage: link

Is this Member on the AGENDA team?: No

Joined: July 6th, 2011

Activity

J Doyne Farmer wrote a new blog post titled REVISION: A Taxonomy of Learning Dynamics in 2 × 2 Games

Learning would be a convincing method to achieve coordination on an equilibrium. But does learning converge, and to what? We answer this question in generic 2-player, 2-strategy games, using Experience-Weighted Attraction (EWA), which encompasses many extensively studied learning algorithms. We exhaustively characterize the parameter space of EWA learning, for any payoff matrix, and we understand the generic properties that imply convergent or non-convergent behaviour in 2 × 2 games. Irrational choice and lack of incentives imply convergence to a mixed strategy in the centre of the strategy...
(4 days ago)

J Doyne Farmer wrote a new blog post titled REVISION: A Taxonomy of Learning Dynamics in 2 × 2 Games

Learning would be a convincing method to achieve coordination on an equilibrium. But does learning converge, and to what? We answer this question in generic 2-player, 2-strategy games, using Experience-Weighted Attraction (EWA), which encompasses many extensively studied learning algorithms. We exhaustively characterize the parameter space of EWA learning, for any payoff matrix, and we understand the generic properties that imply convergent or non-convergent behaviour in 2 × 2 games. Irrational choice and lack of incentives imply convergence to a mixed strategy in the centre of the strategy...
(4 days ago)

J Doyne Farmer wrote a new blog post titled New: Macroprudential Policy in an Agent-Based Model of the UK Housing Market

This paper develops an agent-based model of the UK housing market to study the impact of macroprudential policies on key housing market indicators. This approach enables us to tackle the heterogeneity in this market by modelling the individual behaviour and interactions of first-time buyers, home owners, buy-to-let investors, and renters from the bottom up, and observe the resulting aggregate dynamics in the property and credit markets. The model is calibrated using a large selection of micro-data, mostly from household surveys and housing market data sources. We perform a series of...
(4 days ago)

About me:

J. Doyne Farmer is a professor at the Santa Fe Institute. He has broad interests in complex systems, and has done research in dynamical systems theory, time series analysis and theoretical biology. At present his main interest is in developing quantitative theories for social evolution, in particular for financial markets (which provide an accurate record of decision making in a complex environment) and the evolution of technologies (whose performance through time provides a quantitative record of one component of progress).

He was a founder of Prediction Company, a quantitative trading firm that was sold to the United Bank of Switzerland, and was their chief scientist from 1991 - 1999. During the eighties he worked at Los Alamos National Laboratory, where he was an Oppenheimer Fellow, founding the Complex Systems Group in the theoretical division. He began his career as part of the U.C. Santa Cruz Dynamical Systems Collective, a group of physics graduate students who did early research in what later came to be called "chaos theory". In his spare time during graduate school he led a group that designed and built the first wearable digital computers (which were used to beat the game of roulette). For popular press see The Newtonian Casino by Thomas Bass, Chaos by Jim Gleick, Complexity by Mitch Waldrup, and The Predictors by Thomas Bass.