J Doyne Farmer's profile

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: complexity, chaos theory, statistical mechanics

Dept Homepage: link

Is this Member on the AGENDA team?: No

Joined: July 6th, 2011

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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...

(64 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

(188 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.

(188 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.

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