J. Doyne Farmer

John Geanakoplos

English

Research Papers in Economics

A Behavioral Approach to Asset Pricing.

A dynamic structural model for stock return volatility and trading volume.

A long memory property of stock returns and a new model.

A model of income distribution.

A prototype model of stock exchange.

A simulation analysis of the microstructure of double auction markets.

A subordinated stochastic process model with nite variance for speculative prices:

A survey of behavioral

A theory for aggregate market impact.

A theory of hierarchies based on limited managerial attention.

Advances in Behavioral Economics. Russel Sage Foundation,

Adverse selection and comparative market making:empirical evidence from a limit order market.

Agent based computational economics. Growing economies from the bottom up.

Agent-based computational  suggested readings and early research.

Agent-based computational economics: A brief guide to the literature.

Alfred marshall on economic biology.

Allocative eciency of markets with zero-intelligence traders: market as a partial substitute for individual rationality.

An empirical behavioral model of liquidity and volatility.

An Evolutionary Theory of Economic Change.

Analyzing and modeling 1+1d markets.

Anatomy of the trading process: Empirical evidence on the behavior of institutional traders.

and crashes: Endogenous contracts in general equilibrium.

Ants, rationality and recruitment.

ask and transaction prices in a specialist market with heterogeneously informed traders.

Asset price and wealth dynamics under heterogeneous expectations.

Asset pricing under endogenous expectations in an arti stock market.

Auctions as algorithms: computerized trade execution and price discovery.

Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom in ation.

bears and market sheep.

Behavioral Finance, Volumes I-III. Edward Elgar,

Bounded Rationality in Macroeconomics.

Calibrating an agent-based  market.

Capital asset prices: A theory of market equillibrium under conditions of risk.

Choices, Values, and Frames.

Clarendon Lectures: Inecient Markets.

Complexity in economics. Working paper 03-02-014, Santa Fe Institute,

Convergent multiplicative processes repelled from zero: power laws and truncated power laws.

Correlations and clustering in the trading of members of the London Stock Exchange.

Cours d'Economie Politique.

crashes and intermittency in agent based market models.

Credit rationing in markets with imperfect information.

Default and punishment in general equilibrium.

Disequilibrium Foundations of Equilibrium Economics.

Distribution of stock returns.

Do investors trade too much?

Do stock prices move too much to be justi by subsequent changes in dividends?

Dont bet on it - contingent agreements with asymmetric information.

Ecient capital markets: A review of theory and empirical work.

Ecient capital markets: II.

Econometric policy evaluation: A critique.

Economics and the self-organization approach: Alfred marshall revisited?

Eds. The Handbook of Experiemental Economics.

Emerging markets in an anxious global economy.

Empirical validation of stochastic models of interacting agents: A maximally skewed noise trader model.

Epidemics of opinion and speculative bubbles in  markets.

Essays in Positive Economics.

Evolutionary Concepts in Contemporary Economics.

Evolutionary economics at the crossroads of biology and physics.

Evolutionary simulation of asset trading strategies.

Evolutionary stability of portfolio rules in incomplete markets.

Existence of an equilibrium for a competitive economy.

Exponential and power-law probability distribution of wealth and income in the united kingdom and the united states.

Financial Market Complexity.

Fluctuations and response in  markets: The subtle nature of \random&quot; price changes.

Heavy tails in high-frequency  data.

Heterogeneous beliefs and routes to chaos in a simple asset pricing model.

Human Behavior and the Principle of Least Eort.

Irrational behavior and economic theory.

Is economics the next physical science?

laws, pareto distributions and zipf's law,

Le role des valeurs boursieres pour la repartition la meilleure des risques.

Long-memory in stochastic volatility. Working paper, London School of Economics,

Long-memory in stock-market trading volume.

Long-memory processes and fractional integration in econometrics.

Macroeconomics and reality.

Market behavior in a clearing house.

Market eciency and the long-memory of supply and demand: Is price impact variable and permanent or  and temporary?

Market eciency from an evolutionary perspective.

Market eciency, the pareto wealth distribution, and the distribution of stock returns.

Market force, ecology and evolution.

Market signaling: Informational transfer in hiring and related screening processes.

Master curve for price impact function.

Mean- approximation for a limit order driven market model.

Minority Games.

Modeling and pricing long-memory in stock market volatility.

Modeling Extremal Events for Insurance and Finance.

Modeling longmemory stochastic volatility. Working paper,

Models of complexity in economics and

More hedging instruments may destabilize markets.

Neoclassical Finance.

On a class of skew distribution functions.

On the dynamic behavior of prices in disequilibrium.

On the impossibility of informationally ecient markets.

Orange juice and weather.

Order ow and the bid-ask spread: An empirical probability model of screen-based trading.

Order ow, transaction clock, and normality of asset returns.

Positive feedback and destabilizing rational speculation.

Power law distributions in empirical data.

Power laws in economics and elsewhere.

Power-law distributions and Levy-stable intermittent uctuations in stochastic systems of many autocatalytic elements.

The Virtues and Vices of Equilibrium and the Future of Financial Economics

http://www.dklevine.com/archive/refs4122247000000002067.pdf

The Virtues and Vices of Equilibrium and the Future of Financial Economics

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Research Papers in Economics