J. D. Farmer

How efficiency shapes market impact

F. Lillo, J. Farmer, H. Waelbroeck, 2011, 1102.5457.

There's more to volatility than volume

F. Lillo, L. Gillemot, J. Farmer, 2005, physics/0510007.

How market ecology explains market malfunction

J. Farmer, A. Calinescu, Maarten P. Scholl, 2020, Proceedings of the National Academy of Sciences.

How does the market react to your order flow?

Fabrizio Lillo, Jean-Philippe Bouchaud, Zoltan Eisler, 2011, 1104.0587.

A simulation of the insurance industry: the problem of risk model homogeneity

J. Farmer, Juan Sabuco, T. Heinrich, 2019, Journal of Economic Interaction and Coordination.

Why Is Equity Order Flow so Persistent

Fabrizio Lillo, J. Doyne Farmer, Imon Palit, 2011, 1108.1632.