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- Dimitrios Bisias, Mark Flood, Andrew W Lo, Stavros Valavanis, Tobias Adrian, Lewis Alexander +16 others
- 2012

The Office of Financial Research (OFR) Working Paper Series allows staff and their co-authors to disseminate preliminary research findings in a format intended to generate discussion and critical comments. Papers in the OFR Working Paper Series are works in progress and subject to revision. Views and opinions expressed are those of the authors and do not… (More)

- Harold Froehling, J P Crutchfield, Doyne Farmer, N H Packard, Rob Shaw
- 1981

We describe a method for determining the approximate fractal dimension of an attractor. Our technique fits linear subspaces of appropriate dimension to sets of points on the attractor. The deviation between points on the attractor and this local linear subspace is analyzed through standard multilinear regression techniques. We show how the local dimension… (More)

Technological evolution has been compared to biological evolution by many authors over the last two centuries. As a parallel experiment of innovation involving economic, historical and social components, artifacts define a universe of evolving properties that displays episodes of diversification and extinction. Here we critically review previous work… (More)

- Peter Cramton, Eric Budish, John Shim, Susan Athey, Larry Ausubel, Eduardo Azevedo +34 others
- 2013

We argue that the continuous limit order book is a flawed market design and propose that financial exchanges instead use frequent batch auctions: uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals, e.g., every 1 second. Our argument has four parts. First, we use millisecond-level direct-feed data from exchanges to… (More)

We propose a model for network formation and study some of its statistical properties. The motivation for the model comes from the growth of several kinds of real networks (i.e., kinship and trading networks, networks of corporate alliances, networks of autocatalytic chemical reactions). These networks grow either by establishing closer connections by… (More)

Computers have expanded the range of nonlinear phenomena that can be explored mathematically. An “experimental mathematics facility,” containing both special-purpose dedicated machines and general-purpose mainframes, may someday provide the ideal context for complex nonlinear problems.

- Douglas R White, Nataša Kejžar, Constantino Tsallis, Doyne Farmer, Scott White

We propose a model for network formation and study some of its statistical properties. The motivation for the model comes from the growth of several kinds of real networks (i.e. kinship and trading networks, networks of corporate alliances, networks of autocatalytic chemical reactions). These networks grow by either establishing closer connections by adding… (More)

- Mikhail Anufriev, Cars Hommes, Buz Brock, Cees Diks, John Duffy, Doyne Farmer +2 others
- 2012

In recent " learning to forecast " experiments (Hommes et al. 2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent oscillations, and dampened fluctuations. We show that a simple model of individual learning can explain these different aggregate outcomes within the same experimental setting.… (More)

- Dimitrios Bisias, Mark Flood, Andrew W Lo, Stavros Valavanis, Tobias Adrian, Lewis Alexander +16 others
- 2012

The Office of Financial Research (OFR) Working Paper Series allows staff and their co-authors to disseminate preliminary research findings in a format intended to generate discussion and critical comments. Papers in the OFR Working Paper Series are works in progress and subject to revision. Views and opinions expressed are those of the authors and do not… (More)

- Eric Budish, Peter Cramton, John Shim, Susan Athey, Larry Ausubel, Eduardo Aze-Vedo +44 others
- 2015

The high-frequency trading arms race is a symptom of flawed market design. Instead of the continuous limit order book market design that is currently predominant, we argue that financial exchanges should use frequent batch *First version: July 2013. Project start date: October 2010. For helpful discussions we are grateful to numerous industry practitioners;… (More)