Learn More
Although the immediate receptors (immunophilins) of the immunosuppressants cyclosporin A (CsA) and FK506 are distinct, their similar mechanisms of inhibition of cell signaling suggest that their associated immunophilin complexes interact with a common target. We report here that the complexes cyclophilin-CsA and FKBP-FK506 (but not cyclophilin, FKBP,(More)
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly two million orders from the London Stock Exchange. We define the relative limit price as the difference between the limit price and the best price available. Merging the data from 50 stocks, we demonstrate that(More)
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where constraints imposed by market institutions dominate strategic agent behavior. We use data from the London Stock Exchange to test a simple model in which minimally intelligent agents place orders to trade at random. The model treats(More)
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called " value investing " , i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are approximately normally distributed and uncorrelated across(More)
Forecasting technological progress is of great interest to engineers, policy makers, and private investors. Several models have been proposed for predicting technological improvement, but how well do these models perform? An early hypothesis made by Theodore Wright in 1936 is that cost decreases as a power law of cumulative production. An alternative(More)
SFI Working Papers contain accounts of scientific work of the author(s) and do not necessarily represent the views of the Santa Fe Institute. We accept papers intended for publication in peer-reviewed journals or proceedings volumes, but not papers that have already appeared in print. Except for papers by our external faculty, papers must be based on work(More)
In this review article, we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions of research, some focusing on more elaborate mathematical models that are capable of rationalizing the empirical facts,(More)
D uring the past decade or so, many physicists have gone to Wall Street to work in finance. While the commonly heard statement that " Wall Street is the biggest single recruiter of physics PhDs " appears to be an urban legend, physicists working as quants—quantitative analysts—are now unquestionably common in large investment banks and other financial(More)
SFI Working Papers contain accounts of scientific work of the author(s) and do not necessarily represent the views of the Santa Fe Institute. We accept papers intended for publication in peer-reviewed journals or proceedings volumes, but not papers that have already appeared in print. Except for papers by our external faculty, papers must be based on work(More)