May 28, 2013
from 05:00 PM to 06:00 PM
|Where||Newnham College, Sidgwick Avenue|
|Contact Name||Mette Jamasb|
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Since roughly the mid 90's there has been an invasion of physicists into economics, and finance in particular. In this talk I will give an idiosyncratic review of what physicists have accomplished since then. I will argue that the biggest differences are epistemological, i.e. in the questions that are asked, how they are answered, the type of solutions that are considered useful, and the type of assumptions that are considered plausible. I will present an overview of the main accomplishments, but focusing on a few areas, in particular order flow and market impact. Time permitting I will make some remarks about high frequency trading: In particular I will argue that having a proper understanding of market impact can be used to show that obtaining good position in the limit order book is worth hundreds of billions of dollars a year globally, and that simply changing the rules for execution easily eliminates this.
Prof J Doyne Farmer co-directs the programme on complexity economics, which is part of the INET@Oxford research institute. He has broad interests in complex systems, and has done research in dynamical systems theory, time series analysis and theoretical biology. 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).
Farmer arrived in Autumn 2012 from the Santa Fe Institute