J. Doyne Farmer

Work Home Santa Fe Institute 1239 Madrid Road 1399 Hyde Park Road Santa Fe, NM 87501 Santa Fe, NM 87501 (505) 983-9211 (505) 946-2795 [email protected]

EDUCATION

1981 Ph.D., Physics University of California, Santa Cruz

1973 B.S., Physics Stanford University

1969 - 70 University of Idaho

PROFESSIONAL EXPERIENCE

1999 - present McKinsey Professor Santa Fe Institute

1991 - 1999 Prediction Company 95 - 99 Co-President 91 - 99 Chief Scientist (head of research group)

1981 - 1991 Los Alamos National Laboratory 88 - 91 Leader of Complex Systems Group, Theoretical Division 86 - 88 Staff Member, Theoretical Division 83 - 86 Oppenheimer Fellow, Center for Nonlinear Studies 81 - 83 Post-doctoral appointment, Center for Nonlinear Studies

PROFESSIONAL ASSOCIATIONS

• Editorial Board, Nonlinearity (1988-1991) • Editor – in – Chief, Quantitative Finance (1999-2003)

PROFESSIONAL INTERESTS

• Complex systems, particularly self-organization, adaptive systems, and financial markets.

FELLOWSHIPS

1. J. Robert Oppenheimer Fellowship, March 1983 - February 1986.

2. Hertz Fellowship, September 1978 - June 1981.

3. UC Regents Fellowship, September 1973 - June 1974

RESEARCH GRANTS

1. Principal Investigator, AFOSR-ISSA 84-0017, FY 84-86.

2. Principal Investigator, AFOSR-ISSA 88-0095, FY 88-89.

3. Principal Investigator, NIMH-1-R01-MH47184-01, FY 90-91.

4. James S. McDonnell Foundation 21st Century Science Initiative Award, Studying Complex Systems, FY 02-05.

AWARDS

• Los Alamos Fellows Prize, 1989 (for best research paper that year at Los Alamos).

POPULAR PRESS

The Eudaemonic Pie by Thomas Bass, Houghton Mifflin Co., 1985. Chaos; Making a New Science by James Gleick, Penguin USA, 1988. Complexity: The emerging Science at the Edge of Order and Chaos by Mitchell Waldrup, Simon & Schuster, 1992. The Predictors: How a Band of Maverick Physicists Used Chaos Theory to Trade Their Way to a Fortune on Wall Street by Thomas Bass, Owl Books, 2000.

PUBLICATIONS

J. Crutchfield, J. D. Farmer, N. Packard, R. Shaw, G. Jones, and R. Donnelly, “Power Spectral Analysis of a Dynamical System,” Physics Letters A 76 (1) pp. 1 - 4(1980).

N. H. Packard, J. P. Crutchfield, J. D. Farmer and R.S. Shaw,” Geometry from a Time Series,” Physical Review Letters 45 (9) pp. 712 - 716 (1980).

J. D. Farmer, J. Crutchfield, H. Froehling, N. Packard and R. Shaw, “Power Spectra and Mixing Properties of Strange Attractors,” Annals New York Academy of Sciences 375 pp. 453- 472 (1980).

H. Froehling, J. P. Crutchfield, J. D. Farmer, N. H. Packard and R. Shaw, “On Determining the Dimension of Chaotic Flows,” Physica D 3 (3) pp.605 - 617 (1981).

J. D. Farmer, “Spectral Broadening of Period-Doubling Bifurcation Sequences,” Physical Review Letters 47 (3) pp. 179 -182 (1980).

J. D. Farmer, “Chaotic Attractors of an Infinite-Dimensional Dynamical System,” Physica D 4 (3) pp. 366 - 393 (1982).

J. D. Farmer, J. Hart and P. Weidman, “A Phase Space Analysis of Baroclinic Flow,” Physics Letter A 91 (1) pp.22 - 24 (1982).

J. D. Farmer, “Information Dimension and the Probabilistic Structure of Chaos,” Z. Naturforsch, 37A pp. 1304 - 1325 (1982).

J. Crutchfield, J. D. Farmer, and B. Huberman, “Fluctuations and Chaotic Dynamics,” Physics Reports 92 (2) pp. 47 - 82 (1982).

J.D. Farmer, E. Ott, and J.A. Yorke, “The Dimension of Chaotic Attractors,” Physica D 7 (1 – 3) pp. 153 - 180 (1983).

A Brandstater, J. Swift, H. L. Swinney, A. Wolf, J. D. Farmer, E. Jen and J. P. Crutchfield, “Low Dimensional Chaos in a Hydrodynamic System,” Physical Review Letters, 51 (16) pp. 1442 - 1445 (1983).

J. D Farmer, T. Toffoli, and S.Wolfram, (editors) Cellular Automata, Proceedings of an interdisciplinary workshop, Los Alamos, New Mexico 87545, USA, March 7-11, 1983,North Holland Physics Publishing, Amsterdam (1984).

C. Burks and J. D. Farmer, “Towards Modeling DNA Sequences as Automata,” Physica D 10 ( 1 – 2) pp. 157 - 167(1984).

D. Campbell, J. Crutchfield, J. D. Farmer, and E. Jen, “Experimental Mathematics: The Role of Computation in Nonlinear Studies, “Communications of ACM 28, (4) pp. 374 - 384 (1985).

J. D. Farmer, and I. I . Satija, “Renormalization of the Quasiperiodic Transition to Chaos for Arbitrary Winding Numbers,” Physical Review A 31(5) pp. 3520 - 3522 (1985).

J. D. Farmer, “Sensitive Dependence on Parameters in Nonlinear Dynamics.” Physical Review Letters 55(4) pp.351 - 355 (1985).

D. K. Umberger and J. D. Farmer, “Fat Fractals on the Energy Surface,” Physical Review Letters 55 (7) pp. 661 – 664 (1985).

J. D. Farmer, I. I. Satija, and D. K. Umberger, “A Universal Strange Attractor Underlying the Quasiperiodic Transition to Chaos,” Physics Letters A 114 (7) pp. 341-345 (1986).

J. D. Farmer, A. S. Lapedes, N. Packard, and B. Wendroff, (editors) Evolution, Games, and Learning: Models for Adaption in Machines and Nature, North Holland, Amsterdam (1986).

J. D. Farmer, N. H. Packard, and A. Perelson, “The Immune System, Adaption, and Machine Learning.” Physica D 22 (1 – 3) pp.187 - 204 (1986).

J. D. Farmer, S. Kauffman and N. H. Packard, “Autocatalytic Replication of Polymers”, Physica D 22 (1 – 3) pp. 50-67 (1986).

R. J. Bagley, J. D. Farmer, and G. Mayer-Kress, “Mode Locking, the Belousov- Zhabotinsky Reaction, and One-Dimensional Mappings,” Physics Letters, 114A, (8) pp. 419-423 (1986).

J. D. Farmer and J.D. Keelier, “Model for Space-Time Intermittency,” Physica D 23 pp. 413-435 (1986).

J. P. Crutchfield, J. D. Farmer, N. H. Packard and R. S. Shaw, “Chaos,” Scientific American 254 (12) pp. 46-57 (1986).

J. D. Farmer, J. J. Sidorowich, “Predicting Chaotic Time Series,” Physical Review Letters 59 (8) pp. 845-848 (1987).

R. E. Ecke, J. D. Farmer and D. K. Umberger, “Scaling of the Arnold Tongues,” Nonlinearity 2 pp. 175-196 (1989).

R. J. Bagley, J. D. Farmer, S. A. Kauffman, N.H. Packard, A. S. Perelson, I. M. Stadnyk, “Modeling Adaptive Biological Systems,” Biosystems 23 pp. 113-138 (1989).

J. D. Farmer, “Rosetta Stone For Connectionism,” Physica D 42 pp.153-187 (1990).

J. D. Farmer and J. J. Sidorowich, “Optimal Shadowing and Noise Reduction,” Physica D 47 pp. 373-392 (1991).

M. Casdagli, S. Eubank, J. D. Farmer and J. Gibson, “State Space Reconstruction in the Presence of Noise”, Physica D, 41 pp. 52-98 (1991).

R. J. Deissler and J. D. Farmer, “Deterministic Noise Amplifiers,” Physica D 55 pp.155- 165 (1992).

U. Dressler and J. D. Farmer, “Lyapunov Exponents for Higher Order Derivatives” Physica D 59 pp.365-377 (1992).

J. Gibson, J .D. Farmer, M. Casdagli, and S. Eubank, “An Analytic Approach to Practical State Space Reconstruction”, Physica D 57 pp.1-30 (1992).

J. Theiler, B. Galdrikian, A. Longtin, S. Eubank, and J. D. Farmer, “Detecting Nonlinear Structure in Time Series”, Physica D 58 pp. 77-94 (1992).

J.D. Farmer and Andrew W. Lo, “Frontiers of Finance: Evolution and Efficient Markets”, Proceedings of the National Academy of Science 96 pp. 9991-9992 (1999).

J. D. Farmer, “Physicists Attempt to Scale the Ivory Towers of Finance”, Computing in Science and Engineering (IEEE), pp. 26-39 (1999).

S. Sato, E. Akiyama and J. D. Farmer, “Chaos in Learning a Simple Two Person Game”, Proceedings of the National Academy of Science 99 (7) (2002).

M. Newman, M. Girvan, and J. D. Farmer, “Optimal Design, Robustness, and Risk Aversion,” Physical Review Letters 89 (2) 2002.

J. D. Farmer, “ Market Force, Ecology and Evolution,” Industrial and Corporate Change 11 (5) pp. 895 – 953 (2002).

J. D. Farmer and S. Joshi, “The Price Dynamics of Common Trading Strategies,” Journal of Economic Behavior & Organization 49 (2) pp.149-171 (2002).

Y. Sato, E. Akiyama and J. D. Farmer, “Chaos in Learning a Simple Two-Person Game,” Proceedings of the National Academy of Sciences of the United States of America 99, (7) pp. 4748-4751 (2002).

M. G. Daniels, J. D. Farmer, L. Gillemot, G. Iori, and E. Smith,“ Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process.” Physical Review Letters 90, (10) (2003).

F. Lillo, J. D. Farmer, and R. N. Mantegna, “Econophysics- Master Curve for Price- Impact Function,” Nature 421 (6919) pp.129-130 (2003).

G. Iori, M. G. Daniels, J. D. Farmer, L. Gillemot, S. Krishnamurthy, and E. Smith, “An Analysis of Price Impact Function in Order-driven Markets,” Physica A- Statistical Mechanics and its Applications 324 (1-2) pp.146 - 151 (2003).

J. D. Farmer and F. Lillo, “ On the Origin of Power-Law Tails in Price Fluctuations,” Quantitative Finance 4(1) pp. 7- 11 (2004).

J. D. Farmer, L. Gillemot, F. Lillo, S. Mike, and A. Sen, “What Really Causes Large Price Changes?” Quantitative Finance 4 (4) pp. 383-397 (2004).

F. Lillo, and J. D. Farmer, “The Long Memory of the Efficient Market,” Studies in Nonlinear Dynamics & Econometrics 8 (3) article 1. http://www.bepress.com/snde/vol8/iss3/art1 (2004).

Working Papers:

M. G. Daniels, J. D. Farmer, G. Iori, and E. Smith, “Demand Storage, Market Liquidity, and price Volatility,” SFI Working Paper 02-01-001 (2001).

J. D. Farmer, P. Patelli, and I. Zovko, “The Predictive Power of Zero Intelligence in Financial Markets,” Santa Fe Institute Working Paper 03-09-051 (2003).

F. Lillo, S. Mike, and J. D. Farmer, “A Theory for Long-Memory in Supply and Demand,” SFI Working Paper 04-12-041 (2004).

Conference Proceedings:

J. D. Farmer, “Dimension, Fractal Measures and Chaotic Dynamics,” in Evolution of Order and Chaos in Physics, Chemistry and Biology, ed. H. Haken, Springer-Verlag, Berlin, pp. 228 - 249 (1982).

D. Campbell, J. D. Farmer, and H. Rose “Order in Chaos: Review of the CNLS Conference on Chaos in Deterministic Systems,” Los Alamos Science 3 p.66 (1982).

J. D. Farmer, “Sensitive Dependence to Noise without Sensitive Dependence to Initial Conditions, “Los Alamos Technical Report LA-UR-83-1450.

J. D. Farmer, J. L. Hudson, and O. E. Rossler, “Noodle-Map Chaos: A Simple Example,” in Stochastic Phenomena and Chaotic Behavior in Complex Systems, Springer-Verlag, New York pp. 30 - 37 (1983).

J. D. Farmer, “Sensitive Dependence on Parameters, Fat Fractals, and Universal Strange Attractors,” in Fluctuations and Sensitivity in Non-equilibrium Systems, eds. W. Hostemke and D. Kondipudi, Spriinger-Verlag, New York pp. 172 - 180 (1984).

J. D. Farmer and N. Packard, “Evolution, Games and Learning: Models for Adaptation in Machines and Nature- Proceedings of the 5th Annual International Conference,” Physica D 22 (1 – 3) pp. R7 – R12 (1986).

J. D. Farmer, S. Kauffman, N. Packard, and A. Perelson, “Adaptive Dynamic Networks as Models for the immune System and Autocatalytic Sets,” in Perspectives in Biological Dynamics and Theoretical Medicine, Annals of the N.Y. Academy of Sciences 504 pp. 118-131(1987).

J. D. Farmer, “Scaling Fat Fractals”, In Dimensions and Entropies in Chaotic Systems, edited by G. Mayer-Kress, Springer Verlag, Berlin (1986).

J. D. Farmer and J. J. Sidorowich, “Predicting Chaotic Dynamics,” in Dynamic Patterns in Complex Systems, eds. J.A.S. Kelso, A.J. Mandrell, M.F. Shlesinger, World Scientific Publishers, Singapore (1988).

J. D. Farmer and J. J. Sidorowich, “Exploiting Chaos to Predict the Future and Reduce Noise,” Evolution, Learning and Cognition, ed. Y.C. Lee, World Scientific Press. pp. 277-330 (1988).

S. Eubank and J. D. Farmer, “An Introduction to Chaos and Prediction,” in Lectures in the Sciences of Complexity, ed. E. Jen, Addison-Wesley, Volume II, Santa Fe Institute Summer School (1990).

S. Eubank, M. Casdagli, J. D. Farmer and J. Gibson, “State Space Forecasting and Noise Reduction,” in Proceedings of the 29th IEEE Conference on Decision and Control p. 641 (1990).

J. D. Farmer and A. d’A. Belin, “Artificial Life: The Coming Evolution,” in Artificial Life II, eds. C. Langton, C. Taylor, J.D. Farmer, and S. Rasmussen, Santa Fe Institute Lectures in the Sciences of Complexity Series’” Addison-Wesley pp. 815-840 (1991).

M. Casdagli, S. Eubank, J. D. Farmer and J. Gibson “State Space Reconstruction in the in Presence of Noise”, in Information Dynamics, eds. H. Atmanspacher and H. Scheingraber, NATO ASI Series B 256 pp. 61-96 (1991).

M. Casdagli, D. DesJardins, S. Eubank, J. D. Farmer, J. Gibson, N. Hunter, and J. Theiler, “Nonlinear Modeling of Chaotic Time Series: Theory and Applications.” Applications of Chaos, ed J. Kim (1991).

R. J. Bagley and J. D. Farmer, “Spontaneous Emergence of a Metabolism,” in Artificial Life II, eds. C. Langton, C. Taylor, J.D. Farmer, and S. Rasmussen, Santa Fe Institute “Lectures in the Sciences of Complexity” Series, Addison Wesley pp. 93-140 (1991).

R. J. Bagley, J. D. Farmer, and W. Fontana, “Evolution of a Metabolism,” in Artificial Life II, eds. C. Langton, C. Taylor, J.D. Farmer, and S. Rasmussen, Santa Fe Institute “Lectures in the Sciences of Complexity” Series, Addison Wesley pp. 141-158 (1991).

J. D. Farmer, “Toward Agent-Based Models for Investment”, in Developments in Quantitative Investment Models, AIMR (2001).

16mm FILMS 1. “A Friendly Introduction to Strange Attractors,” J. Crutchfield, J.D. Farmer, H. Froehling, N. Packard, and R. Shaw-10min. 2. “Mixing Properties of Chaotic Attractors,” J.D. Farmer, J. Crutchfield, N. Packard, and R. Shaw-10min. VIDEO “The Sounds of Chaos,” color, 30-min. SCREENPLAY “The Eudaemonic Pie’” with P. Golding (Warner Bros.)