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Blake Lebaron

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Personal Details

First Name: Blake
Middle Name:
Last Name: Lebaron
Suffix:

RePEc Short-ID: ple1

Email:
Homepage: http://www.brandeis.edu/~blebaron
Postal Address: MS 32 Brandeis University South St. Waltham, MA 02454
Phone: 781 736-2258

Affiliation

Department of Economics, International Business School
Brandeis University
Location: Waltham, Massachusetts (United States)
Homepage: http://www.brandeis.edu/ief/
Email:
Phone:
Fax:
Postal: MS032, P.O. Box 9110, Waltham, MA 02454-9110
Handle: RePEc:edi:gsbraus (more details at EDIRC)

Works

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Working papers

  1. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers, Brandeis University, Department of Economics and International Businesss School 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
  2. Blake LeBaron, 2012. "Are Lost Decades in the Stock Market Black Swans?," Rosenberg Global Financial Briefs, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School 5, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School.
  3. Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers, Brandeis University, Department of Economics and International Businesss School 29, Brandeis University, Department of Economics and International Businesss School, revised Dec 2010.
  4. Blake LeBaron, 2010. "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers, Brandeis University, Department of Economics and International Businesss School 14, Brandeis University, Department of Economics and International Businesss School.
  5. Blake LeBaron, 2010. "Searching For Lost Decades," Working Papers, Brandeis University, Department of Economics and International Businesss School 30, Brandeis University, Department of Economics and International Businesss School.
  6. Blake LeBaron, 2010. "Heterogeneous Gain Learning and Long Swings in Asset Prices," Working Papers, Brandeis University, Department of Economics and International Businesss School 10, Brandeis University, Department of Economics and International Businesss School.
  7. LeBaron, Blake & Tesfatsion, Leigh S., 2008. "Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents," Staff General Research Papers, Iowa State University, Department of Economics 12973, Iowa State University, Department of Economics.
  8. Ritirupa Samanta & Blake LeBaron, 2005. "Extreme Value Theory and Fat Tails in Equity Markets," Computing in Economics and Finance 2005, Society for Computational Economics 140, Society for Computational Economics.
  9. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999, Society for Computational Economics 653, Society for Computational Economics.
  10. Blake LeBaron, 1999. "Evolution and Time Horizons in an Agent-Based Stock Market," Computing in Economics and Finance 1999, Society for Computational Economics 1342, Society for Computational Economics.
  11. Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers, Wisconsin Madison - Social Systems 9725, Wisconsin Madison - Social Systems.
  12. Le Baron, B., 1997. "An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization," Working papers, Wisconsin Madison - Social Systems 9718, Wisconsin Madison - Social Systems.
  13. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers, Santa Fe Institute 96-12-093, Santa Fe Institute.
  14. Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers, Wisconsin Madison - Social Systems 9520, Wisconsin Madison - Social Systems.
  15. William A. Brock & Blake D. LeBaron, 1995. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," NBER Working Papers 4988, National Bureau of Economic Research, Inc.
  16. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance, EconWPA 9411002, EconWPA.
  17. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance, EconWPA 9411001, EconWPA.
  18. Blake LeBaron & Andreas S. Weigend, 1994. "Evaluating Neural Network Predictors by Bootstrapping," Finance, EconWPA 9411002, EconWPA.
  19. LeBaron, B., 1992. "Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?," Working papers, Wisconsin Madison - Social Systems 9222, Wisconsin Madison - Social Systems.
  20. LeBaron, B., 1992. "Persistence of the Dow Jones Index on Rising Volume," Working papers, Wisconsin Madison - Social Systems 9201, Wisconsin Madison - Social Systems.
  21. LeBaron, B., 1991. "Empirical Evidence for Nonlinearities and Chaos in Economic Time Series: A Summary of Recent Results," Working papers, Wisconsin Madison - Social Systems 9117, Wisconsin Madison - Social Systems.
  22. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers, Wisconsin Madison - Social Systems 90-22, Wisconsin Madison - Social Systems.
  23. LeBaron, B., 1991. "Forecast Improvements Using A Volatility Index," Working papers, Wisconsin Madison - Social Systems 9105, Wisconsin Madison - Social Systems.
  24. LeBaron, B., 1991. "Transactions Costs and Correlations in a Large Firm Index," Working papers, Wisconsin Madison - Social Systems 9126, Wisconsin Madison - Social Systems.
  25. Lebaron, B., 1990. "Some Relations Between Volatility And Serial Correlations In Stock Market Returns," Working papers, Wisconsin Madison - Social Systems 9002, Wisconsin Madison - Social Systems.
  26. William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc.
  27. Blake LeBaron, . "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers, University of Wisconsin - Madison _007, University of Wisconsin - Madison.
  28. Blake LeBaron, . "Experiments in Evolutionary Finance," Working papers, University of Wisconsin - Madison _001, University of Wisconsin - Madison.
  29. Blake LeBaron, . "The Joint Dynamics and Stability of Stock Prices and Volume," Working papers, University of Wisconsin - Madison _004, University of Wisconsin - Madison.
  30. Blake LeBaron, . "Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?," Working papers, University of Wisconsin - Madison _005, University of Wisconsin - Madison.
  31. Blake LeBaron, . "Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend)," Working papers, University of Wisconsin - Madison _003, University of Wisconsin - Madison.

Articles

  1. LeBaron, Blake, 2013. "Estimating the Probability of a Lost Decade for U.S. and Global Equity," Journal of Financial Perspectives, EY Global FS Institute, EY Global FS Institute, vol. 1(2), pages 37-46.
  2. LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, Elsevier, vol. 9(1), pages 21-28.
  3. LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 83(3), pages 424-445.
  4. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.
  5. R. Yamamoto & B. LeBaron, 2010. "Order-splitting and long-memory in an order-driven market," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, Springer, vol. 73(1), pages 51-57, January.
  6. Blake LeBaron & Peter Winker, 2008. "Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 228(2+3), pages 141-148, June.
  7. Jason M Barr & Troy Tassier & Leanne J Ussher & Blake LeBaron & Shu-Heng Chen & Shyam Sunder, 2008. "The Future of Agent-Based Research in Economics: A Panel Discussion, Eastern Economic Association Annual Meetings, Boston, March 7, 20081," Eastern Economic Journal, Palgrave Macmillan, vol. 34(4), pages 550-565.
  8. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan, vol. 34(4), pages 504-517.
  9. Blake LeBaron & Leigh Tesfatsion, 2008. "Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents," American Economic Review, American Economic Association, American Economic Association, vol. 98(2), pages 246-50, May.
  10. LeBaron, Blake & Yamamoto, Ryuichi, 2007. "Long-memory in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 383(1), pages 85-89.
  11. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, Elsevier, vol. 19(4), pages 751-752.
  12. B. LeBaron, 2001. "Stochastic volatility as a simple generator of apparent financial power laws and long memory," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(6), pages 621-631.
  13. B. LeBaron, 2001. "A builder's guide to agent-based financial markets," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(2), pages 254-261.
  14. LeBaron, Blake, 2001. "Evolution And Time Horizons In An Agent-Based Stock Market," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 5(02), pages 225-254, April.
  15. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(5-7), pages 679-702, June.
  16. Rachel McCulloch & Blake LeBaron, 2000. "Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options," American Economic Review, American Economic Association, American Economic Association, vol. 90(2), pages 32-37, May.
  17. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 23(9-10), pages 1487-1516, September.
  18. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, Elsevier, vol. 49(1), pages 125-143, October.
  19. LeBaron Blake, 1997. "A Fast Algorithm for the BDS Statistic," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 2(2), pages 1-9, July.
  20. Brock, William A & LeBaron, Blake D, 1996. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 94-110, February.
  21. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(5), pages 1731-64, December.
  22. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 65(2), pages 199-219, April.
  23. LeBaron, Blake, 1992. "Forecast Improvements Using a Volatility Index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S137-49, Suppl. De.
  24. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(3), pages 311-37, July.

Software components

  1. Blake LeBaron, 1991. "C Source for BDS Test Statistic for Independence," C/C++ codes, bds, .

Chapters

  1. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, Elsevier, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  2. William A. Brock & Blake LeBaron, 1990. "Liquidity Constraints in Production-Based Asset-Pricing Models," NBER Chapters, National Bureau of Economic Research, Inc, in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256 National Bureau of Economic Research, Inc.

Books

  1. William A. Brock & David A. Hsieh & Blake LeBaron, 1992. "Nonlinear Dynamics, Chaos, and Instability - Unix version," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262521725, December.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 1999-08-22 2011-02-26. Author is listed
  2. NEP-EVO: Evolutionary Economics (3) 1999-07-12 1999-07-12 2011-01-03. Author is listed
  3. NEP-EXP: Experimental Economics (1) 1999-07-12
  4. NEP-FIN: Finance (3) 1999-07-12 1999-07-12 2005-11-19. Author is listed
  5. NEP-FMK: Financial Markets (1) 2005-11-19
  6. NEP-MIC: Microeconomics (1) 2011-01-03
  7. NEP-RMG: Risk Management (2) 2005-11-19 2011-02-26. Author is listed

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