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Blake Lebaron

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Personal Details

First Name: Blake
Middle Name:
Last Name: Lebaron
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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

Works


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Working papers

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

Articles

  1. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.
  2. Blake LeBaron & Leigh Tesfatsion, 2008. "Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents," American Economic Review, American Economic Association, vol. 98(2), pages 246-50, May.
  3. 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, vol. 228(2+3), pages 141-148, June.
  4. 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.
  5. 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.
  6. 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, vol. 19(4), pages 751-752.
  7. LeBaron, Blake, 2001. "Evolution And Time Horizons In An Agent-Based Stock Market," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 225-254, April.
  8. Blake LeBaron & Rachel McCulloch, 2000. "Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options," American Economic Review, American Economic Association, vol. 90(2), pages 32-37, May.
  9. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
  10. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
  11. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
  12. Blake LeBaron, 1997. "A Fast Algorithm for the BDS Statistic," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(2), pages al1.
  13. 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.
  14. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
  15. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
  16. LeBaron, Blake, 1992. "Forecast Improvements Using a Volatility Index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S137-49, Suppl. De.
  17. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, 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, 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, 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, edition 1, volume 1, number 0262521725.

NEP Fields

7 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

Statistics

This author is among the top 5% authors according to these criteria:
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  5. Number of Citations
  6. Number of Citations, Discounted by Citation Age
  7. Number of Citations, Weighted by Simple Impact Factor
  8. Number of Citations, Weighted by Recursive Impact Factor
  9. Number of Citations, Weighted by Number of Authors
  10. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  11. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  12. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  14. h-index
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