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Publications

by alumni of

Department of Economics, International Business School
Brandeis University
Waltham, Massachusetts (United States)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.


| Working papers | Journal articles | Books | Chapters | Software components |

Working papers

Undated material is listed at the end

2018

  1. Ayako Saiki & Jon Frost, 2018. "Japan's Unconventional Monetary Policy and Income Distribution: Revisited," Working Papers e126, Tokyo Center for Economic Research.

2016

  1. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
  2. Saiki, Ayako & Chantapacdepong, Pornpinun & Volz, Ulrich, 2016. "Dealing with Quantitative Easing Spillovers in East Asia: The Role of Institutions and Macroprudential Policy," ADBI Working Papers 604, Asian Development Bank Institute.

2014

  1. Ayako Saiki & Jon Frost, 2014. "Does Unconventional Monetary Policy Affect Inequality? Evidence from Japan," Working Papers 1402, Council on Economic Policies.

2013

  1. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.

2012

  1. Blake LeBaron, 2012. "Are Lost Decades in the Stock Market Black Swans?," Rosenberg Global Financial Briefs 5, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School.

2010

  1. Blake LeBaron, 2010. "Heterogeneous Gain Learning and Long Swings in Asset Prices," Working Papers 10, Brandeis University, Department of Economics and International Businesss School.
  2. Blake LeBaron, 2010. "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers 14, Brandeis University, Department of Economics and International Businesss School.
  3. Blake LeBaron, 2010. "Searching For Lost Decades," Working Papers 30, Brandeis University, Department of Economics and International Businesss School.
  4. 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.

2008

  1. LeBaron, Blake & Tesfatsion, Leigh S., 2008. "Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents," Staff General Research Papers Archive 12973, Iowa State University, Department of Economics.

2005

  1. 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.

1999

  1. Blake LeBaron, 1999. "Evolution and Time Horizons in an Agent-Based Stock Market," Computing in Economics and Finance 1999 1342, Society for Computational Economics.
  2. 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.

1997

  1. Le Baron, B., 1997. "An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization," Working papers 9718, Wisconsin Madison - Social Systems.
  2. Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers 9725, Wisconsin Madison - Social Systems.

1996

  1. 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.

1995

  1. 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.
  2. 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.

1994

  1. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, University Library of Munich, Germany.
  2. Blake LeBaron & Andreas S. Weigend, 1994. "Evaluating Neural Network Predictors by Bootstrapping," Finance 9411002, University Library of Munich, Germany.
  3. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, University Library of Munich, Germany.

1992

  1. LeBaron, B., 1992. "Persistence of the Dow Jones Index on Rising Volume," Working papers 9201, Wisconsin Madison - Social Systems.
  2. LeBaron, B., 1992. "Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?," Working papers 9222, Wisconsin Madison - Social Systems.

1991

  1. 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.
  2. LeBaron, B., 1991. "Forecast Improvements Using A Volatility Index," Working papers 9105, Wisconsin Madison - Social Systems.
  3. 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.
  4. LeBaron, B., 1991. "Transactions Costs and Correlations in a Large Firm Index," Working papers 9126, Wisconsin Madison - Social Systems.

1990

  1. Lebaron, B., 1990. "Some Relations Between Volatility And Serial Correlations In Stock Market Returns," Working papers 9002, Wisconsin Madison - Social Systems.

1989

  1. William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc.

Undated

  1. Blake LeBaron, "undated". "Experiments in Evolutionary Finance," Working papers _001, University of Wisconsin - Madison.
  2. Blake LeBaron, "undated". "The Joint Dynamics and Stability of Stock Prices and Volume," Working papers _004, University of Wisconsin - Madison.
  3. Blake LeBaron, "undated". "Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?," Working papers _005, University of Wisconsin - Madison.
  4. Blake LeBaron, "undated". "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison.
  5. Blake LeBaron, "undated". "Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend)," Working papers _003, University of Wisconsin - Madison.

Journal articles

2020

  1. Ayako Saiki & Jon Frost, 2020. "Unconventional monetary policy and inequality: is Japan unique?," Applied Economics, Taylor & Francis Journals, vol. 52(44), pages 4809-4821, September.

2018

  1. Saiki Ayako, 2018. "Business Cycle Synchronization and Vertical Trade Integration: A Case Study of the Eurozone and East Asia," Global Economy Journal, De Gruyter, vol. 18(1), pages 1-15, March.

2015

  1. Ayako Saiki, 2015. "The Endogeneity of Exchange Rate Pass-Through: Some European Evidence," Open Economies Review, Springer, vol. 26(5), pages 893-909, November.

2014

  1. Jon Frost & Ayako Saiki, 2014. "Early Warning for Currency Crises: What Is the Role of Financial Openness?," Review of International Economics, Wiley Blackwell, vol. 22(4), pages 722-743, September.
  2. Ayako Saiki & Jon Frost, 2014. "Does unconventional monetary policy affect inequality? Evidence from Japan," Applied Economics, Taylor & Francis Journals, vol. 46(36), pages 4445-4454, December.

2013

  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, vol. 1(2), pages 37-46.

2012

  1. LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
  2. LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.

2011

  1. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 37(1), pages 35-43.

2010

  1. 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;EDP Sciences, vol. 73(1), pages 51-57, January.

2008

  1. 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 246-250, May.
  2. 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;Eastern Economic Association, vol. 34(4), pages 550-565.
  3. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
  4. LeBaron Blake & Winker Peter, 2008. "Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 141-148, April.

2007

  1. LeBaron, Blake & Yamamoto, Ryuichi, 2007. "Long-memory in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 85-89.

2005

  1. Ayako Saiki, 2005. "Asymmetric Effect of Currency Union for Developing Countries," Open Economies Review, Springer, vol. 16(3), pages 227-247, July.

2003

  1. 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.

2002

  1. Frankel, Jeffrey & Saiki, Ayako, 2002. "A Proposal to Anchor Monetary Policy by the Price of the Export Commodity," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 17, pages 417-448.

2001

  1. 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.
  2. B. LeBaron, 2001. "A builder's guide to agent-based financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 254-261.
  3. B. LeBaron, 2001. "Stochastic volatility as a simple generator of apparent financial power laws and long memory," Quantitative Finance, Taylor & Francis Journals, vol. 1(6), pages 621-631.
  4. Alain Chaboud & Blake LeBaron, 2001. "Foreign‐Exchange Trading Volume and Federal Reserve Intervention," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(9), pages 851-860, September.

2000

  1. Rachel McCulloch & Blake LeBaron, 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.
  2. 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.

1999

  1. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
  2. 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.

1997

  1. LeBaron Blake, 1997. "A Fast Algorithm for the BDS Statistic," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(2), pages 1-9, July.

1996

  1. 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.

1992

  1. 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.
  2. 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 1731-1764, December.
  3. LeBaron, Blake, 1992. "Forecast Improvements Using a Volatility Index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 137-149, Suppl. De.

1989

  1. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July.

Books

1992

  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.

Chapters

2006

  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.

1990

  1. 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.

Software components

1991

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

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.