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Blake Lebaron

Personal Details

First Name:Blake
Middle Name:
Last Name:Lebaron
Suffix:
RePEc Short-ID:ple1
http://www.brandeis.edu/~blebaron
MS 32 Brandeis University South St. Waltham, MA 02454
781 736-2258
Terminal Degree: Department of Economics, International Business School; Brandeis University (from RePEc Genealogy)

Affiliation

Department of Economics, International Business School
Brandeis University

Waltham, Massachusetts (United States)
http://www.brandeis.edu/ief/
RePEc:edi:gsbraus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software Chapters Books

Working papers

  1. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
  2. 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.
  3. Blake LeBaron, 2010. "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers 14, Brandeis University, Department of Economics and International Business School.
  4. Blake LeBaron, 2010. "Searching For Lost Decades," Working Papers 30, Brandeis University, Department of Economics and International Business School.
  5. Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers 29, Brandeis University, Department of Economics and International Business School, revised Dec 2010.
  6. Blake LeBaron, 2010. "Heterogeneous Gain Learning and Long Swings in Asset Prices," Working Papers 10, Brandeis University, Department of Economics and International Business School.
  7. 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.
  8. 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.
  9. Blake LeBaron, 1999. "Evolution and Time Horizons in an Agent-Based Stock Market," Computing in Economics and Finance 1999 1342, Society for Computational Economics.
  10. 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.
  11. Arthur, W.B. & LeBaron, B. & Palmer, R., 1997. "Time Series Properties of an Artificial Stock Market," Working papers 9725, Wisconsin Madison - Social Systems.
  12. Le Baron, B., 1997. "An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization," Working papers 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 96-12-093, Santa Fe Institute.
  14. 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.
  15. 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.
  16. Blake LeBaron & Andreas S. Weigend, 1994. "Evaluating Neural Network Predictors by Bootstrapping," Finance 9411002, University Library of Munich, Germany.
  17. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, University Library of Munich, Germany.
  18. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, University Library of Munich, Germany.
  19. LeBaron, B., 1992. "Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?," Working papers 9222, Wisconsin Madison - Social Systems.
  20. LeBaron, B., 1992. "Persistence of the Dow Jones Index on Rising Volume," Working papers 9201, Wisconsin Madison - Social Systems.
  21. LeBaron, B., 1991. "Forecast Improvements Using A Volatility Index," Working papers 9105, Wisconsin Madison - Social Systems.
  22. 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.
  23. LeBaron, B., 1991. "Transactions Costs and Correlations in a Large Firm Index," Working papers 9126, Wisconsin Madison - Social Systems.
  24. 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.
  25. Lebaron, B., 1990. "Some Relations Between Volatility And Serial Correlations In Stock Market Returns," Working papers 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, "undated". "The Joint Dynamics and Stability of Stock Prices and Volume," Working papers _004, University of Wisconsin - Madison.
  28. Blake LeBaron, "undated". "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison.
  29. Blake LeBaron, "undated". "Experiments in Evolutionary Finance," Working papers _001, University of Wisconsin - Madison.
  30. Blake LeBaron, "undated". "Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?," Working papers _005, University of Wisconsin - Madison.
  31. Blake LeBaron, "undated". "Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend)," Working papers _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, vol. 1(2), pages 37-46.
  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.
  3. LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
  4. 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.
  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;EDP Sciences, vol. 73(1), pages 51-57, January.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  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, 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, vol. 1(6), pages 621-631.
  13. B. LeBaron, 2001. "A builder's guide to agent-based financial markets," Quantitative Finance, 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, vol. 5(02), pages 225-254, April.
  15. 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.
  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, vol. 90(2), pages 32-37, May.
  17. 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.
  18. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
  19. 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.
  20. LeBaron Blake, 1997. "A Fast Algorithm for the BDS Statistic," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(2), pages 1-9, July.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.

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, April.

More information

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Statistics

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Rankings

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  21. Euclidian citation score
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-EVO: Evolutionary Economics (3) 1999-07-12 1999-07-12 2011-01-03
  2. NEP-FIN: Finance (3) 1999-07-12 1999-07-12 2005-11-19
  3. NEP-CMP: Computational Economics (2) 1999-08-22 2011-02-26
  4. NEP-RMG: Risk Management (2) 2005-11-19 2011-02-26
  5. NEP-EXP: Experimental Economics (1) 1999-07-12
  6. NEP-FMK: Financial Markets (1) 2005-11-19
  7. NEP-MIC: Microeconomics (1) 2011-01-03

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