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Details about Blake Lebaron

E-mail:
Homepage:http://www.brandeis.edu/~blebaron
Phone:781 736-2258
Postal address:MS 32 Brandeis University South St. Waltham, MA 02454
Workplace:Department of Economics, International Business School, Brandeis University, (more information at EDIRC)

Access statistics for papers by Blake Lebaron.

Last updated 2013-12-20. Update your information in the RePEc Author Service.

Short-id: ple1


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Working Papers

2013

  1. Heterogeneous Agents and Long Horizon Features of Asset Prices
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads

2012

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

2010

  1. Heterogeneous Gain Learning and Long Swings in Asset Prices
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads
  2. Heterogeneous Gain Learning and the Dynamics of Asset Prices
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (3)
    See also Journal Article in Journal of Economic Behavior & Organization (2012)
  3. Searching For Lost Decades
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads
  4. Wealth Dynamics and a Bias Toward Momentum Trading
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads
    See also Journal Article in Finance Research Letters (2012)

2008

  1. Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents
    Staff General Research Papers, Iowa State University, Department of Economics View citations (40)
    See also Journal Article in American Economic Review (2008)

2005

  1. Extreme Value Theory and Fat Tails in Equity Markets
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (2)

1999

  1. Evolution and Time Horizons in an Agent-Based Stock Market
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (10)
    See also Journal Article in Macroeconomic Dynamics (2001)
  2. Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads

1997

  1. An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization
    Working papers, Wisconsin Madison - Social Systems View citations (1)
  2. Time Series Properties of an Artificial Stock Market
    Working papers, Wisconsin Madison - Social Systems View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (1999)

1996

  1. Asset Pricing Under Endogenous Expectation in an Artificial Stock Market
    Working Papers, Santa Fe Institute View citations (78)
    Also in Working papers, Wisconsin Madison - Social Systems (1996) View citations (11)
  2. Technical Trading Rule Profitability and Foreign Exchange Intervention
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    Also in Working papers, Wisconsin Madison - Social Systems (1996)
    Working papers, University of Wisconsin - Madison Downloads
    International Finance, EconWPA (1994) Downloads View citations (54)

    See also Journal Article in Journal of International Economics (1999)

1995

  1. A Dynamic Structural Model for Stock Return Volatility and Trading Volume
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article in The Review of Economics and Statistics (1996)
  2. A Test for Independence Based on the Correlation Dimension
    Working papers, Wisconsin Madison - Social Systems View citations (116)
  3. Experiments in Evolutionary Finance
    Working papers, Wisconsin Madison - Social Systems View citations (2)
    Also in Working papers, University of Wisconsin - Madison Downloads View citations (1)

1994

  1. Chaos and Nonlinear Forecastability in Economics and Finance
    Finance, EconWPA Downloads View citations (14)
  2. Evaluating Neural Network Predictors by Bootstrapping
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    Also in Finance, EconWPA (1994) Downloads View citations (2)

1992

  1. Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?
    Working papers, Wisconsin Madison - Social Systems View citations (7)
  2. Persistence of the Dow Jones Index on Rising Volume
    Working papers, Wisconsin Madison - Social Systems View citations (8)
    Also in Working papers, University of Wisconsin - Madison Downloads

1991

  1. Empirical Evidence for Nonlinearities and Chaos in Economic Time Series: A Summary of Recent Results
    Working papers, Wisconsin Madison - Social Systems View citations (4)
  2. Forecast Improvements Using A Volatility Index
    Working papers, Wisconsin Madison - Social Systems View citations (9)
    See also Journal Article in Journal of Applied Econometrics (1992)
  3. SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS
    Working papers, Wisconsin Madison - Social Systems View citations (98)
    See also Journal Article in Journal of Finance (1992)
  4. Technical Trading Rules and Regime Shifts in Foreign Exchange
    Working papers, Wisconsin Madison - Social Systems View citations (9)
    Also in Working papers, University of Wisconsin - Madison Downloads View citations (13)
  5. Transactions Costs and Correlations in a Large Firm Index
    Working papers, Wisconsin Madison - Social Systems View citations (1)

1990

  1. SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK MARKET RETURNS
    Working papers, Wisconsin Madison - Social Systems View citations (14)
    See also Journal Article in The Journal of Business (1992)

1989

  1. Liquidity Constraints in Production Based Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Chapter (1990)

Undated

  1. Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
    Working papers, University of Wisconsin - Madison Downloads View citations (10)
  2. Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend)
    Working papers, University of Wisconsin - Madison Downloads
  3. The Joint Dynamics and Stability of Stock Prices and Volume
    Working papers, University of Wisconsin - Madison Downloads View citations (1)

Journal Articles

2013

  1. Estimating the Probability of a Lost Decade for U.S. and Global Equity
    Journal of Financial Perspectives, 2013, 1, (2), 37-46

2012

  1. Heterogeneous gain learning and the dynamics of asset prices
    Journal of Economic Behavior & Organization, 2012, 83, (3), 424-445 Downloads View citations (5)
    See also Working Paper (2010)
  2. Wealth dynamics and a bias toward momentum trading
    Finance Research Letters, 2012, 9, (1), 21-28 Downloads View citations (1)
    See also Working Paper (2010)

2011

  1. Active and Passive Learning in Agent-based Financial Markets
    Eastern Economic Journal, 2011, 37, (1), 35-43 Downloads View citations (2)

2010

  1. Order-splitting and long-memory in an order-driven market
    The European Physical Journal B - Condensed Matter and Complex Systems, 2010, 73, (1), 51-57 Downloads View citations (3)

2008

  1. Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2008, 228, (2+3), 141-148 Downloads View citations (3)
  2. Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents
    American Economic Review, 2008, 98, (2), 246-50 Downloads View citations (35)
    See also Working Paper (2008)
  3. The Future of Agent-Based Research in Economics: A Panel Discussion, Eastern Economic Association Annual Meetings, Boston, March 7, 20081
    Eastern Economic Journal, 2008, 34, (4), 550-565 Downloads View citations (1)
  4. The Impact of Imitation on Long Memory in an Order-Driven Market
    Eastern Economic Journal, 2008, 34, (4), 504-517 Downloads View citations (5)

2007

  1. Long-memory in an order-driven market
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 85-89 Downloads View citations (9)

2003

  1. 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, [euro;]36.18, Hardback, ISBN 0-521-770416-0, $90, [UK pound]60, [euro;]89.03
    International Journal of Forecasting, 2003, 19, (4), 751-752 Downloads

2001

  1. A builder's guide to agent-based financial markets
    Quantitative Finance, 2001, 1, (2), 254-261 Downloads View citations (12)
  2. EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET
    Macroeconomic Dynamics, 2001, 5, (02), 225-254 Downloads View citations (23)
    See also Working Paper (1999)
  3. Stochastic volatility as a simple generator of apparent financial power laws and long memory
    Quantitative Finance, 2001, 1, (6), 621-631 Downloads View citations (26)

2000

  1. Agent-based computational finance: Suggested readings and early research
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 679-702 Downloads View citations (83)
  2. Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options
    American Economic Review, 2000, 90, (2), 32-37 Downloads View citations (12)

1999

  1. Technical trading rule profitability and foreign exchange intervention
    Journal of International Economics, 1999, 49, (1), 125-143 Downloads View citations (112)
    See also Working Paper (1996)
  2. Time series properties of an artificial stock market
    Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1487-1516 Downloads View citations (118)
    See also Working Paper (1997)

1997

  1. A Fast Algorithm for the BDS Statistic
    Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (2), 1-9 Downloads View citations (2)

1996

  1. A Dynamic Structural Model for Stock Return Volatility and Trading Volume
    The Review of Economics and Statistics, 1996, 78, (1), 94-110 Downloads View citations (88)
    See also Working Paper (1995)

1992

  1. Forecast Improvements Using a Volatility Index
    Journal of Applied Econometrics, 1992, 7, (S), S137-49 Downloads View citations (20)
    See also Working Paper (1991)
  2. Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
    Journal of Finance, 1992, 47, (5), 1731-64 Downloads View citations (281)
    See also Working Paper (1991)
  3. Some Relations between Volatility and Serial Correlations in Stock Market Returns
    The Journal of Business, 1992, 65, (2), 199-219 Downloads View citations (51)
    See also Working Paper (1990)

1989

  1. Nonlinear Dynamics and Stock Returns
    The Journal of Business, 1989, 62, (3), 311-37 Downloads View citations (128)

Books

1992

  1. Nonlinear Dynamics, Chaos, and Instability - Unix version, vol 1
    MIT Press Books, The MIT Press

Chapters

2006

  1. Agent-based Computational Finance
    Chapter 24 in Handbook of Computational Economics, 2006, vol. 2, pp 1187-1233 Downloads View citations (101)

1990

  1. Liquidity Constraints in Production-Based Asset-Pricing Models
    A chapter in Asymmetric Information, Corporate Finance, and Investment, 1990, pp 231-256 Downloads View citations (4)
    See also Working Paper (1989)

Software Items

1991

  1. C Source for BDS Test Statistic for Independence
    C/C++ codes Downloads
 
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