Details about Blake Lebaron
Access statistics for papers by Blake Lebaron.
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Short-id: ple1
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Working Papers
2013
- Heterogeneous Agents and Long Horizon Features of Asset Prices
Working Papers, Brandeis University, Department of Economics and International Businesss School
2012
- Are Lost Decades in the Stock Market Black Swans?
Rosenberg Global Financial Briefs, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School
2010
- Heterogeneous Gain Learning and Long Swings in Asset Prices
Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (2)
- Heterogeneous Gain Learning and the Dynamics of Asset Prices
Working Papers, Brandeis University, Department of Economics and International Businesss School View citations (4)
See also Journal Article in Journal of Economic Behavior & Organization (2012)
- Searching For Lost Decades
Working Papers, Brandeis University, Department of Economics and International Businesss School
- Wealth Dynamics and a Bias Toward Momentum Trading
Working Papers, Brandeis University, Department of Economics and International Businesss School 
See also Journal Article in Finance Research Letters (2012)
2008
- Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents
Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (155)
See also Journal Article in American Economic Review (2008)
2005
- Extreme Value Theory and Fat Tails in Equity Markets
Computing in Economics and Finance 2005, Society for Computational Economics View citations (9)
1999
- 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)
- Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders
Computing in Economics and Finance 1999, Society for Computational Economics View citations (2)
1997
- An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization
Working papers, Wisconsin Madison - Social Systems View citations (1)
- Time Series Properties of an Artificial Stock Market
Working papers, Wisconsin Madison - Social Systems View citations (6)
See also Journal Article in Journal of Economic Dynamics and Control (1999)
1996
- Asset Pricing Under Endogenous Expectation in an Artificial Stock Market
Working Papers, Santa Fe Institute View citations (89)
Also in Working papers, Wisconsin Madison - Social Systems (1996) View citations (34)
- Technical Trading Rule Profitability and Foreign Exchange Intervention
NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
Also in Working papers, Wisconsin Madison - Social Systems (1996) View citations (1) International Finance, University Library of Munich, Germany (1994) View citations (49) Working papers, University of Wisconsin - Madison 
See also Journal Article in Journal of International Economics (1999)
1995
- A Dynamic Structural Model for Stock Return Volatility and Trading Volume
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
See also Journal Article in The Review of Economics and Statistics (1996)
- A Test for Independence Based on the Correlation Dimension
Working papers, Wisconsin Madison - Social Systems View citations (130)
- Experiments in Evolutionary Finance
Working papers, Wisconsin Madison - Social Systems View citations (3)
Also in Working papers, University of Wisconsin - Madison View citations (1)
1994
- Chaos and Nonlinear Forecastability in Economics and Finance
Finance, University Library of Munich, Germany View citations (23)
- Evaluating Neural Network Predictors by Bootstrapping
Finance, University Library of Munich, Germany View citations (2)
Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1994)
1992
- Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?
Working papers, Wisconsin Madison - Social Systems View citations (12)
- Persistence of the Dow Jones Index on Rising Volume
Working papers, Wisconsin Madison - Social Systems View citations (14)
Also in Working papers, University of Wisconsin - Madison View citations (1)
1991
- Empirical Evidence for Nonlinearities and Chaos in Economic Time Series: A Summary of Recent Results
Working papers, Wisconsin Madison - Social Systems View citations (4)
- 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)
- SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS
Working papers, Wisconsin Madison - Social Systems View citations (92)
See also Journal Article in Journal of Finance (1992)
- Technical Trading Rules and Regime Shifts in Foreign Exchange
Working papers, Wisconsin Madison - Social Systems View citations (14)
Also in Working papers, University of Wisconsin - Madison View citations (13)
- Transactions Costs and Correlations in a Large Firm Index
Working papers, Wisconsin Madison - Social Systems View citations (1)
1990
- 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
- Liquidity Constraints in Production Based Asset Pricing Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
See also Chapter (1990)
Undated
- Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
Working papers, University of Wisconsin - Madison View citations (10)
- Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend)
Working papers, University of Wisconsin - Madison
- The Joint Dynamics and Stability of Stock Prices and Volume
Working papers, University of Wisconsin - Madison View citations (1)
Journal Articles
2013
- Estimating the Probability of a Lost Decade for U.S. and Global Equity
Journal of Financial Perspectives, 2013, 1, (2), 37-46
2012
- Heterogeneous gain learning and the dynamics of asset prices
Journal of Economic Behavior & Organization, 2012, 83, (3), 424-445 View citations (23)
See also Working Paper (2010)
- Wealth dynamics and a bias toward momentum trading
Finance Research Letters, 2012, 9, (1), 21-28 View citations (2)
See also Working Paper (2010)
2011
- Active and Passive Learning in Agent-based Financial Markets
Eastern Economic Journal, 2011, 37, (1), 35-43 View citations (10)
2010
- 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 View citations (11)
2008
- 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 View citations (7)
- Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents
American Economic Review, 2008, 98, (2), 246-50 View citations (150)
See also Working Paper (2008)
- 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 View citations (4)
- The Impact of Imitation on Long Memory in an Order-Driven Market
Eastern Economic Journal, 2008, 34, (4), 504-517 View citations (19)
2007
- Long-memory in an order-driven market
Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 85-89 View citations (20)
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, [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
2001
- A builder's guide to agent-based financial markets
Quantitative Finance, 2001, 1, (2), 254-261 View citations (27)
- EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET
Macroeconomic Dynamics, 2001, 5, (02), 225-254 View citations (44)
See also Working Paper (1999)
- Foreign‐Exchange Trading Volume and Federal Reserve Intervention
Journal of Futures Markets, 2001, 21, (9), 851-860 View citations (4)
- Stochastic volatility as a simple generator of apparent financial power laws and long memory
Quantitative Finance, 2001, 1, (6), 621-631 View citations (61)
2000
- Agent-based computational finance: Suggested readings and early research
Journal of Economic Dynamics and Control, 2000, 24, (5-7), 679-702 View citations (135)
- Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options
American Economic Review, 2000, 90, (2), 32-37 View citations (14)
1999
- Technical trading rule profitability and foreign exchange intervention
Journal of International Economics, 1999, 49, (1), 125-143 View citations (154)
See also Working Paper (1996)
- Time series properties of an artificial stock market
Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1487-1516 View citations (229)
See also Working Paper (1997)
1997
- A Fast Algorithm for the BDS Statistic
Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (2), 1-9 View citations (11)
1996
- A Dynamic Structural Model for Stock Return Volatility and Trading Volume
The Review of Economics and Statistics, 1996, 78, (1), 94-110 View citations (119)
See also Working Paper (1995)
1992
- Forecast Improvements Using a Volatility Index
Journal of Applied Econometrics, 1992, 7, (S), S137-49 View citations (21)
See also Working Paper (1991)
- Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
Journal of Finance, 1992, 47, (5), 1731-64 View citations (590)
See also Working Paper (1991)
- Some Relations between Volatility and Serial Correlations in Stock Market Returns
The Journal of Business, 1992, 65, (2), 199-219 View citations (88)
See also Working Paper (1990)
1989
- Nonlinear Dynamics and Stock Returns
The Journal of Business, 1989, 62, (3), 311-37 View citations (201)
Books
1992
- Nonlinear Dynamics, Chaos, and Instability - Unix version, vol 1
MIT Press Books, The MIT Press View citations (4)
Chapters
2006
- Agent-based Computational Finance
Chapter 24 in Handbook of Computational Economics, 2006, vol. 2, pp 1187-1233 View citations (174)
1990
- Liquidity Constraints in Production-Based Asset-Pricing Models
A chapter in Asymmetric Information, Corporate Finance, and Investment, 1990, pp 231-256 View citations (5)
See also Working Paper (1989)
Software Items
1991
- C Source for BDS Test Statistic for Independence
C/C++ codes
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