Details about Blake Lebaron

Access statistics for papers by Blake Lebaron.

Last updated 2015-06-25. Update your information in the RePEc Author Service.

Short-id: ple1

Working Papers

2013

1. Heterogeneous Agents and Long Horizon Features of Asset Prices
   Working Papers, Brandeis University, Department of Economics and International Business School View citations (1)

2012

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

2010

3. Heterogeneous Gain Learning and Long Swings in Asset Prices
   Working Papers, Brandeis University, Department of Economics and International Business School View citations (8)
4. Heterogeneous Gain Learning and the Dynamics of Asset Prices
   Working Papers, Brandeis University, Department of Economics and International Business School View citations (5)
   See also Journal Article Heterogeneous gain learning and the dynamics of asset prices, Journal of Economic Behavior & Organization, Elsevier (2012) View citations (27) (2012)
5. Searching For Lost Decades
   Working Papers, Brandeis University, Department of Economics and International Business School
6. Wealth Dynamics and a Bias Toward Momentum Trading
   Working Papers, Brandeis University, Department of Economics and International Business School
   See also Journal Article Wealth dynamics and a bias toward momentum trading, Finance Research Letters, Elsevier (2012) View citations (2) (2012)

2008

7. Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents
   Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (225)
   See also Journal Article Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents, American Economic Review, American Economic Association (2008) View citations (245) (2008)

2005

8. Extreme Value Theory and Fat Tails in Equity Markets
   Computing in Economics and Finance 2005, Society for Computational Economics View citations (13)

1999

9. Evolution and Time Horizons in an Agent-Based Stock Market
   Computing in Economics and Finance 1999, Society for Computational Economics View citations (11)
   See also Journal Article EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET, Macroeconomic Dynamics, Cambridge University Press (2001) View citations (54) (2001)
10. 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

11. An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization
    Working papers, Wisconsin Madison - Social Systems View citations (1)
12. Time Series Properties of an Artificial Stock Market
    Working papers, Wisconsin Madison - Social Systems View citations (7)
    See also Journal Article Time series properties of an artificial stock market, Journal of Economic Dynamics and Control, Elsevier (1999) View citations (266) (1999)

1996

13. Asset Pricing Under Endogenous Expectation in an Artificial Stock Market
    Working Papers, Santa Fe Institute View citations (91)
    Also in Working papers, Wisconsin Madison - Social Systems (1996) View citations (54)
14. Technical Trading Rule Profitability and Foreign Exchange Intervention
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    Also in International Finance, University Library of Munich, Germany (1994) View citations (49)
    Working papers, Wisconsin Madison - Social Systems (1996) View citations (25)
    Working papers, University of Wisconsin - Madison View citations (174)
    See also Journal Article Technical trading rule profitability and foreign exchange intervention, Journal of International Economics, Elsevier (1999) View citations (190) (1999)

1995

15. A Dynamic Structural Model for Stock Return Volatility and Trading Volume
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
    See also Journal Article A Dynamic Structural Model for Stock Return Volatility and Trading Volume, The Review of Economics and Statistics, MIT Press (1996) View citations (144) (1996)
16. A Test for Independence Based on the Correlation Dimension
    Working papers, Wisconsin Madison - Social Systems View citations (137)
17. Experiments in Evolutionary Finance
    Working papers, Wisconsin Madison - Social Systems View citations (3)
    Also in Working papers, University of Wisconsin - Madison View citations (4)

1994

18. Chaos and Nonlinear Forecastability in Economics and Finance
    Finance, University Library of Munich, Germany View citations (30)
19. Evaluating Neural Network Predictors by Bootstrapping
    Finance, University Library of Munich, Germany View citations (3)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1994) View citations (1)

1992

20. Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets?
    Working papers, Wisconsin Madison - Social Systems View citations (25)
21. Persistence of the Dow Jones Index on Rising Volume
    Working papers, Wisconsin Madison - Social Systems View citations (20)
    Also in Working papers, University of Wisconsin - Madison View citations (22)

1991

22. Empirical Evidence for Nonlinearities and Chaos in Economic Time Series: A Summary of Recent Results
    Working papers, Wisconsin Madison - Social Systems View citations (4)
23. Forecast Improvements Using A Volatility Index
    Working papers, Wisconsin Madison - Social Systems View citations (9)
    See also Journal Article Forecast Improvements Using a Volatility Index, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1992) View citations (24) (1992)
24. SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS
    Working papers, Wisconsin Madison - Social Systems View citations (91)
    See also Journal Article Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance, American Finance Association (1992) View citations (766) (1992)
25. Technical Trading Rules and Regime Shifts in Foreign Exchange
    Working papers, Wisconsin Madison - Social Systems View citations (15)
    Also in Working papers, University of Wisconsin - Madison View citations (36)
26. Transactions Costs and Correlations in a Large Firm Index
    Working papers, Wisconsin Madison - Social Systems View citations (1)

1990

27. SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK MARKET RETURNS
    Working papers, Wisconsin Madison - Social Systems View citations (15)
    See also Journal Article Some Relations between Volatility and Serial Correlations in Stock Market Returns, The Journal of Business, University of Chicago Press (1992) View citations (97) (1992)

1989

28. Liquidity Constraints in Production Based Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Chapter Liquidity Constraints in Production-Based Asset-Pricing Models, NBER Chapters, National Bureau of Economic Research, Inc (1990) View citations (8) (1990)

Undated

29. Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
    Working papers, University of Wisconsin - Madison View citations (21)
30. Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend)
    Working papers, University of Wisconsin - Madison
31. The Joint Dynamics and Stability of Stock Prices and Volume
    Working papers, University of Wisconsin - Madison 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

2. Heterogeneous gain learning and the dynamics of asset prices
   Journal of Economic Behavior & Organization, 2012, 83, (3), 424-445 View citations (27)
   See also Working Paper Heterogeneous Gain Learning and the Dynamics of Asset Prices, Working Papers (2010) View citations (5) (2010)
3. Wealth dynamics and a bias toward momentum trading
   Finance Research Letters, 2012, 9, (1), 21-28 View citations (2)
   See also Working Paper Wealth Dynamics and a Bias Toward Momentum Trading, Working Papers (2010) (2010)

2011

4. Active and Passive Learning in Agent-based Financial Markets
   Eastern Economic Journal, 2011, 37, (1), 35-43 View citations (11)

2010

5. 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 (13)

2008

6. 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 (8)
7. Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents
   American Economic Review, 2008, 98, (2), 246-50 View citations (245)
   See also Working Paper Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents, Staff General Research Papers Archive (2008) View citations (225) (2008)
8. 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)
9. The Impact of Imitation on Long Memory in an Order-Driven Market
   Eastern Economic Journal, 2008, 34, (4), 504-517 View citations (29)

2007

10. Long-memory in an order-driven market
    Physica A: Statistical Mechanics and its Applications, 2007, 383, (1), 85-89 View citations (34)

2003

11. 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

12. A builder's guide to agent-based financial markets
    Quantitative Finance, 2001, 1, (2), 254-261 View citations (39)
13. EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET
    Macroeconomic Dynamics, 2001, 5, (02), 225-254 View citations (54)
    See also Working Paper Evolution and Time Horizons in an Agent-Based Stock Market, Computing in Economics and Finance 1999 (1999) View citations (11) (1999)
14. Foreign‐Exchange Trading Volume and Federal Reserve Intervention
    Journal of Futures Markets, 2001, 21, (9), 851-860 View citations (5)
15. Stochastic volatility as a simple generator of apparent financial power laws and long memory
    Quantitative Finance, 2001, 1, (6), 621-631 View citations (79)

2000

16. Agent-based computational finance: Suggested readings and early research
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 679-702 View citations (170)
17. Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options
    American Economic Review, 2000, 90, (2), 32-37 View citations (15)

1999

18. Technical trading rule profitability and foreign exchange intervention
    Journal of International Economics, 1999, 49, (1), 125-143 View citations (190)
    See also Working Paper Technical Trading Rule Profitability and Foreign Exchange Intervention, NBER Working Papers (1996) View citations (25) (1996)
19. Time series properties of an artificial stock market
    Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1487-1516 View citations (266)
    See also Working Paper Time Series Properties of an Artificial Stock Market, Working papers (1997) View citations (7) (1997)

1997

20. A Fast Algorithm for the BDS Statistic
    Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (2), 9 View citations (14)

1996

21. A Dynamic Structural Model for Stock Return Volatility and Trading Volume
    The Review of Economics and Statistics, 1996, 78, (1), 94-110 View citations (144)
    See also Working Paper A Dynamic Structural Model for Stock Return Volatility and Trading Volume, NBER Working Papers (1995) View citations (32) (1995)

1992

22. Forecast Improvements Using a Volatility Index
    Journal of Applied Econometrics, 1992, 7, (S), S137-49 View citations (24)
    See also Working Paper Forecast Improvements Using A Volatility Index, Working papers (1991) View citations (9) (1991)
23. Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
    Journal of Finance, 1992, 47, (5), 1731-64 View citations (766)
    See also Working Paper SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS, Working papers (1991) View citations (91) (1991)
24. Some Relations between Volatility and Serial Correlations in Stock Market Returns
    The Journal of Business, 1992, 65, (2), 199-219 View citations (97)
    See also Working Paper SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK MARKET RETURNS, Working papers (1990) View citations (15) (1990)

1989

25. Nonlinear Dynamics and Stock Returns
    The Journal of Business, 1989, 62, (3), 311-37 View citations (219)

Books

1992

1. Nonlinear Dynamics, Chaos, and Instability - Unix version, vol 1
   MIT Press Books, The MIT Press View citations (6)

Chapters

2006

1. Agent-based Computational Finance
   Chapter 24 in Handbook of Computational Economics, 2006, vol. 2, pp 1187-1233 View citations (397)

1990

2. Liquidity Constraints in Production-Based Asset-Pricing Models
   A chapter in Asymmetric Information, Corporate Finance, and Investment, 1990, pp 231-256 View citations (8)
   See also Working Paper Liquidity Constraints in Production Based Asset Pricing Models, National Bureau of Economic Research, Inc (1989) View citations (2) (1989)

Software Items

1991

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