Blake LeBaron

Brandeis University - International Business School

Mailstop 32

Waltham, MA 02454-9110

United States

SCHOLARLY PAPERS

28

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8,315

CITATIONS
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SSRN RANKINGS

Top 2,782

in Total Papers Citations

201

Scholarly Papers (28)

1.

Asset Pricing Under Endogenous Expectations in an Artificial Stock Market

Number of pages: 29 Posted: 19 Feb 1997
Santa Fe Institute, University of Michigan, Brandeis University - International Business School, Duke University and Independent
Downloads 2,263 (5,192)
Citation 50

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2.

Agent-Based Models of Financial Markets: A Comparison with Experimental Markets

MIT Sloan Working Paper No. 4195-01
Number of pages: 47 Posted: 19 Nov 2001
Massachusetts Institute of Technology (MIT) - Brain and Cognitive Sciences, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Brandeis University - International Business School and AlphaSimplex Group, LLC
Downloads 1,471 (10,662)
Citation 7

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Agent-Based Models, Artificial Markets, Experimental Markets, Market Microstructure

Technical Trading Rule Profitability and Foreign Exchange Intervention

NBER Working Paper 5505
Number of pages: 17 Posted: 22 Jun 1995
Blake LeBaron
Brandeis University - International Business School
Downloads 813 (25,939)
Citation 58

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Technical Trading Rule Profitability and Foreign Exchange Intervention

NBER Working Paper No. w5505
Number of pages: 18 Posted: 30 Jun 2000 Last Revised: 30 Sep 2010
Blake LeBaron
Brandeis University - International Business School
Downloads 40 (399,395)
Citation 58

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Technical Trading Rule Profitability and Foreign Exchange Intervention

Journal of International Economics, Vol. 49, October 1999
Posted: 25 Aug 1999
Blake LeBaron
Brandeis University - International Business School

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4.

Extreme Value Theory and Fat Tails in Equity Markets

Number of pages: 43 Posted: 04 Jan 2006
Blake LeBaron and Ritirupa Samanta
Brandeis University - International Business School and State Street Global Advisors
Downloads 849 (24,731)
Citation 4

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Power-laws, risk management, bootstrap

A Bootstrap Evaluation of the Effect of Data Splitting on Financial Time Series

Number of pages: 8 Posted: 22 Jan 1997
Blake LeBaron and Andreas Weigend
Brandeis University - International Business School and Stern School of Business, New York University
Downloads 735 (29,793)
Citation 1

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A Bootstrap Evaluation of the Effect of Data Splitting on Financial Time Series

NYU Working Paper No. IS-97-013
Number of pages: 8 Posted: 31 Oct 2008
Blake LeBaron and Andreas Weigend
Brandeis University - International Business School and Stern School of Business, New York University
Downloads 75 (294,653)
Citation 1

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Model evaluation, Model uncertainty, Bootstrap, Resampling, Financial forecasting, Time series prediction, Linear bias of early stopping, Superposition of forecasts, Model merging

6.

Evolution and Time Horizons in an Agent Based Stock Market

Number of pages: 46 Posted: 19 Apr 2000
Blake LeBaron
Brandeis University - International Business School
Downloads 403 (65,540)
Citation 13

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7.

Stochastic Volatility as a Simple Generator of Financial Power-Laws and Long Memory

Number of pages: 32 Posted: 31 Aug 2001
Blake LeBaron
Brandeis University - International Business School
Downloads 383 (69,790)
Citation 14

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Volatility, Power-laws, Long Memory

8.

Foreign Exchange Market Trading Volume and Federal Reserve Intervention

Number of pages: 13 Posted: 04 Oct 1999
Alain Chaboud and Blake LeBaron
Federal Reserve Board - Division of International Finance and Brandeis University - International Business School
Downloads 370 (72,445)
Citation 13

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9.

Long-Memory in an Order-Driven Market

Number of pages: 37 Posted: 05 Nov 2006
Blake LeBaron and Ryuichi Yamamoto
Brandeis University - International Business School and Waseda University - School of Political Science and Economics
Downloads 187 (147,931)
Citation 4

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Microstructure, agent-based, long memory, order flow

10.

The Future of Agent-Based Research in Economics: A Panel Discussion, Eastern Economic Association Annual Meetings, Boston

Eastern Economic Journal, Vol. 34, pp. 550-565, 2008
Number of pages: 16 Posted: 14 May 2009
Newark College of Arts & Sciences - Department of Economics, Fordham University - Department of Economics, Institute for Advanced Sustainability Studies (IASS), Brandeis University - International Business School, affiliation not provided to SSRN and Yale University - School of Management
Downloads 169 (161,864)

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11.

Heterogeneous Gain Learning and the Dynamics of Asset Prices

Number of pages: 49 Posted: 19 Jun 2011
Blake LeBaron
Brandeis University - International Business School
Downloads 99 (245,598)
Citation 3

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Learning, Asset Pricing, Financial Time Series, Evolution, Memory

12.

A Dynamic Structural Model for Stock Return Volatility and Trading Volume

NBER Working Paper No. w4988
Number of pages: 51 Posted: 07 Jul 2000 Last Revised: 26 Aug 2010
William A. Brock and Blake LeBaron
University of Wisconsin, Madison - Department of Economics and Brandeis University - International Business School
Downloads 83 (274,621)
Citation 24

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13.

Wealth Evolution and Distorted Financial Forecasts

Number of pages: 37 Posted: 18 Apr 2008
Blake LeBaron
Brandeis University - International Business School
Downloads 69 (305,570)
Citation 2

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financial time series, evolution, forecasting

14.

Heterogeneous Gain Learning and Long Swings in Asset Prices

Number of pages: 49 Posted: 19 Jun 2011
Blake LeBaron
Brandeis University - International Business School
Downloads 67 (310,461)

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Learning, Asset Pricing, Financial Time Series, Evolution, Memory

15.

A Long History of Realized Volatility

Number of pages: 55 Posted: 20 Apr 2018
Blake LeBaron
Brandeis University - International Business School
Downloads 56 (351,778)

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Realized Volatility, Volatility Dynamics, Kernel Ridge Regression, Long Memory

16.

Wealth Dynamics and a Bias Toward Momentum Trading

Number of pages: 15 Posted: 15 Jun 2011
Blake LeBaron
Brandeis University - International Business School
Downloads 56 (339,700)

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Evolution, Asset Pricing, Financial Time Series, Momentum

17.

Searching for Lost Decades in U.S and Global Equities

Number of pages: 31 Posted: 29 Sep 2012
Blake LeBaron
Brandeis University - International Business School
Downloads 46 (370,629)

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Long run risk, Tail risk, Bootstrap, International investments

18.

Heterogeneous Agents and Long Horizon Features of Asset Prices

Number of pages: 49 Posted: 01 Oct 2013
Blake LeBaron
Brandeis University - International Business School
Downloads 36 (406,641)

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learning, agent-based financial markets, evolution, heterogeneous gain

19.

Microconsistency in Simple Empirical Agent-Based Financial Models

Number of pages: 33 Posted: 20 Apr 2018
Blake LeBaron
Brandeis University - International Business School
Downloads 17 (498,310)

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Learning, Heterogeneous Agent Models, Asset Pricing, Financial Time Series, Adaptive Behavior

20.

Liquidity Constraints in Production Based Asset Pricing Models

NBER Working Paper No. w3107
Number of pages: 34 Posted: 17 Oct 2007 Last Revised: 30 Jun 2010
William A. Brock and Blake LeBaron
University of Wisconsin, Madison - Department of Economics and Brandeis University - International Business School
Downloads 17 (498,310)
Citation 7

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21.

Estimating the Probability of a Lost Decade for U.S. And Global Equity

Journal of Financial Perspectives, Vol. 1, No. 2, 2013
Number of pages: 15 Posted: 27 Nov 2017
Blake LeBaron
Brandeis University - International Business School
Downloads 11 (531,031)

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22.

Stochastic Volatility as a Simple Generator of Apparent Financial Power Laws and Long Memory

Quantitative Finance, Vol. 1, 2001
Posted: 15 Jul 2003
Blake LeBaron
Brandeis University - International Business School

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23.

A Builder'S Guide to Agent-Based Financial Markets

Quantitative Finance, Volume 1, 2001
Posted: 19 May 2003
Blake LeBaron
Brandeis University - International Business School

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24.

The Stability of Moving Average Technical Trading Rules on the Dow Jones Index

Derivatives Use, Trading and Regulation, Vol. 5, No. 4
Posted: 11 Jul 2000
Blake LeBaron
Brandeis University - International Business School

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25.

Agent-Based Computational Finance: Suggested Readings and Early Research

Journal of Economic Dynamics and Control, Vol. 24, 2000
Posted: 13 Jun 2000
Blake LeBaron
Brandeis University - International Business School

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26.

Time Series Properties of an Artificial Stock Market

Journal of Economic Dynamics and Control, Vol. 23, October 1999
Posted: 04 Nov 1999
Blake LeBaron, W. Brian Arthur and Richard G. Palmer
Brandeis University - International Business School, Santa Fe Institute and Duke University

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27.

Volatility Persistence and Apparent Scaling Laws in Finance

Posted: 27 Sep 1999
Blake LeBaron
Brandeis University - International Business School

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Machine learning, realized volatility, kernel ridge regression

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

The Future of Agent-Based Research in Economics: A Panel Discussion, Eastern Economic Association Annual Meetings, Boston, March 7, 2008

Eastern Economic Journal, Vol. 34, Issue 4, pp. 550-565, 2008
Number of pages: 16 Posted: 27 Jul 2010
Newark College of Arts & Sciences - Department of Economics, Fordham University - Department of Economics, Institute for Advanced Sustainability Studies (IASS), Brandeis University - International Business School, National Chengchi University (NCCU) - Department of Economics and Yale University - School of Management
Downloads 0 (461,008)
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