Blake LeBaron

Brandeis University - International Business School

Mailstop 32

Waltham, MA 02454-9110

United States

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 5,581

SSRN RANKINGS

Top 5,581

in Total Papers Downloads

9,345

SSRN CITATIONS
Rank 10,114

SSRN RANKINGS

Top 10,114

in Total Papers Citations

59

CROSSREF CITATIONS

64

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 2,452 (6,734)
Citation 177

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2.

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

Number of pages: 47 Posted: 19 Nov 2001
Massachusetts Institute of Technology (MIT) - Department of Brain and Cognitive Sciences, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Brandeis University - International Business School and AlphaSimplex Group, LLC
Downloads 1,548 (14,108)
Citation 8

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

3.

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 957 (29,100)
Citation 16

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Power-laws, risk management, bootstrap

Technical Trading Rule Profitability and Foreign Exchange Intervention

Number of pages: 17 Posted: 22 Jun 1995
Blake LeBaron
Brandeis University - International Business School
Downloads 838 (34,490)
Citation 17

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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 65 (415,392)

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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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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 742 (40,786)

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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 84 (358,689)

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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 454 (77,426)
Citation 4

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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 408 (87,737)
Citation 2

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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
Board of Governors of the Federal Reserve System and Brandeis University - International Business School
Downloads 386 (93,501)
Citation 8

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9.

Forecasting Realized Volatility With Kernel Ridge Regression

Number of pages: 22 Posted: 22 Aug 2018
Blake LeBaron
Brandeis University - International Business School
Downloads 255 (146,309)

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Machine Learning, Realized Volatility, Kernel Ridge Regression

10.

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 213 (173,930)
Citation 3

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Microstructure, agent-based, long memory, order flow

11.

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 177 (205,634)

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12.

A Long History of Realized Volatility

Number of pages: 55 Posted: 20 Apr 2018
Blake LeBaron
Brandeis University - International Business School
Downloads 130 (264,728)
Citation 1

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

13.

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 113 (293,142)
Citation 3

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

14.

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: 18 Feb 2021
William A. Brock and Blake LeBaron
University of Wisconsin, Madison - Department of Economics and Brandeis University - International Business School
Downloads 88 (345,564)

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15.

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 76 (376,843)

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

16.

Wealth Evolution and Distorted Financial Forecasts

Number of pages: 37 Posted: 18 Apr 2008
Blake LeBaron
Brandeis University - International Business School
Downloads 76 (376,843)
Citation 3

Abstract:

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financial time series, evolution, forecasting

17.

Wealth Dynamics and a Bias Toward Momentum Trading

Number of pages: 15 Posted: 15 Jun 2011
Blake LeBaron
Brandeis University - International Business School
Downloads 73 (385,400)

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Evolution, Asset Pricing, Financial Time Series, Momentum

18.

Microconsistency in Simple Empirical Agent-Based Financial Models

Number of pages: 33 Posted: 20 Apr 2018 Last Revised: 31 Jan 2019
Blake LeBaron
Brandeis University - International Business School
Downloads 63 (416,787)
Citation 1

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

19.

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 51 (459,974)

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Long run risk, Tail risk, Bootstrap, International investments

20.

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 47 (476,126)
Citation 4

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

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 28 (569,409)

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22.

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 21 (614,675)
Citation 5

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23.

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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24.

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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25.

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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26.

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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27.

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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28.

Volatility Persistence and Apparent Scaling Laws in Finance

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

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