Blake Lebaron : Citation Profile


Are you Blake Lebaron?

Brandeis University

22

H index

28

i10 index

3153

Citations

RESEARCH PRODUCTION:

25

Articles

39

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   24 years (1989 - 2013). See details.
   Cites by year: 131
   Journals where Blake Lebaron has often published
   Relations with other researchers
   Recent citing documents: 161.    Total self citations: 18 (0.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple1
   Updated: 2023-01-08    RAS profile: 2015-06-25    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Blake Lebaron.

Is cited by:

Hommes, Cars (118)

He, Xuezhong (Tony) (85)

Westerhoff, Frank (61)

Roventini, Andrea (60)

Dosi, Giovanni (42)

Chiarella, Carl (37)

Brock, William (34)

Wagener, Florian (34)

Gallegati, Mauro (34)

Li, Youwei (33)

Sosvilla-Rivero, Simon (33)

Cites to:

Engle, Robert (22)

Granger, Clive (20)

Chiarella, Carl (16)

White, Halbert (16)

Campbell, John (16)

Bollerslev, Tim (16)

Brock, William (16)

Hendry, David (11)

Hommes, Cars (11)

Farmer, J. (11)

Franses, Philip Hans (11)

Main data


Where Blake Lebaron has published?


Journals with more than one article published# docs
Eastern Economic Journal3
Journal of Economic Dynamics and Control2
The Journal of Business2
American Economic Review2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Brandeis University, Department of Economics and International Businesss School5
NBER Working Papers / National Bureau of Economic Research, Inc3
Computing in Economics and Finance 1999 / Society for Computational Economics2
Finance / University Library of Munich, Germany2

Recent works citing Blake Lebaron (2022 and 2021)


YearTitle of citing document
2021The impact of supply-chain networks on interactions between the anti-COVID-19 lockdowns in different regions. (2020). Todo, Yasuyuki ; Murase, Yohsuke ; Inoue, Hiroyasu. In: Papers. RePEc:arx:papers:2009.06894.

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2021Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2021Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes. (2020). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:2011.08275.

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2021Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757.

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2021CoinTossX: An open-source low-latency high-throughput matching engine. (2021). Gebbie, Tim ; Sing, Dharmesh ; Jericevich, Ivan. In: Papers. RePEc:arx:papers:2102.10925.

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2021PolicySpace2: modeling markets and endogenous housing policies. (2021). Furtado, Bernardo Alves. In: Papers. RePEc:arx:papers:2102.11929.

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2021The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network. (2021). Cartlidge, John ; Chen, YU ; Shi, Zijian. In: Papers. RePEc:arx:papers:2103.01670.

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2021The Support and Resistance Line Method: An Analysis via Optimal Stopping. (2021). Liu, Ruiqi ; Jacka, Saul ; Henderson, Vicky. In: Papers. RePEc:arx:papers:2103.02331.

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2021Financial Markets Prediction with Deep Learning. (2021). Wang, Degang ; Cao, YU ; Liu, Benyuan ; Sun, Tong. In: Papers. RePEc:arx:papers:2104.05413.

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2021Calibrating an adaptive Farmer-Joshi agent-based model for financial markets. (2021). Jericevich, Ivan ; Gebbie, Tim ; McKechnie, Murray. In: Papers. RePEc:arx:papers:2104.09863.

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2022Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019.

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2021Stock Market Analysis with Text Data: A Review. (2021). Liu, Wei ; Prasad, Mukesh ; Chivukula, Aneesh ; Fataliyev, Kamaladdin. In: Papers. RePEc:arx:papers:2106.12985.

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2021The Limit Order Book Recreation Model (LOBRM): An Extended Analysis. (2021). Cartlidge, John ; Shi, Zijian. In: Papers. RePEc:arx:papers:2107.00534.

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2021Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan. In: Papers. RePEc:arx:papers:2108.07806.

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2021Nonparametric Extrema Analysis in Time Series for Envelope Extraction, Peak Detection and Clustering. (2021). Gokcesu, Hakan. In: Papers. RePEc:arx:papers:2109.02082.

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2022Capital Demand Driven Business Cycles: Mechanism and Effects. (2021). Kroujiline, Dimitri ; Maxim, Michael Benzaquen ; Naumann-Woleske, Karl. In: Papers. RePEc:arx:papers:2110.00360.

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2022Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2022Instability of financial markets by optimizing investment strategies investigated by an agent-based model. (2022). Takashima, Kosei ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2202.00831.

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2022Do new investment strategies take existing strategies returns -- An investigation into agent-based models. (2022). Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2202.01423.

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2022Bounded strategic reasoning explains crisis emergence in multi-agent market games. (2022). Prokopenko, Mikhail ; Evans, Benjamin Patrick. In: Papers. RePEc:arx:papers:2206.05568.

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2022Reinforcement Learning in Macroeconomic Policy Design: A New Frontier?. (2022). Tilbury, Callum. In: Papers. RePEc:arx:papers:2206.08781.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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2022A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics. (2022). Li, Jiayi ; Salas-Flores, Carlos-Gustavo ; Lahrichi, Saad ; Wu, Tianyu ; Zhang, Luyao. In: Papers. RePEc:arx:papers:2206.14932.

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2022A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379.

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2021Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137.

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2021Anomalies enhanced: A portfolio rebalancing approach. (2021). Zhou, Guofu ; Huang, Dayong ; Han, Yufeng. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:371-424.

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2021The trend is an analysts friend: Analyst recommendations and market technicals. (2021). Flugum, Ryan. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:301-330.

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2022Option trading and returns versus the 52?week high and low. (2022). Wei, Jason ; Choy, Siu Kai. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:691-726.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2022Computational methods and classical?Marxian economics. (2022). Yoshihara, Naoki ; Veneziani, Roberto ; Cogliano, Jonathan F. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:2:p:310-349.

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2022Neoclassical influences in agent?based literature: A systematic review. (2022). Giammetti, Raffaele ; Gallegati, Mauro ; Brancaccio, Emiliano. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:2:p:350-385.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2021Can the Leading US Energy Stock Prices be Predicted using the Ichimoku Cloud?. (2021). Kamalov, Firuz ; Gurrib, Ikhlaas ; Elshareif, Elgilani. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-7.

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2022Technical Analysis, Energy Cryptos and Energy Equity Markets. (2022). Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-28.

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2022A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market. (2022). Zhang, Xiaoqi ; Zhao, Zhijun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921008973.

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2021Market stability with machine learning agents. (2021). Georges, Christophre ; Pereira, Javier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302001.

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2021Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

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2022Machine learning and speed in high-frequency trading. (2022). He, Xuezhong (Tony) ; Jianwei, LI ; Arifovic, Jasmina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001439.

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2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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2022Beautiful cycles: A theory and a model implying a curious role for interest. (2022). Gross, Marco. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002674.

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2022International currency substitution and the demand for money in the euro area. (2022). de Freitas, Miguel Lebre. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003017.

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2022No pain, no gain: You should always incorporate trading costs for a bias-free evaluation of trading rule overperformance. (2022). Anghel, Dan Gabriel. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001720.

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2022Monetary policy and speculative asset markets. (2022). Boehl, Gregor. In: European Economic Review. RePEc:eee:eecrev:v:148:y:2022:i:c:s0014292122001477.

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2021Managing complex adaptive systems: A resource/agent qualitative modelling perspective. (2021). Morton, Alec ; Howick, Susan ; Kazakov, Rossen . In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:386-400.

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2022Testing technical trading strategies on Chinas equity ETFs: A skewness perspective. (2022). Jin, Xiaoye. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000728.

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2021Trading the foreign exchange market with technical analysis and Bayesian Statistics. (2021). Stasinakis, Charalampos ; Sermpinis, Georgios ; Hassanniakalager, Arman. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251.

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2021An agent-based modeling approach for analyzing the influence of market participants’ strategic behavior on green certificate trading. (2021). Fan, LU ; Ling-Zhi, Ren ; Xin-Gang, Zhao ; Hui, Wang. In: Energy. RePEc:eee:energy:v:218:y:2021:i:c:s0360544220325706.

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2021The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets. (2021). Urquhart, Andrew ; Manahov, Viktor. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302726.

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2021VIX and liquidity premium. (2021). Honarvar, Iman ; Bams, Dennis. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302945.

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2022Market distraction and near-zero daily volatility persistence. (2022). Wang, Jianxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000023.

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2022Bounded rationality, adaptive behaviour, and asset prices. (2022). Li, Kai ; Zhao, Dongxu. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000163.

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2022Exchange rate return predictability in times of geopolitical risk. (2022). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Iyke, Bernard Njindan. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000692.

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2022Time series momentum in the US stock market: Empirical evidence and theoretical analysis. (2022). Zakamulin, Valeriy ; Giner, Javier. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001363.

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2022The determinants of positive feedback trading behaviors in Bitcoin markets. (2022). Lee, Ming-Chih ; Liu, Hung-Chun ; Wang, Jying-Nan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002014.

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2022Predictive information in corporate bond yields. (2022). Lin, Hai ; Zhou, Guofu ; Wu, Chunchi ; Guo, XU. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pb:s1386418121000616.

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2021Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818.

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2021What do we know about the popularity of technical analysis in foreign exchange markets? A skewness preference perspective. (2021). Jin, Xiaoye. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443120301657.

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2021Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices. (2021). Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman ; Sermpinis, Georgios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s104244312100072x.

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2021Economic stimulus through bank regulation: Government responses to the COVID-19 crisis. (2021). Kampouris, Ilias ; Samitas, Aristeidis ; Polyzos, Stathis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001542.

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2022Performance of intraday technical trading in China’s gold market. (2022). Jin, Xiaoye. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001876.

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2022Information asymmetry and the profitability of technical analysis. (2022). Lai, Hung-Neng ; Hung, Chiayu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002983.

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2021Perceptions of the threat to national security and the stock market. (2021). Lambe, Brendan J ; Wisniewski, Tomasz Piotr. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:186:y:2021:i:c:p:504-522.

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2021Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics.. (2021). Makarewicz, Tomasz. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:190:y:2021:i:c:p:626-673.

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2021Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets. (2021). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:117-136.

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2021Does parameterization affect the complexity of agent-based models?. (2021). Krištoufek, Ladislav ; Kristoufek, Ladislav ; Kukacka, Jiri. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:324-356.

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2021Feedback loops in industry trade networks and the term structure of momentum profits. (2021). Simutin, Mikhail ; Sharifkhani, Ali. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:1171-1187.

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2021Can risk explain the profitability of technical trading in currency markets?. (2021). Neely, Christopher ; Famiglietti, Matthew T ; Weller, Paul ; Ivanova, Yuliya . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302412.

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2022Maximally predictable currency portfolios. (2022). Yilmaz, Fatih ; Shen, Jian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s026156062200105x.

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2022The impact of the Russian Aggression against Ukraine on the Russia-EU Trade. (2022). Koutronas, Evangelos ; Ruiz, Mario Arturo. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:44:y:2022:i:3:p:599-616.

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2022Forecasting crude oil market returns: Enhanced moving average technical indicators. (2022). Zhang, Yaojie ; Wang, Yudong ; Liu, LI ; Wen, Danyan. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000216.

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2021Stock return predictability: Evidence from moving averages of trading volume. (2021). Su, Yunpeng ; Yang, Baochen ; Ma, Yao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x21000019.

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2021Predictive ability of similarity-based futures trading strategies. (2021). Kuo, Wei-Yu ; Chiu, Hsin-Yu ; Chiang, Mi-Hsiu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001232.

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2021Profitability of moving-average technical analysis over the firm life cycle: Evidence from Taiwan. (2021). Shih, Yi-Cheng ; Lin, Li-Feng ; Su, Xuan-Qi ; Chen, Kuan-Hau. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001402.

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2021The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591.

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2021Information flux in complex networks: Path to stylized facts. (2021). Bosco, A R ; Atman, A. P. F., ; Ducha, F A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309365.

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2021Cross-correlations between the P2P interest rate, Shibor and treasury yields. (2021). Li, Jianfeng ; Lu, Xinsheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:574:y:2021:i:c:s037843712100217x.

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2021Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160.

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2021Bullish and Bearish Engulfing Japanese Candlestick patterns: A statistical analysis on the S&P 500 index. (2021). Pollacia, Lissa ; Saxena, Atul ; Jamaloodeen, Mohamed ; Heinz, Adrian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:221-244.

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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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2021Foreign institutional ownership and the effectiveness of technical analysis. (2021). Lee, Hsiu-Chuan ; Huang, Chia-Hsin ; Chien, Cheng-Yi ; Chung, Chien-Ping. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:86-96.

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2021New technical indicators and stock returns predictability. (2021). Kang, Jie ; Zhu, Huan ; Dai, Zhifeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:127-142.

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2021Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach. (2021). Umar, Zaghum ; Tiwari, Aviral Kumar ; Alqahtani, Faisal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000246.

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2021In order to stand up you must keep cycling: Change and coordination in complex evolving economies. (2021). Dosi, Giovanni ; Virgillito, M E. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:56:y:2021:i:c:p:353-364.

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2021Do Economic Effects of the Anti-COVID-19 Lockdowns in Different Regions Interact through Supply Chains?. (2021). Yasuyuki, Todo ; Yohsuke, Murase ; Hiroyasu, Inoue. In: Discussion papers. RePEc:eti:dpaper:21001.

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2022Lockdowns Require Geographic Coordination because of the Propagation of Economic Effects through Supply Chains. (2022). Todo, Yasuyuki ; Yasuyuki, Todo ; Yohsuke, Murase ; Hiroyasu, Inoue. In: Discussion papers. RePEc:eti:dpaper:22076.

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2021State Space Model to Detect Cycles in Heterogeneous Agents Models. (2021). Ricchiuti, Giorgio ; Gusella, Filippo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2021_10.rdf.

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2021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Siriopoulos, Costas ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

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2022Stock Price Forecasting for Jordan Insurance Companies Amid the COVID-19 Pandemic Utilizing Off-the-Shelf Technical Analysis Methods. (2022). Tarawneh, Ahmad S ; Hassanat, Ahmad B ; Altarawneh, Ghada A ; Alghamdi, Mansoor ; Alrashidi, Malek ; Abadleh, Ahmad. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:2:p:43-:d:743590.

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2021The Financialization of Crude Oil Markets and Its Impact on Market Efficiency: Evidence from the Predictive Ability and Performance of Technical Trading Strategies. (2021). Anghel, Andrei ; Tudor, Cristiana. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:15:p:4485-:d:600832.

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2021Spoofing the Limit Order Book: A Strategic Agent-Based Analysis. (2021). Wellman, Michael ; Hoang, Christopher ; Wang, Xintong ; Vorobeychik, Yevgeniy. In: Games. RePEc:gam:jgames:v:12:y:2021:i:2:p:46-:d:561070.

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2021A New Measure of Market Inefficiency. (2021). Gordillo, Jose Luis ; Benink, Harald A ; Stephens, Christopher R ; Pardo-Guerra, Juan Pablo. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:263-:d:572629.

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2021Trading Macro-Cycles of Foreign Exchange Markets Using Hybrid Models. (2021). Zhang, Zhaoyong ; Tsui, Albert K ; Bin, Joseph Zhi. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:17:p:9820-:d:627245.

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2021Volatility and Risk in the Energy Market: A Trade Network Approach. (2021). Ben-Zvi, Tal ; Creamer, German G. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:18:p:10199-:d:634210.

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2021Cybernetics Approach Using Agent-Based Modeling in the Process of Evacuating Educational Institutions in Case of Disasters. (2021). Chiri, Nora ; Nica, Ionu ; Ionescu, Tefan. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:18:p:10277-:d:635438.

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2022Barriers for Prosumers’ Open Business Models: A Resource-Based View on Assets and Data-Sharing in Electricity Markets. (2022). Ballon, Pieter ; van Zeeland, Ine ; Montakhabi, Mehdi. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:9:p:5705-:d:811317.

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More than 100 citations found, this list is not complete...

Works by Blake Lebaron:


YearTitleTypeCited
2000Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options In: American Economic Review.
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article15
2008Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents In: American Economic Review.
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article202
2008Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents.(2008) In: Staff General Research Papers Archive.
[Citation analysis]
This paper has another version. Agregated cites: 202
paper
1991SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS. In: Working papers.
[Citation analysis]
paper719
1992 Simple Technical Trading Rules and the Stochastic Properties of Stock Returns..(1992) In: Journal of Finance.
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This paper has another version. Agregated cites: 719
article
1990SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK MARKET RETURNS. In: Working papers.
[Citation analysis]
paper95
1992Some Relations between Volatility and Serial Correlations in Stock Market Returns..(1992) In: The Journal of Business.
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This paper has another version. Agregated cites: 95
article
1991Forecast Improvements Using A Volatility Index. In: Working papers.
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paper25
1992Forecast Improvements Using a Volatility Index..(1992) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 25
article
1991Empirical Evidence for Nonlinearities and Chaos in Economic Time Series: A Summary of Recent Results. In: Working papers.
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paper4
1991Technical Trading Rules and Regime Shifts in Foreign Exchange. In: Working papers.
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paper31
Technical Trading Rules and Regime Shifts in Foreign Exchange.() In: Working papers.
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This paper has another version. Agregated cites: 31
paper
1991Transactions Costs and Correlations in a Large Firm Index. In: Working papers.
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paper1
1992Persistence of the Dow Jones Index on Rising Volume. In: Working papers.
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paper23
Persistence of the Dow Jones Index on Rising Volume.() In: Working papers.
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This paper has another version. Agregated cites: 23
paper
1992Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets? In: Working papers.
[Citation analysis]
paper23
1996Technical Trading Rule Profitability and Foreing Exchange Intervention. In: Working papers.
[Citation analysis]
paper209
1999Technical trading rule profitability and foreign exchange intervention.(1999) In: Journal of International Economics.
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This paper has another version. Agregated cites: 209
article
1996Technical Trading Rule Profitability and Foreign Exchange Intervention.(1996) In: NBER Working Papers.
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This paper has another version. Agregated cites: 209
paper
Technical Trading Rule Profitability and Foreign Exchange Intervention.() In: Working papers.
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This paper has another version. Agregated cites: 209
paper
1994Technical Trading Rule Profitability and Foreign Exchange Intervention.(1994) In: International Finance.
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This paper has another version. Agregated cites: 209
paper
1995A Test for Independence Based on the Correlation Dimension. In: Working papers.
[Citation analysis]
paper138
1995Experiments in Evolutionary Finance. In: Working papers.
[Citation analysis]
paper4
Experiments in Evolutionary Finance.() In: Working papers.
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This paper has another version. Agregated cites: 4
paper
1996Asset Pricing Under Endogenous Expectations in an Artificial Stock Market. In: Working papers.
[Citation analysis]
paper111
1996Asset Pricing Under Endogenous Expectation in an Artificial Stock Market.(1996) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 111
paper
1997An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization. In: Working papers.
[Citation analysis]
paper1
1997Time Series Properties of an Artificial Stock Market. In: Working papers.
[Citation analysis]
paper264
1999Time series properties of an artificial stock market.(1999) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 264
article
1997A Fast Algorithm for the BDS Statistic In: Studies in Nonlinear Dynamics & Econometrics.
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article14
2010Heterogeneous Gain Learning and Long Swings in Asset Prices In: Working Papers.
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paper8
2010Wealth Dynamics and a Bias Toward Momentum Trading In: Working Papers.
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paper1
2012Wealth dynamics and a bias toward momentum trading.(2012) In: Finance Research Letters.
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This paper has another version. Agregated cites: 1
article
2010Heterogeneous Gain Learning and the Dynamics of Asset Prices In: Working Papers.
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paper30
2012Heterogeneous gain learning and the dynamics of asset prices.(2012) In: Journal of Economic Behavior & Organization.
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This paper has another version. Agregated cites: 30
article
2010Searching For Lost Decades In: Working Papers.
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paper0
2013Heterogeneous Agents and Long Horizon Features of Asset Prices In: Working Papers.
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paper1
2012Are Lost Decades in the Stock Market Black Swans? In: Rosenberg Global Financial Briefs.
[Full Text][Citation analysis]
paper0
2001EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article52
1999Evolution and Time Horizons in an Agent-Based Stock Market.(1999) In: Computing in Economics and Finance 1999.
[Citation analysis]
This paper has another version. Agregated cites: 52
paper
2000Agent-based computational finance: Suggested readings and early research In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article162
2006Agent-based Computational Finance In: Handbook of Computational Economics.
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chapter376
2003Non-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, [ In: International Journal of Forecasting.
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article0
2007Long-memory in an order-driven market In: Physica A: Statistical Mechanics and its Applications.
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article31
2008Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
[Full Text][Citation analysis]
article8
1992Nonlinear Dynamics, Chaos, and Instability - Unix version In: MIT Press Books.
[Citation analysis]
book6
1990Liquidity Constraints in Production-Based Asset-Pricing Models In: NBER Chapters.
[Full Text][Citation analysis]
chapter10
1989Liquidity Constraints in Production Based Asset Pricing Models.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
1995A Dynamic Structural Model for Stock Return Volatility and Trading Volume In: NBER Working Papers.
[Full Text][Citation analysis]
paper151
1996A Dynamic Structural Model for Stock Return Volatility and Trading Volume..(1996) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 151
article
2008The Impact of Imitation on Long Memory in an Order-Driven Market In: Eastern Economic Journal.
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article26
2008The Future of Agent-Based Research in Economics: A Panel Discussion, Eastern Economic Association Annual Meetings, Boston, March 7, 20081 In: Eastern Economic Journal.
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article4
2011Active and Passive Learning in Agent-based Financial Markets In: Eastern Economic Journal.
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article8
2013Estimating the Probability of a Lost Decade for U.S. and Global Equity In: Journal of Financial Perspectives.
[Citation analysis]
article0
2005Extreme Value Theory and Fat Tails in Equity Markets In: Computing in Economics and Finance 2005.
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paper12
1999Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders In: Computing in Economics and Finance 1999.
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paper2
2010Order-splitting and long-memory in an order-driven market In: The European Physical Journal B: Condensed Matter and Complex Systems.
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article12
2001A builders guide to agent-based financial markets In: Quantitative Finance.
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article34
2001Stochastic volatility as a simple generator of apparent financial power laws and long memory In: Quantitative Finance.
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article73
1989Nonlinear Dynamics and Stock Returns. In: The Journal of Business.
[Full Text][Citation analysis]
article213
2001Foreign?Exchange Trading Volume and Federal Reserve Intervention In: Journal of Futures Markets.
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article5
Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend) In: Working papers.
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paper0
The Joint Dynamics and Stability of Stock Prices and Volume In: Working papers.
[Full Text][Citation analysis]
paper0
Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange? In: Working papers.
[Full Text][Citation analysis]
paper21
1994Chaos and Nonlinear Forecastability in Economics and Finance In: Finance.
[Full Text][Citation analysis]
paper25
1994Evaluating Neural Network Predictors by Bootstrapping In: Finance.
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paper3
1994Evaluating Neural Network Predictors by Bootstrapping.(1994) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team