19
H index
26
i10 index
2548
Citations
Brandeis University | 19 H index 26 i10 index 2548 Citations RESEARCH PRODUCTION: 25 Articles 39 Papers 1 Books 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Eastern Economic Journal | 3 |
American Economic Review | 2 |
Journal of Economic Dynamics and Control | 2 |
The Journal of Business | 2 |
Quantitative Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Working Papers / Brandeis University, Department of Economics and International Businesss School | 5 |
Finance / University Library of Munich, Germany | 2 |
Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
Year | Title of citing document |
---|---|
2020 | Trimming the Sail: A Second-order Learning Paradigm for Stock Prediction. (2020). Xing, Chunxiao ; Bian, Jiang ; Cao, Wei ; Zhao, LI ; Chen, Chi. In: Papers. RePEc:arx:papers:2002.06878. Full description at Econpapers || Download paper |
2020 | SHIFT: A Highly Realistic Financial Market Simulation Platform. (2020). BOZDOG, DRAGOS ; Calhoun, George ; Florescu, Ionut ; Alves, Thiago W. In: Papers. RePEc:arx:papers:2002.11158. Full description at Econpapers || Download paper |
2020 | Pairs Trading with Nonlinear and Non-Gaussian State Space Models. (2020). Zhang, Guang. In: Papers. RePEc:arx:papers:2005.09794. Full description at Econpapers || Download paper |
2020 | Dynamic Coupling and Market Instability. (2020). Zaparanuks, Dmitrijs ; Court, Elias ; Clack, Christopher D. In: Papers. RePEc:arx:papers:2005.13621. Full description at Econpapers || Download paper |
2020 | The Importance of Low Latency to Order Book Imbalance Trading Strategies. (2020). Balch, Tucker Hybinette ; Hybinette, Maria ; Palaparthi, Sruthi ; Byrd, David. In: Papers. RePEc:arx:papers:2006.08682. Full description at Econpapers || Download paper |
2020 | Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2020 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper |
2020 | The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890. Full description at Econpapers || Download paper |
2020 | Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity. (2020). Masuda, Yuji ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.13038. Full description at Econpapers || Download paper |
2020 | Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes. (2020). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:2011.08275. Full description at Econpapers || Download paper |
2021 | Black-box model risk in finance. (2021). Cohen, Samuel N ; Snow, Derek ; Szpruch, Lukasz. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers || Download paper |
2020 | Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281. Full description at Econpapers || Download paper |
2020 | Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4. Full description at Econpapers || Download paper |
2020 | Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15. Full description at Econpapers || Download paper |
2021 | Predictability 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. Full description at Econpapers || Download paper |
2020 | A new LSTM based reversal point prediction method using upward/downward reversal point feature sets. (2020). Lu, Pengyu ; Pak, Kyongsok ; Ryu, Unsok ; Kim, Chungsong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305168. Full description at Econpapers || Download paper |
2020 | Chaotic signals inside some tick-by-tick financial time series. (2020). Escot, Lorenzo ; Sandubete, Julio E. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302526. Full description at Econpapers || Download paper |
2020 | Co-existence of trend and value in financial markets: Estimating an extended Chiarella model. (2020). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Majewski, Adam A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188919301885. Full description at Econpapers || Download paper |
2020 | Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257. Full description at Econpapers || Download paper |
2020 | A comparison of economic agent-based model calibration methods. (2020). Platt, Donovan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300294. Full description at Econpapers || Download paper |
2020 | Quantifying the concerns of Dimon and Buffett with data and computation. (2020). Oldham, Matthew. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300336. Full description at Econpapers || Download paper |
2020 | Managerial overconfidence in initial public offering decisions and its impact on macrodynamics and financial stability: Analysis using an agent-based model. (2020). Godin, Antoine ; Szyszka, Adam ; Rzeszutek, Marcin ; Augier, Stanislas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301330. Full description at Econpapers || Download paper |
2020 | Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925. Full description at Econpapers || Download paper |
2020 | Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65. Full description at Econpapers || Download paper |
2020 | Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market. (2020). Chong, Lee-Lee ; Tey, Eng-Xin ; Lai, Ming-Ming ; Tan, Siow-Hooi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302250. Full description at Econpapers || Download paper |
2020 | Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932. Full description at Econpapers || Download paper |
2020 | Forecasting stock market returns: New technical indicators and two-step economic constraint method. (2020). Hong, Lianying ; Kang, Jie ; Dong, Xiaodi ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133. Full description at Econpapers || Download paper |
2020 | Modelling contagion of financial crises. (2020). Chen, Zhenxi ; Huang, Weihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830069x. Full description at Econpapers || Download paper |
2020 | Emergence of New Economics Energy Transition Models: A Review. (2020). Jones, Aled ; Monasterolo, Irene ; Anger-Kraavi, Annela ; Hafner, Sarah. In: Ecological Economics. RePEc:eee:ecolec:v:177:y:2020:i:c:s0921800919307475. Full description at Econpapers || Download paper |
2021 | Managing 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. Full description at Econpapers || Download paper |
2020 | Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504. Full description at Econpapers || Download paper |
2020 | Testing moving average trading strategies on ETFs. (2020). Huang, Jingzhi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:16-32. Full description at Econpapers || Download paper |
2020 | Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256. Full description at Econpapers || Download paper |
2021 | An 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. Full description at Econpapers || Download paper |
2020 | Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability. (2020). Katsaiti, Marina-Selini ; Polyzos, Stathis ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302349. Full description at Econpapers || Download paper |
2020 | Technical trading rules in the cryptocurrency market. (2020). Sapkota, Niranjan ; Ahmed, Shaker ; Grobys, Klaus. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319308852. Full description at Econpapers || Download paper |
2020 | An analysis of technical trading rules: The case of MENA markets. (2020). Saad, Mohsen ; Bley, Jorg. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319304143. Full description at Econpapers || Download paper |
2020 | The profitability of technical trading rules in the Bitcoin market. (2020). Gerritsen, Dirk ; Bouri, Elie ; Roubaud, David ; Ramezanifar, Ehsan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303770. Full description at Econpapers || Download paper |
2020 | Profitability of technical trading rules among cryptocurrencies with privacy function. (2020). Grobys, Klaus ; Ahmed, Shaker ; Sapkota, Niranjan. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320300829. Full description at Econpapers || Download paper |
2020 | Evolutionary macroeconomic assessment of employment and innovation impacts of climate policy packages. (2020). Rengs, Bernhard ; van den Bergh, Jeroen ; Scholz-Wackerle, Manuel. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:332-368. Full description at Econpapers || Download paper |
2021 | Can 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. Full description at Econpapers || Download paper |
2020 | Weighted multiscale cumulative residual Rényi permutation entropy of financial time series. (2020). Zhou, Qin ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s037843711931742x. Full description at Econpapers || Download paper |
2021 | Information 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. Full description at Econpapers || Download paper |
2020 | Technical trading index, return predictability and idiosyncratic volatility. (2020). Su, Yunpeng ; Yang, Baochen ; Ma, Yao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:879-900. Full description at Econpapers || Download paper |
2021 | New 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. Full description at Econpapers || Download paper |
2020 | Feedback trading and the ramadan effect in frontier markets. (2020). Andrikopoulos, Panagiotis ; Kallinterakis, Vasileios ; Gad, Samar ; Cui, Yueting. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919306294. Full description at Econpapers || Download paper |
2020 | High frequency momentum trading with cryptocurrencies. (2020). Zhang, Yuanyuan ; Chan, Stephen ; Chu, Jeffrey. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919308062. Full description at Econpapers || Download paper |
2020 | A modified BDS test. (2020). Hui, Yongchang ; Zheng, Shurong ; Bai, Zhidong ; Luo, Wenya. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220300973. Full description at Econpapers || Download paper |
2020 | Complex economic problems and fitness landscapes: Assessment and methodological perspectives. (2020). Khraisha, Tamer. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:52:y:2020:i:c:p:390-407. Full description at Econpapers || Download paper |
2020 | Temporal optimisation of signals emitted automatically by securities exchange indicators. (2020). Perez, Enrique Ventura ; Garcia, Rodrigo Martin ; Sanz, Raquel Arguedas. In: Cuadernos de Gestión. RePEc:ehu:cuader:49124. Full description at Econpapers || Download paper |
2020 | A Survey of Fintech Research and Policy Discussion. (2020). Jagtiani, Julapa ; Allen, Franklin ; Gu, Xian. In: Working Papers. RePEc:fip:fedpwp:88120. Full description at Econpapers || Download paper |
2020 | Oil Price Forecasting Using a Time-Varying Approach. (2020). Wang, Shun-Gang ; Zhang, Zhi-Gang ; Zhao, Lu-Tao. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:6:p:1403-:d:333553. Full description at Econpapers || Download paper |
2020 | Research on Audit Supervision of Internet Finance. (2020). GE, Sheng ; Liu, Hua. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:2-:d:308832. Full description at Econpapers || Download paper |
2020 | Efficiency of the Brazilian Bitcoin: A DFA Approach. (2020). Ferreira, Paulo ; Burnquist, Heloisa ; Campoli, Jessica ; Quintino, Derick. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:2:p:25-:d:347854. Full description at Econpapers || Download paper |
2020 | Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning. (2020). Kitano, Michiharu ; Degraw, David ; Maeda, Iwao ; Kato, Atsuo ; Sakaji, Hiroki ; Izumi, Kiyoshi ; Matsushima, Hiroyasu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:250-:d:433565. Full description at Econpapers || Download paper |
2020 | A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment. (2020). Chang, Kuo-Chu ; Ji, Ran ; Jiang, Zhenlong. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:155-:d:385284. Full description at Econpapers || Download paper |
2020 | Momentum Investment Strategy Using a Hidden Markov Model. (2020). Oh, Kyong Joo ; Lee, Hee Soo ; Bae, Han Hee ; Ryou, Hosun. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:17:p:7031-:d:405619. Full description at Econpapers || Download paper |
2020 | Do psychological barriers exist in Latin American stock markets?. (2020). Fortuna, Natrcia ; Lobo, Jlio ; Silva, Franklin. In: Revista de Analisis Economico – Economic Analysis Review. RePEc:ila:anaeco:v:35:y:2020:i:2:p:29-56. Full description at Econpapers || Download paper |
2020 | The Profitability in the FTSE 100 Index: A New Markov Chain Approach. (2020). Nicolau, Joo ; Riedlinger, Flavio Ivo. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09282-4. Full description at Econpapers || Download paper |
2020 | SABCEMM: A Simulator for Agent-Based Computational Economic Market Models. (2020). Frank, Martin ; Pabich, Emma ; Beikirch, Maximilian ; Cramer, Simon ; Otte, Philipp ; Trimborn, Torsten. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09910-1. Full description at Econpapers || Download paper |
2020 | Portfolio creation using artificial neural networks and classification probabilities: a Canadian study. (2020). Morris, Tania ; Comeau, Jules. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00350-8. Full description at Econpapers || Download paper |
2020 | Rational Heuristics? Expectations and Behaviors in Evolving Economies with Heterogeneous Interacting Agents. (2020). Stiglitz, Joseph ; Roventini, Andrea ; Napoletano, Mauro ; Dosi, Giovanni ; Treibich, Tania. In: NBER Working Papers. RePEc:nbr:nberwo:26922. Full description at Econpapers || Download paper |
2020 | Stock price prediction using principal components. (2020). Ghorbani, Mahsa. In: PLOS ONE. RePEc:plo:pone00:0230124. Full description at Econpapers || Download paper |
2020 | Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:102434. Full description at Econpapers || Download paper |
2020 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:102767. Full description at Econpapers || Download paper |
2021 | Digital Innovation and its Potential Consequences: the Elasticity Augmenting Approach. (2021). Cincotti, Silvano ; Teglio, Andrea ; Raberto, Marco ; Bertani, Filippo. In: MPRA Paper. RePEc:pra:mprapa:105326. Full description at Econpapers || Download paper |
2020 | On the typicality of the representative agent. (2020). Teglio, Andrea. In: MPRA Paper. RePEc:pra:mprapa:105407. Full description at Econpapers || Download paper |
2021 | Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102. Full description at Econpapers || Download paper |
2020 | Extracting the global stochastic trend from non-synchronous data on the volatility of financial indices. (2020). Peresetsky, Anatoly ; Pogorelova, Polina. In: Applied Econometrics. RePEc:ris:apltrx:0387. Full description at Econpapers || Download paper |
2020 | The Moses effect: can central banks really guide foreign exchange markets?. (2020). Roy Trivedi, Smita. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:6:d:10.1007_s00181-019-01671-y. Full description at Econpapers || Download paper |
2020 | Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach. (2020). Loganathan, Nanthakumar ; Chohan, Muhammad Ali ; Ramakrishnan, Suresh ; Butt, Shamaila . In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00181-6. Full description at Econpapers || Download paper |
2020 | Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY. (2020). Huang, Paoyu ; Day, Min-Yuh ; Ni, Yensen. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00190-5. Full description at Econpapers || Download paper |
2020 | Efficient market hypothesis: a ruinous implication for Portugese stock market. (2020). Hajilee, Massomeh ; Metghalchi, Massoud ; Niroomand, Farhang. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:44:y:2020:i:4:d:10.1007_s12197-020-09514-8. Full description at Econpapers || Download paper |
2020 | Much ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over time. (2020). Righi, Simone ; Biondi, Yuri. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-017-0201-8. Full description at Econpapers || Download paper |
2020 | Information versus imitation in a real-time agent-based model of financial markets. (2020). Biondo, Alessio Emanuele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00249-2. Full description at Econpapers || Download paper |
2020 | Innovation, finance, and economic growth: an agent-based approach. (2020). Roventini, Andrea ; Giachini, Daniele ; Fagiolo, Giorgio. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00258-1. Full description at Econpapers || Download paper |
2020 | Scaling and discontinuities in the global economy. (2020). Angeler, David G ; Allen, Craig R ; Sundstrom, Shana M. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:30:y:2020:i:2:d:10.1007_s00191-019-00650-x. Full description at Econpapers || Download paper |
2020 | Technical analysis: the psychology of the market of dry bulk freight rates. (2020). Clott, Christopher ; Mileski, Joan ; Laverne, Taliese ; Galvao, Cassia Bomer. In: Journal of Shipping and Trade. RePEc:spr:josatr:v:5:y:2020:i:1:d:10.1186_s41072-020-00079-7. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2020 | Loss aversion in an agent-based asset pricing model. (2020). Jennings, Nicholas R ; Polukarov, Maria ; Pruna, Radu T. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:275-290. Full description at Econpapers || Download paper |
2020 | Trend following with momentum versus moving averages: a tale of differences. (2020). Giner, Javier ; Zakamulin, Valeriy. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:6:p:985-1007. Full description at Econpapers || Download paper |
2020 | Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Working Paper Series. RePEc:trr:qfrawp:202003. Full description at Econpapers || Download paper |
2020 | Forecasting Stock Market Recessions in the US: Predictive Modeling using Different Identification Approaches. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Research Papers in Economics. RePEc:trr:wpaper:202001. Full description at Econpapers || Download paper |
2020 | Tick size and market quality: Simulations based on agentâ€based artificial stock markets. (2020). Ye, Qing ; Zhang, Jie ; Yang, Xinhui. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:27:y:2020:i:3:p:125-141. Full description at Econpapers || Download paper |
2021 | Equity return predictability, its determinants, and profitable trading strategies. (2021). Uddin, Gazi ; Rahman, Md Lutfur ; Vigne, Samuel A ; Khan, Mahbub. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:162-186. Full description at Econpapers || Download paper |
2021 | Impact of bitcoin futures on the informational efficiency of bitcoin spot market. (2021). Shynkevich, Andrei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:115-134. Full description at Econpapers || Download paper |
2020 | The Predictability and Profitability of Simple Moving Averages and Trading Range Breakout Rules in the Pakistan Stock Market. (2020). Qureshi, Mohammad Nadeem ; Anand, Vivake ; Khand, Salma. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:23:y:2020:i:01:n:s0219091520500010. Full description at Econpapers || Download paper |
2020 | Heterogeneous speculators and stock market dynamics: A simple agent-based computational model. (2020). Westerhoff, Frank ; Schwartz, Ivonne ; Schmitt, Noemi. In: BERG Working Paper Series. RePEc:zbw:bamber:160. Full description at Econpapers || Download paper |
2020 | Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Discussion Papers. RePEc:zbw:bubdps:462020. Full description at Econpapers || Download paper |
2020 | Stock price related financial fragility and growth patterns. (2020). Assmuth, Pascal. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:202010. Full description at Econpapers || Download paper |
2020 | POSA: Policy implementation sensitivity analysis. (2020). Schaff, Frederik ; Bauermann, Tom. In: Ruhr Economic Papers. RePEc:zbw:rwirep:854. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2000 | Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options In: American Economic Review. [Full Text][Citation analysis] | article | 15 |
2008 | Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents In: American Economic Review. [Full Text][Citation analysis] | article | 157 |
2008 | Modeling 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: 157 | paper | |
1991 | SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS. In: Working papers. [Citation analysis] | paper | 611 |
1992 | Simple Technical Trading Rules and the Stochastic Properties of Stock Returns..(1992) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 611 | article | |
1990 | SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK MARKET RETURNS. In: Working papers. [Citation analysis] | paper | 91 |
1992 | Some Relations between Volatility and Serial Correlations in Stock Market Returns..(1992) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 91 | article | |
1991 | Forecast Improvements Using A Volatility Index. In: Working papers. [Citation analysis] | paper | 23 |
1992 | Forecast Improvements Using a Volatility Index..(1992) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
1991 | Empirical Evidence for Nonlinearities and Chaos in Economic Time Series: A Summary of Recent Results. In: Working papers. [Citation analysis] | paper | 4 |
1991 | Technical Trading Rules and Regime Shifts in Foreign Exchange. In: Working papers. [Citation analysis] | paper | 19 |
Technical Trading Rules and Regime Shifts in Foreign Exchange.() In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | ||
1991 | Transactions Costs and Correlations in a Large Firm Index. In: Working papers. [Citation analysis] | paper | 1 |
1992 | Persistence of the Dow Jones Index on Rising Volume. In: Working papers. [Citation analysis] | paper | 16 |
Persistence of the Dow Jones Index on Rising Volume.() In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | ||
1992 | Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets? In: Working papers. [Citation analysis] | paper | 12 |
1996 | Technical Trading Rule Profitability and Foreing Exchange Intervention. In: Working papers. [Citation analysis] | paper | 177 |
1999 | Technical trading rule profitability and foreign exchange intervention.(1999) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 177 | article | |
1996 | Technical Trading Rule Profitability and Foreign Exchange Intervention.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 177 | paper | |
Technical Trading Rule Profitability and Foreign Exchange Intervention.() In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 177 | paper | ||
1994 | Technical Trading Rule Profitability and Foreign Exchange Intervention.(1994) In: International Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 177 | paper | |
1995 | A Test for Independence Based on the Correlation Dimension. In: Working papers. [Citation analysis] | paper | 138 |
1995 | Experiments in Evolutionary Finance. In: Working papers. [Citation analysis] | paper | 4 |
Experiments in Evolutionary Finance.() In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | ||
1996 | Asset Pricing Under Endogenous Expectations in an Artificial Stock Market. In: Working papers. [Citation analysis] | paper | 100 |
1996 | Asset Pricing Under Endogenous Expectation in an Artificial Stock Market.(1996) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
1997 | An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization. In: Working papers. [Citation analysis] | paper | 1 |
1997 | Time Series Properties of an Artificial Stock Market. In: Working papers. [Citation analysis] | paper | 235 |
1999 | Time series properties of an artificial stock market.(1999) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 235 | article | |
1997 | A Fast Algorithm for the BDS Statistic In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 11 |
2010 | Heterogeneous Gain Learning and Long Swings in Asset Prices In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Wealth Dynamics and a Bias Toward Momentum Trading In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Wealth dynamics and a bias toward momentum trading.(2012) In: Finance Research Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2010 | Heterogeneous Gain Learning and the Dynamics of Asset Prices In: Working Papers. [Full Text][Citation analysis] | paper | 26 |
2012 | Heterogeneous gain learning and the dynamics of asset prices.(2012) In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
2010 | Searching For Lost Decades In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Heterogeneous Agents and Long Horizon Features of Asset Prices In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Are Lost Decades in the Stock Market Black Swans? In: Rosenberg Global Financial Briefs. [Full Text][Citation analysis] | paper | 0 |
2001 | EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 46 |
1999 | Evolution 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: 46 | paper | |
2000 | Agent-based computational finance: Suggested readings and early research In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 137 |
2006 | Agent-based Computational Finance In: Handbook of Computational Economics. [Full Text][Citation analysis] | chapter | 175 |
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, [ In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2007 | Long-memory in an order-driven market In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 19 |
2008 | Introduction 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] | article | 7 |
1992 | Nonlinear Dynamics, Chaos, and Instability - Unix version In: MIT Press Books. [Citation analysis] | book | 5 |
1990 | Liquidity Constraints in Production-Based Asset-Pricing Models In: NBER Chapters. [Full Text][Citation analysis] | chapter | 7 |
1989 | Liquidity Constraints in Production Based Asset Pricing Models.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
1995 | A Dynamic Structural Model for Stock Return Volatility and Trading Volume In: NBER Working Papers. [Full Text][Citation analysis] | paper | 125 |
1996 | A 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: 125 | article | |
2008 | The Impact of Imitation on Long Memory in an Order-Driven Market In: Eastern Economic Journal. [Full Text][Citation analysis] | article | 22 |
2008 | The Future of Agent-Based Research in Economics: A Panel Discussion, Eastern Economic Association Annual Meetings, Boston, March 7, 20081 In: Eastern Economic Journal. [Full Text][Citation analysis] | article | 4 |
2011 | Active and Passive Learning in Agent-based Financial Markets In: Eastern Economic Journal. [Full Text][Citation analysis] | article | 8 |
2013 | Estimating the Probability of a Lost Decade for U.S. and Global Equity In: Journal of Financial Perspectives. [Citation analysis] | article | 0 |
2005 | Extreme Value Theory and Fat Tails in Equity Markets In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 9 |
1999 | Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 2 |
2010 | Order-splitting and long-memory in an order-driven market In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 11 |
2001 | A builders guide to agent-based financial markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 27 |
2001 | Stochastic volatility as a simple generator of apparent financial power laws and long memory In: Quantitative Finance. [Full Text][Citation analysis] | article | 61 |
1989 | Nonlinear Dynamics and Stock Returns. In: The Journal of Business. [Full Text][Citation analysis] | article | 200 |
2001 | Foreignâ€Exchange Trading Volume and Federal Reserve Intervention In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
Evaluating Neural Network Predictors by Bootstrapping (with A. Weigend) In: Working papers. [Full Text][Citation analysis] | paper | 0 | |
The Joint Dynamics and Stability of Stock Prices and Volume In: Working papers. [Full Text][Citation analysis] | paper | 0 | |
Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange? In: Working papers. [Full Text][Citation analysis] | paper | 10 | |
1994 | Chaos and Nonlinear Forecastability in Economics and Finance In: Finance. [Full Text][Citation analysis] | paper | 23 |
1994 | Evaluating Neural Network Predictors by Bootstrapping In: Finance. [Full Text][Citation analysis] | paper | 2 |
1994 | Evaluating Neural Network Predictors by Bootstrapping.(1994) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team