Blake Lebaron : Citation Profile


Are you Blake Lebaron?

Brandeis University

19

H index

24

i10 index

2306

Citations

RESEARCH PRODUCTION:

25

Articles

39

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   24 years (1989 - 2013). See details.
   Cites by year: 96
   Journals where Blake Lebaron has often published
   Relations with other researchers
   Recent citing documents: 235.    Total self citations: 17 (0.73 %)

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   Permalink: http://citec.repec.org/ple1
   Updated: 2019-10-15    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 (103)

He, Xuezhong (52)

Roventini, Andrea (43)

Westerhoff, Frank (41)

Dosi, Giovanni (36)

Brock, William (33)

Wagener, Florian (30)

Sosvilla-Rivero, Simon (28)

Farmer, J. (26)

Napoletano, Mauro (26)

Gallegati, Mauro (25)

Cites to:

Engle, Robert (22)

Granger, Clive (19)

Brock, William (16)

White, Halbert (15)

Bollerslev, Tim (15)

Chiarella, Carl (14)

Campbell, John (13)

Hommes, Cars (11)

Hendry, David (11)

Franses, Philip Hans (10)

Farmer, J. (8)

Main data


Where Blake Lebaron has published?


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

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

Recent works citing Blake Lebaron (2018 and 2017)


YearTitle of citing document
2017One size does not fit all: an empirical investigation of the Romanian agriculture production function. (2017). Kostov, Philip ; Davidova, Sophia. In: 91st Annual Conference, April 24-26, 2017, Royal Dublin Society, Dublin, Ireland. RePEc:ags:aesc17:258642.

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2017Heterogeneity and Clustering of Defaults. (2017). Turner, Matthew ; Terovitis, Spyridon ; Galanis, Girogos ; Karlis, Alexandros . In: Economic Research Papers. RePEc:ags:uwarer:270011.

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2018Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259.

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2018Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy. (2018). Chuen, Yean Soh ; Hamzah, Ahmad Husni ; Yaacob, Mohd Hasimi ; Tapa, Afiruddin. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:933-941.

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2017Evidence of Self-Organization in Time Series of Capital Markets. (2017). , Leopoldo ; Garc, Alba Lucero ; Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo . In: Papers. RePEc:arx:papers:1604.03996.

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2017Humans of Simulated New York (HOSNY): an exploratory comprehensive model of city life. (2017). Furtado, Bernardo ; Liu, Fei ; Tseng, Francis . In: Papers. RePEc:arx:papers:1703.05240.

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2017An Agent-based Model of Contagion in Financial Networks. (2017). Coelho, Flavio Codeco ; Santos, Leonardo Dos . In: Papers. RePEc:arx:papers:1703.07513.

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2017Wealth dynamics in a sentiment-driven market. (2017). Goykhman, Mikhail . In: Papers. RePEc:arx:papers:1705.07092.

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2017Second order stochastic differential models for financial markets. (2017). Zung, Nguyen Tien . In: Papers. RePEc:arx:papers:1707.05419.

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2017Machine learning in sentiment reconstruction of the simulated stock market. (2017). Goykhman, Mikhail ; Teimouri, Ali . In: Papers. RePEc:arx:papers:1708.01897.

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2019A Mathematical Analysis of Technical Analysis. (2018). Lorig, Matthew ; Zou, Bin ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1710.09476.

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2017Asymmetric return rates and wealth distribution influenced by the introduction of technical analysis into a behavioral agent based model. (2017). Stefan, F M ; A. P. F. Atman, . In: Papers. RePEc:arx:papers:1711.08282.

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2017Trading Strategies with Position Limits. (2017). Salov, Valerii . In: Papers. RePEc:arx:papers:1712.07649.

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2018SABCEMM-A Simulator for Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Frank, Martin ; Pabich, Emma ; Beikirch, Max ; Cramer, Simon ; Otte, Philipp. In: Papers. RePEc:arx:papers:1801.01811.

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2018An Endogenous Mechanism of Business Cycles. (2018). Kroujiline, Dimitri ; Govorkov, Boris ; Sharov, Sergey V ; Ushanov, Dmitry ; Gusev, Maxim. In: Papers. RePEc:arx:papers:1803.05002.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

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2018Anticipating cryptocurrency prices using machine learning. (2018). Alessandretti, Laura ; Baronchelli, Andrea ; Aiello, Luca Maria ; Elbahrawy, Abeer. In: Papers. RePEc:arx:papers:1805.08550.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

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2019Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices. (2018). Sermpinis, Georgios ; Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman . In: Papers. RePEc:arx:papers:1811.06766.

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2019Selection mechanism design affects volatility in a market of evolving zero-intelligence agents. (2018). van Oort, Colin Michael ; Dewhurst, David Rushing ; Arnold, Michael Vincent. In: Papers. RePEc:arx:papers:1812.05657.

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2019Divestment may burst the carbon bubble if investors beliefs tip to anticipating strong future climate policy. (2019). Peterson, Sonja ; Heitzig, Jobst ; Donges, Jonathan F ; Ewers, Birte. In: Papers. RePEc:arx:papers:1902.07481.

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2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

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2019An intelligent financial portfolio trading strategy using deep Q-learning. (2019). Gu, Dong ; Sim, Min Kyu ; Park, Hyungjun. In: Papers. RePEc:arx:papers:1907.03665.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2018The effect of 52 week highs and lows on analyst stock recommendations. (2018). Lin, MeiChen . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:375-422.

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2017Timing the Market with a Combination of Moving Averages. (2017). Glabadanidis, Paskalis. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:353-394.

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2017STOCK†FLOW CONSISTENT MACROECONOMIC MODELS: A SURVEY. (2017). Zezza, Gennaro ; Veneziani, Roberto ; Nikiforos, Michalis ; Zamparelli, Luca. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1204-1239.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2017Does Black-Litterman Model adds value to a MILA portfolio?. (2017). Luna-Ramirez, Susana Arango ; Agudelo, Diego A. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016940.

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2018Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?. (2018). Agudelo, Diego ; Luna-Ramirez, Susana. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016958.

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2017Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?. (2017). Agudelo, Diego ; Luna-Ramirez, Susana. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016959.

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2017Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?. (2017). Agudelo, Diego ; Luna-Ramirez, Susana. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016960.

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2017Endogenous Asymmetric Shocks in the Eurozone. The Role of Animal Spirits. (2017). DeGrauwe, Paul ; Ji, Yuemei ; de Grauwe, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11887.

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2019The Sound Of Many Funds Rebalancing. (2019). Fos, Vyacheslav ; Chinco, Alex. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13561.

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2018An urgent call to get better prepared for unexpected events. (2018). Spaanderman, Jurgen. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1602.

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2019An agent-based model for the assessment of LTV caps. (2019). Buesa, Alejandro ; Poblacion, Francisco Javier ; Leber, Miha ; Laliotis, Dimitrios. In: Working Paper Series. RePEc:ecb:ecbwps:20192294.

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2017The Application of Genetic Programming on the Stock Movement Forecasting System. (2017). Tsai, Yi-Chi ; Hong, Cheng-Yih. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-06-9.

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2019Does Chaos Matter in Financial Time Series Analysis?. (2019). Parziale, Anna ; Bruno, Bruna ; Faggini, Marisa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-04-3.

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2018Cooperation in manure-based biogas production networks: An agent-based modeling approach. (2018). Yazan, Devrim Murat ; Zijm, Henk ; Mes, Martijn ; Fraccascia, Luca. In: Applied Energy. RePEc:eee:appene:v:212:y:2018:i:c:p:820-833.

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2018Predictive analytics of crude oil prices by utilizing the intelligent model search engine. (2018). Bekiroglu, Korkut ; Lagoa, Constantino ; Su, Rong ; GULAY, Emrah ; Duru, Okan. In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:2387-2397.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2018Diffusion of development initiatives in a southern Lao community: An agent based evaluation. (2018). Chareunsy, Andrea K. In: Journal of Asian Economics. RePEc:eee:asieco:v:54:y:2018:i:c:p:53-68.

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2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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2019Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects. (2019). Hommes, Cars ; Vroegop, Joris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:314-333.

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2019Endogenous growth and global divergence in a multi-country agent-based model. (2019). Roventini, Andrea ; Dosi, Giovanni ; Russo, Emanuele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:101-129.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53.

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2017When more flexibility yields more fragility: The microfoundations of Keynesian aggregate unemployment. (2017). Virgillito, Maria Enrica ; Roventini, Andrea ; Pereira, Marcelo ; Dosi, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:162-186.

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2017A method for agent-based models validation. (2017). Moneta, Alessio ; Guerini, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:125-141.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics. (2018). Veneziani, Roberto ; Charpe, Matthieu ; Proao, Christian R ; Galanis, Giorgos ; Flaschel, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:237-256.

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2018Boom-bust dynamics in a stock market participation model with heterogeneous traders. (2018). Naimzada, Ahmad ; Pecora, Nicolo ; Agliari, Anna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:458-468.

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2018An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484.

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2017Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:322-333.

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2017Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach. (2017). Ftiti, Zied ; JAWADI, Fredj ; Hdia, Mouna . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:567-588.

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2017Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104.

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2017The impact of the French financial transaction tax on HFT activities and market quality. (2017). Oriol, Nathalie ; Louhichi, Wael ; Harb, Etienne ; Veryzhenko, Iryna. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:307-315.

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2018The hidden soul of financial innovation: An agent-based modelling of home mortgage securitization and the finance-growth nexus. (2018). Lauretta, Eliana. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:51-73.

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2018No man is an Island: The impact of heterogeneity and local interactions on macroeconomic dynamics. (2018). Roventini, Andrea ; Napoletano, Mauro ; Guerini, Mattia. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:82-95.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2018Complex price dynamics in vertically linked cobweb markets. (2018). Miranda, Mario ; Chaudhry, Muhammad Imran. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:363-378.

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2017Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction. (2017). Yao, Can-Zhong ; Lin, Qing-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:584-596.

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2019Board structure, considerable capital, and stock price overreaction informativeness in terms of technical indicators. (2019). Chen, Yuhsin ; Huang, Paoyu ; Ni, Yensen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:514-528.

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2018Momentum and crash sensitivity. (2018). Ruenzi, Stefan ; Weigert, Florian. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:77-81.

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2018Deep learning with long short-term memory networks for financial market predictions. (2018). Fischer, Thomas ; Krauss, Christopher. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:654-669.

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2019A bi-level programming approach for global investment strategies with financial intermediation. (2019). Benita, Francisco ; Nasini, Stefano ; Lopez-Ramos, Francisco . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:375-390.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Carbon allowance auction design of Chinas emissions trading scheme: A multi-agent-based approach. (2017). Tang, Ling ; Bao, Qin ; Yu, Lean ; Wu, Jiaqian . In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:30-40.

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2017FX technical trading rules can be profitable sometimes!. (2017). Snaith, Stuart ; Coakley, Jerry ; Zarrabi, Nima . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:113-127.

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2017The relationship between pension funds and the stock market: Does the aging population of Europe affect it?. (2017). Alda, Mercedes. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:83-97.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51.

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2017Momentum profits and time varying illiquidity effect. (2017). Butt, Hilal Anwar ; Virk, Nader Shahzad . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:253-259.

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2017Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?. (2017). Chattopadhyay, Manojit ; Mitra, Subrata Kumar ; Kannadhasan, M ; Bawa, Jaslene ; Goyal, Vinay. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:269-273.

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2017Sampling frequency and the performance of different types of technical trading rules. (2017). Hudson, Robert ; Urquhart, Andrew ; McGroarty, Frank. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:136-139.

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2018Exploring the Persistent Behavior of Financial Markets. (2018). Tsai, Yi-Cheng ; Wang, Chuan-Ju ; Ho, Jan-Ming ; Wu, Chung-Shu ; Cheung, William ; Lei, Chin-Laung. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:199-220.

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2018Time-varying long-term memory in Bitcoin market. (2018). Jiang, Yonghong ; Ruan, Weihua ; Nie, HE. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:280-284.

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2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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2019Tests of technical trading rules and the 52-week high strategy in the corporate bond market. (2019). Ulku, Numan ; Raza, Ahmad ; Montgomery, William . In: Global Finance Journal. RePEc:eee:glofin:v:40:y:2019:i:c:p:85-103.

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2017Competitive strategies in the motion picture industry: An ABM to study investment decisions. (2017). Delre, Sebastiano A ; Wierenga, Berend ; Panico, Claudio. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:34:y:2017:i:1:p:69-99.

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2017Shanghai-Hong Kong Stock Connect: An analysis of Chinese partial stock market liberalization impact on the local and foreign markets. (2017). Pang, Darien Yan ; Bai, YE. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:182-203.

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2018Does intraday technical trading have predictive power in precious metal markets?. (2018). Batten, Jonathan ; Urquhart, Andrew ; Peat, Maurice ; McGroarty, Frank ; Lucey, Brian M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:102-113.

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2018Asset allocation strategies, data snooping, and the 1 / N rule. (2018). Hsu, Po-Hsuan ; Cao, Zhiguang ; Wu, Wensheng ; Han, Qiheng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:257-269.

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2017Taming macroeconomic instability: Monetary and macro-prudential policy interactions in an agent-based model. (2017). Roventini, Andrea ; Popoyan, Lilit ; Napoletano, Mauro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:134:y:2017:i:c:p:117-140.

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2017Coordination through social learning in a general equilibrium model. (2017). Zumpe, Martin ; Yildizoglu, Murat ; Senegas, Marc-Alexandre ; Salle, Isabelle. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:141:y:2017:i:c:p:64-82.

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2018Market entry waves and volatility outbursts in stock markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Blaurock, Ivonne . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:19-37.

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2019Budgetary rigour with stimulus in lean times: Policy advices from an agent-based model. (2019). Teglio, Andrea ; Raberto, Marco ; Mazzocchetti, Andrea ; Cincotti, Silvano ; Ponta, Linda. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:59-83.

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2019An approach to identifying micro behavior: How banks’ strategies influence financial cycles. (2019). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Berardi, Simone. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:329-346.

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2017Simple agent-based dynamical system models for efficient financial markets: Theory and examples. (2017). Immonen, Eero . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:69:y:2017:i:c:p:38-53.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2018Construction of currency portfolios by means of an optimized investment strategy. (2018). Chandrinos, Spyros K ; Lagaros, Nikos D. In: Operations Research Perspectives. RePEc:eee:oprepe:v:5:y:2018:i:c:p:32-44.

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2018Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets. (2018). Alhashel, Bader S ; Hansz, Andrew J ; Almudhaf, Fahad W. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:92-108.

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2017Dynamic effects of memory in a cobweb model with competing technologies. (2017). Naimzada, Ahmad ; Agliari, Anna ; Pecora, Nicolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:340-350.

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2017Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices. (2017). Mitra, S K ; Bawa, Jaslene . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:124-135.

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2017Transfer entropy coefficient: Quantifying level of information flow between financial time series. (2017). Shang, Pengjian ; Teng, Yue. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:60-70.

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2017Econophysics: Past and present. (2017). de Area, Eder Johnson ; da Silva, Marcus Fernandes. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:251-261.

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2017Permutation entropy analysis based on Gini–Simpson index for financial time series. (2017). Jiang, Jun ; Li, Xuemei ; Zhang, Zuoquan ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:273-283.

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2017Wealth dynamics in a sentiment-driven market. (2017). Goykhman, Mikhail . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:488:y:2017:i:c:p:132-148.

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2018Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula. (2018). Lei, Likun ; Yu, Wenhua ; Yang, Kun ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1423-1433.

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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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article14
2008Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents In: American Economic Review.
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article137
2008Modeling Macroeconomies As Open-Ended Dynamic Systems of Interacting Agents.(2008) In: Staff General Research Papers Archive.
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paper
1991SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS. In: Working papers.
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paper533
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: 533
article
1990SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK MARKET RETURNS. In: Working papers.
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paper87
1992Some Relations between Volatility and Serial Correlations in Stock Market Returns..(1992) In: The Journal of Business.
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article
1991Forecast Improvements Using A Volatility Index. In: Working papers.
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paper24
1992Forecast Improvements Using a Volatility Index..(1992) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 24
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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paper19
Technical Trading Rules and Regime Shifts in Foreign Exchange.() In: Working papers.
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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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paper14
Persistence of the Dow Jones Index on Rising Volume.() In: Working papers.
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This paper has another version. Agregated cites: 14
paper
1992Do Moving Average Trading Rule Results Imply Nonlinearites in Foreign Exchange Markets? In: Working papers.
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paper12
1996Technical Trading Rule Profitability and Foreing Exchange Intervention. In: Working papers.
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paper167
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: 167
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: 167
paper
Technical Trading Rule Profitability and Foreign Exchange Intervention.() In: Working papers.
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paper
1994Technical Trading Rule Profitability and Foreign Exchange Intervention.(1994) In: International Finance.
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paper
1995A Test for Independence Based on the Correlation Dimension. In: Working papers.
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paper138
1995Experiments in Evolutionary Finance. In: Working papers.
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paper4
Experiments in Evolutionary Finance.() In: Working papers.
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paper
1996Asset Pricing Under Endogenous Expectations in an Artificial Stock Market. In: Working papers.
[Citation analysis]
paper94
1996Asset Pricing Under Endogenous Expectation in an Artificial Stock Market.(1996) In: Working Papers.
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paper
1997An Evolutionary Bootstarp Approach to Neural Network Pruning and Generalization. In: Working papers.
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paper1
1997Time Series Properties of an Artificial Stock Market. In: Working papers.
[Citation analysis]
paper204
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: 204
article
1997A Fast Algorithm for the BDS Statistic In: Studies in Nonlinear Dynamics & Econometrics.
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article9
2010Heterogeneous Gain Learning and Long Swings in Asset Prices In: Working Papers.
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paper1
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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paper24
2012Heterogeneous gain learning and the dynamics of asset prices.(2012) In: Journal of Economic Behavior & Organization.
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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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paper0
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]
article42
1999Evolution and Time Horizons in an Agent-Based Stock Market.(1999) In: Computing in Economics and Finance 1999.
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This paper has another version. Agregated cites: 42
paper
2000Agent-based computational finance: Suggested readings and early research In: Journal of Economic Dynamics and Control.
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article124
2006Agent-based Computational Finance In: Handbook of Computational Economics.
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chapter156
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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article17
2008Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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article7
1992Nonlinear Dynamics, Chaos, and Instability - Unix version In: MIT Press Books.
[Citation analysis]
book4
1990Liquidity Constraints in Production-Based Asset-Pricing Models In: NBER Chapters.
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chapter7
1989Liquidity Constraints in Production Based Asset Pricing Models.(1989) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7
paper
1995A Dynamic Structural Model for Stock Return Volatility and Trading Volume In: NBER Working Papers.
[Full Text][Citation analysis]
paper115
1996A Dynamic Structural Model for Stock Return Volatility and Trading Volume..(1996) In: The Review of Economics and Statistics.
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article
2008The Impact of Imitation on Long Memory in an Order-Driven Market In: Eastern Economic Journal.
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article21
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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article3
2011Active and Passive Learning in Agent-based Financial Markets In: Eastern Economic Journal.
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article6
2013Estimating the Probability of a Lost Decade for U.S. and Global Equity In: Journal of Financial Perspectives.
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article0
2005Extreme Value Theory and Fat Tails in Equity Markets In: Computing in Economics and Finance 2005.
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paper6
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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article7
2001A builders guide to agent-based financial markets In: Quantitative Finance.
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article21
2001Stochastic volatility as a simple generator of apparent financial power laws and long memory In: Quantitative Finance.
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article53
1989Nonlinear Dynamics and Stock Returns. In: The Journal of Business.
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article190
2001Foreign‐Exchange Trading Volume and Federal Reserve Intervention In: Journal of Futures Markets.
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article3
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]
paper10
1994Chaos and Nonlinear Forecastability in Economics and Finance In: Finance.
[Full Text][Citation analysis]
paper22
1994Evaluating Neural Network Predictors by Bootstrapping In: Finance.
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paper2
1994Evaluating Neural Network Predictors by Bootstrapping.(1994) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper

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