Blake LeBaron

Title

Abram L. and Thelma Sachar Professor of International Economics

International Business School

Expertise

Chaos Theory, Equity Markets, Finance / Technical Analysis Of Price Movements, International Finance / Exchange Rates

Profile

A specialist in high-technology finance, Blake LeBaron's research deals with domestic and international financial markets. He is involved in empirical and theoretical studies of asset market behavior. The latter area involves building "artificial stock markets" with simulated computer traders. He teaches courses in macroeconomics and econometrics. A former faculty member at the University of Wisconsin, he holds a Ph.D. from the University of Chicago.

Degrees

University of Chicago, Ph.D.

University of Chicago, M.A.

Rensselaer Polytechnic Institute, B.S.

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Contact

Email:	blebaron@brandeis.edu
Phone:	781-736-2258
Office:	Sachar International Center, 204

Webpage

Awards and Honors

Sloan Fellowship (1994 - 1996)

Villas Associate (1994 - 1996)

National Science Foundation (1991 - 1992)

Wisconsin Alumni Reseach Foundation (1990)

Courses Taught

ECON	301a	Advanced Microeconomics I
ECON	304a	Advanced Macroeconomics II
ECON	399a	Dissertation Workshop
ECON/FIN	250a	Forecasting in Finance and Economics
FIN	250f	Financial Forecasting
FIN	254f	Financial Manias and Crises
FIN	285a	Computer Simulations and Risk Assessment

Scholarship

LeBaron, Blake. "Heterogeneous gain learning and long swings in asset prices." Rethinking Expectations: The Way Forward for Macroeconomics. Ed. Roman Frydman and Edmund S. Phelps. Princeton, NJ: Princeton University Press, 2013

LeBaron, Blake. "Heterogeneous gain learning and the dynamics of asset prices." Journal of Economic Behavior and Organization 83. (2012): 424-445.

LeBaron, Blake. "Wealth dynamics and a Bias Toward Momentum Trading." Finance Research Letters 9. (2012): 21-28.

LeBaron, Blake. "Active and passive learning in agent-based financial markets." Eastern Economic Journal 37. (2011): 35-43.

LeBaron, Blake/Ryuichi Yamamoto. "Order-splitting and Long-Memory in an Order-Driven Market." European Physical Journal B 73. 1 (2010): 51-57.

LeBaron, Blake /Leigh Tesfatsion. "Modeling macroeconomies as open-ended systems of interacting agents." American Economic Review: Papers and Proceedings 98. 2 (2008): 246-50.

LeBaron, Blake/Peter Winker, ed. Agent-based Models for Economic Policy Advice. 228 2008.

LeBaron, Blake/Ryuichi Yamamoto. "The impact of imitation on long-memory in an order driven market." Eastern Economic Journal 34. (2008): 504-517.

LeBaron, Blake/Ryuichi Yamamoto. "Long-memory in an order-driven market." Physica A 383. (2007): 85-89.

LeBaron, Blake. "Agent-based Computational Finance." Handbook of Computational Economics. vol. 2 Ed. Tesfatsion and Judd. North-Holland, 2006. 1187-1232.

LeBaron, Blake. "Agent-based financial markets: Matching stylized facts with style." Post Walrasian Macroeconomics. Ed. Colander. Cambridge University Press, 2006. 221-238.

LeBaron, Blake. "Time scales, Agents, and Empirical Finance." Medium Econometrishce 14. 3 (2006): 20-25.

LeBaron,Blake. Short-memory traders and their impact on group learning in financial markets. Proc. of Proceedings of the National Academy of Science. 2002.

LeBaron,Blake with A. Chaboud. "Foreign exchange market trading volume and federal reserve intervention." Journal of Futures Markets 21. (2001): 851-860.

LeBaron,Blake. "A builder's guide to agent-based financial markets." Quantitative Finance 1. (2001): 254-261.

LeBaron,Blake. "Empirical regularities from interacting long and short memory investors in an agent-based financial market." IEEE Transactions on Evolutionary Computation 5. (2001): 442-455.

LeBaron,Blake. "Evolution and time horizons in an agent based stock market." Macroeconomic Dynamics 5. (2001): 225-254.

LeBaron,Blake. "Stochastic volatility as a simple generator of apparent financial power laws and long memory." Quantitative Finance 1. (2001): 621-631.

LeBaron,Blake with R. McCulloch. "Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options." American Economic Review, Papers and Proceedings 90. 2 (2000): 32-37.

LeBaron,Blake, co-ed. Yaser S. Abu-Mostafa, Andrew W. Lo & Andre. Computational Finance 1999. MIT Press, 2000.

LeBaron,Blake. "Agent Based Computational Finance: Suggested Readings and Early Research." Journal of Economic Dynamics and Control 24. (2000): 679-702.

LeBaron,Blake with W. B. Arthur and R. Palmer. "The Time Series Properties of an Artificial Stock Market." Journal of Economic Dynamics and Control 23. (1999): 1487-1516.

LeBaron,Blake. "Technical Trading Rule Profitability and Foreign Exchange Intervention." Journal of International Economics 49. (1999): 125-143.

LeBaron,Blake with W. A. Brock. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume." Review of Economics and Statistics 78. (1996): 94-110.

LeBaron,Blake. "Chaos and Nonlinear Forecastability in Economics and Finance." Philosophical Transactions of the Royal Society of London (A) 348. (1994): 397-404..

LeBaron,Blake with W. A. Brock, and J. Lakonishok. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns." Journal of Finance 47. (1992): 1731-1764.

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