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Blake LeBaron
Researcher at Brandeis University
Publications - 109
Citations - 15712
Blake LeBaron is an academic researcher from Brandeis University. The author has contributed to research in topics: Financial market & Stock market. The author has an hindex of 44, co-authored 109 publications receiving 14967 citations. Previous affiliations of Blake LeBaron include Santa Fe Institute & National Bureau of Economic Research.
Papers
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Journal ArticleDOI
A test for independence based on the correlation dimension
TL;DR: In this paper, the authors present a test of independence that can be applied to the estimated residuals of any time series model, which can be transformed into a model driven by independent and identically distributed errors.
Journal ArticleDOI
Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
TL;DR: In this article, the authors used the Dow Jones Index from 1897 to 1986 to test two of the simplest and most popular trading rules (moving average and trading range break) by utilizing the bootstrap techniques.
Posted Content
Agent-based Computational Finance
TL;DR: The authors surveys research on agent-based models used in finance, focusing on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.
Book ChapterDOI
Asset Pricing Under Endogenous Expectations in an Artificial Stock Market
TL;DR: In this paper, the authors propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create, and explore the implications of this theory computationally using Santa Fe artificial stock market.
Journal ArticleDOI
Nonlinear Dynamics and Stock Returns.
Jose A. Scheinkman,Blake LeBaron +1 more
TL;DR: The authors apply procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the Center for Research in Security Prices value-weighted index.