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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.
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The impact of imitation on long memory in an order-driven market
Blake LeBaron,Ryuichi Yamamoto +1 more
TL;DR: In this article, the authors explore the impact of varying amounts of imitation and agent learning in a simple order-driven market and show that imitation is critical to the generation of long memory persistence in many financial time series.
Posted Content
Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange Markets
TL;DR: In this article, fitted linear models can replicate results from moment tests inspired by moving average technical trading rules for weekly foreign exchange series, along with a simulated method of moments technique which incorporates the trading rule moments into the estimation procedure.
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Active and Passive Learning in Agent-based Financial Markets
TL;DR: In this article, the authors compare and contrast two forms of learning which are present in most agent-based financial markets, passive learning and active switching, where wealth accumulates on strategies which have done relatively well.
Posted Content
A Test for Independence Based on the Correlation Dimension
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An artificial stock market
TL;DR: The Santa Fe Artificial Stock Market consists of a central computational market and a number of artificially intelligent agents, which make their investment decisions by attempting to forecast the future return on the stock, using genetic algorithms to generate, test, and evolve predictive rules.