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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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A Dynamic Structural Model for Stock Return Volatility and Trading Volume
TL;DR: In this paper, the authors developed a structural model that lets data on asset returns and trading volume speak to whether volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trade process itself.
Posted Content
Chaos and Nonlinear Forecastability in Economics and Finance
TL;DR: In this article, the authors compare the empirical evidence for chaos in financial markets and macroeconomic series and compare these two concepts from a financial market perspective contrasting the objectives of the practitioner with those of economic researchers.
Journal ArticleDOI
Stochastic Volatility as a Simple Generator of Financial Power-Laws and Long Memory
TL;DR: In this article, the authors present a relatively simple stochastic volatility model which is able to display power laws and scale invariance similar to actual financial data even though it is constructed to have none of these properties.
Book ChapterDOI
Technical Trading Rules and Regime Shifts in Foreign Exchange
TL;DR: In this paper, moving average based rules are used as specification tests on the process for foreign exchange rates and the results show that these simple models can not capture some aspects of the series studied, and the economic significance of the trading rule results are tested.
Journal ArticleDOI
Chaos and nonlinear forecastability in economics and finance
TL;DR: In this article, the authors compare the two concepts from a financial market perspective contrasting the objectives of the practitioner with those of the economic researchers and speculate on the impact of chaos and nonlinear modelling on future economic research.