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Brandeis University's Community Newspaper — Waltham, Mass.

2014 Mike Epstein Award given to Prof. Blake LeBaron

Published: December 5, 2014
Section: News

Professor Blake LeBaron, the Abram L. and Thelma Sachar Professor of International Economics at Brandeis International Business School (IBS), was honored with the 2014 Mike Epstein Award from the Market Technicians Association Educational Foundation for his work bridging technical analysis to the academic world.

This award was established in 2009, in memory of late MTA Educational Foundation partner, Mike Epstein. Each year, the award is presented to the person who “best exemplifies Mike’s goals for long-term sponsorship of technical analysis in academia and in practice,” according to the website. The MTA Educational Foundation’s original mission was to build educational programs in the field of technical analysis, which has now spread to complete curricula taught in schools and universities around the country.

LeBaron began this field of research as an undergraduate studying computer science and engineering at Rensselaer Polytechnic Institute (RPI). He developed his interest in economics concentrating in a data-driven, computational approach.

After graduating from RPI, LeBaron continued his education to receive a Ph.D. at the University of Chicago. His graduate studies focused on non-linear aspects of finance, and his final thesis concentrated on non-linear dynamic chaos and tested stock returns. What he found from his research was that the little fluctuations in the daily stock market are not really as random as they seem. He determined that this “chaos is not just the absence of identifiable trends but something that hides that meaning.”

LeBaron explained his current work as “mostly concerned with building agent-based financial markets which look into the interactions of traders operating with different predictive systems. Basically, the idea is to generate computer simulations mimicking behavior in actual markets to better understand what is going on.”

Here at Brandeis, LeBaron teaches a class on computational risk management and forecasting (at the master’s degree level), and he occasionally teaches Ph.D. classes in his area of expertise. Apart from his courses, LeBaron said that he also “runs a small team who are building further software tools related to mine and some others’ research in this area.”

LeBaron said that students at Brandeis have shown a great interest in the field. This has been demonstrated through the formation of the Brandeis Technical Trader’s Society, which educates members on the topics that LeBaron works so closely with, and on related fields.

For more information about LeBaron’s research, there are several working papers available on his website. His older survey is available in the Handbook of Computational Economics and currently, a new survey is in progress and is expected to be available summer 2015.