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Details about Xuezhong He

E-mail:
Homepage:http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=85
Phone:61-2-9514 7726
Postal address:School of Finance and Economics University of Technology, Sydney PO Box 123, Broadway NSW 2007 Australia
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)
Quantitative Finance Research Centre, Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Xuezhong He.

Last updated 2019-07-25. Update your information in the RePEc Author Service.

Short-id: phe4


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Working Papers

2018

  1. Are We Better-off for Working Hard?
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  2. Heterogeneous Agent Models in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (8)
  3. Time-Varying Economic Dominance Through Bistable Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  4. Time-varying economic dominance in financial markets: A bistable dynamics approach
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads

2017

  1. Ambiguous Market Making
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  2. The effect of genetic algorithm learning with a classifier system in limit order markets
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads

2016

  1. A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
  2. Toward a General Model of Financial Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
  3. Trading Heterogeneity Under Information Uncertainty
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (9)
    See also Journal Article in Journal of Economic Behavior & Organization (2016)

2015

  1. Market Sentiment and Paradigm Shifts
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
  2. Optimal Time Series Momentum
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  3. Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (16)
    See also Journal Article in Journal of Empirical Finance (2015)
  4. The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Journal of Evolutionary Economics (2017)
  5. Volatility Clustering: A Nonlinear Theoretical Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Journal of Economic Behavior & Organization (2016)

2014

  1. A Behavioural Model of Investor Sentiment in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2017)
  2. Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (35)
    See also Journal Article in Journal of Economic Behavior & Organization (2014)
  3. Time Series Momentum and Market Stability
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

2013

  1. Herding, Trend Chasing and Market Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (8)
    See also Journal Article in Journal of Economic Dynamics and Control (2014)
  2. Heterogeneous Beliefs and Prediction Market Accuracy
    LERNA Working Papers, LERNA, University of Toulouse Downloads
    Also in TSE Working Papers, Toulouse School of Economics (TSE) (2012) Downloads View citations (1)
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2012) Downloads View citations (1)
  3. Learning and Evolution of Trading Strategies in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  4. Learning and Information Dissemination in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

2012

  1. An Evolutionary CAPM Under Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Annals of Finance (2013)
  2. Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  3. Heterogeneous Beliefs and the Cross-Section of Asset Returns
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  4. Heterogeneous Beliefs and the Performances of Optimal Portfolios
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  5. Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

2011

  1. Estimating Behavioural Heterogeneity Under Regime Switching
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (27)
    See also Journal Article in Journal of Economic Behavior & Organization (2012)
  2. Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2012)

2010

  1. Differences in Opinion and Risk Premium
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
  2. Dynamics of Moving Average Rules in a Continuous-time Financial Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (11)
    See also Journal Article in Journal of Economic Behavior & Organization (2010)
  3. Time-Varying Beta: A Boundedly Rational Equilibrium Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Journal of Evolutionary Economics (2013)

2009

  1. A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in Macroeconomic Dynamics (2012)
  2. A Framework for CAPM with Heterogenous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (15)
  3. Asymmetry of technical analysis and market price volatility
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
  4. Developing actionable trading agents
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
  5. Heterogeneous Expectations and Exchange Rate Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2013)
  6. Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (20)
    See also Journal Article in Economic Modelling (2009)
  7. Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)

2008

  1. Exchange Rate Regime and Monetary Policy: A Proposal for Small and Less Developed Economies
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
  2. Heterogeneity, Bounded Rationality and Market Dysfunctionality
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  3. Heterogeneity, Market Mechanisms, and Asset Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (115)

2007

  1. Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  2. The Stochastic Dynamics of Speculative Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)

2006

  1. A Dynamic Heterogeneous Beliefs CAPM
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (2)
  2. Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
  3. Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (1)

2005

  1. A Dynamic Analysis of Moving Average Rules
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2004) Downloads View citations (6)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2004) Downloads
    Computing in Economics and Finance 2004, Society for Computational Economics (2004)

    See also Journal Article in Journal of Economic Dynamics and Control (2006)
  2. Butter Mountains, Milk Lakes and Optimal Price Limiters
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Applied Economics Letters (2007)
  3. Heterogeneity, Profitability and Autocorrelations
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (2)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (7)
  4. Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
    See also Journal Article in Journal of Economic Behavior & Organization (2007)
  5. Long Memory, Heterogeneity and Trend Chasing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005)
  6. Market Mood, Adaptive Beliefs and Asset Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (24)
  7. Momentum and index investing: implications for market efficiency
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
  8. The case for market inefficiency: Investment style and market pricing
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (4)

2004

  1. A Behavioural Asset Pricing Model with a Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (12)
  2. Commodity Markets, Price Limiters and Speculative Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2005)
  3. Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)

2003

  1. Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (9)
  2. Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (7)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2003) Downloads View citations (7)

2002

  1. An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (29)
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (25)

2001

  1. A Non-Stationary Asset Pricing Model under Heterogeneous Expectations
    Computing in Economics and Finance 2001, Society for Computational Economics
  2. Asset Price and Wealth Dynamics Under Heterogeneous Expectations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (110)
    Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations (122)

    See also Journal Article in Quantitative Finance (2001)
  3. Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (12)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  4. Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)

2000

  1. Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (42)
    See also Journal Article in Macroeconomic Dynamics (2003)
  2. Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (9)

1999

  1. Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (46)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999) Downloads View citations (11)

    See also Journal Article in Computational Economics (2002)
  2. The Dynamics of the Cobweb when Producers are Risk Averse Learners
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (9)

Journal Articles

2019

  1. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic Modelling and Econometrics in Economics and Finance 18
    Computational Economics, 2019, 53, (4), 1397-1401 Downloads
  2. Heterogeneous agent models in financial markets: A nonlinear dynamics approach
    International Review of Financial Analysis, 2019, 62, (C), 135-149 Downloads

2018

  1. Asset allocation with time series momentum and reversal
    Journal of Economic Dynamics and Control, 2018, 91, (C), 441-457 Downloads View citations (2)

2017

  1. A behavioural model of investor sentiment in limit order markets
    Quantitative Finance, 2017, 17, (1), 71-86 Downloads View citations (5)
    See also Working Paper (2014)
  2. Index portfolio and welfare analysis under heterogeneous beliefs
    Journal of Banking & Finance, 2017, 75, (C), 64-79 Downloads View citations (1)
  3. Prediction market prices under risk aversion and heterogeneous beliefs
    Journal of Mathematical Economics, 2017, 70, (C), 105-114 Downloads
  4. Rollover risk and credit risk under time-varying margin
    Quantitative Finance, 2017, 17, (3), 455-469 Downloads View citations (2)
  5. The adaptiveness in stock markets: testing the stylized facts in the DAX 30
    Journal of Evolutionary Economics, 2017, 27, (5), 1071-1094 Downloads View citations (3)
    See also Working Paper (2015)

2016

  1. Trading heterogeneity under information uncertainty
    Journal of Economic Behavior & Organization, 2016, 130, (C), 64-80 Downloads View citations (9)
    See also Working Paper (2016)
  2. Volatility clustering: A nonlinear theoretical approach
    Journal of Economic Behavior & Organization, 2016, 130, (C), 274-297 Downloads View citations (6)
    See also Working Paper (2015)

2015

  1. Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
    Journal of Empirical Finance, 2015, 32, (C), 19-34 Downloads View citations (21)
  2. Learning, information processing and order submission in limit order markets
    Journal of Economic Dynamics and Control, 2015, 61, (C), 245-268 Downloads View citations (5)
  3. Profitability of time series momentum
    Journal of Banking & Finance, 2015, 53, (C), 140-157 Downloads View citations (19)
  4. Testing of a market fraction model and power-law behaviour in the DAX 30
    Journal of Empirical Finance, 2015, 31, (C), 1-17 Downloads View citations (17)
    See also Working Paper (2015)

2014

  1. Herding, trend chasing and market volatility
    Journal of Economic Dynamics and Control, 2014, 48, (C), 349-373 Downloads View citations (10)
    See also Working Paper (2013)
  2. Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500
    Journal of Economic Behavior & Organization, 2014, 105, (C), 1-16 Downloads View citations (33)
    See also Working Paper (2014)

2013

  1. An evolutionary CAPM under heterogeneous beliefs
    Annals of Finance, 2013, 9, (2), 185-215 Downloads View citations (19)
    See also Working Paper (2012)
  2. Heterogeneous expectations and exchange rate dynamics
    The European Journal of Finance, 2013, 19, (5), 392-419 Downloads View citations (4)
    See also Working Paper (2009)
  3. Time-varying beta: a boundedly rational equilibrium approach
    Journal of Evolutionary Economics, 2013, 23, (3), 609-639 Downloads View citations (8)
    See also Working Paper (2010)

2012

  1. A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET
    Macroeconomic Dynamics, 2012, 16, (04), 556-575 Downloads View citations (4)
    See also Working Paper (2009)
  2. Boundedly rational equilibrium and risk premium
    Accounting and Finance, 2012, 52, (1), 71-93 Downloads View citations (3)
  3. Disagreement in a Multi-Asset Market
    International Review of Finance, 2012, 12, (3), 357-373 Downloads View citations (3)
  4. Disagreement, correlation and asset prices
    Economics Letters, 2012, 116, (3), 512-515 Downloads View citations (2)
  5. Estimating behavioural heterogeneity under regime switching
    Journal of Economic Behavior & Organization, 2012, 83, (3), 446-460 Downloads View citations (33)
    See also Working Paper (2011)
  6. Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
    Journal of Economic Dynamics and Control, 2012, 36, (7), 973-987 Downloads View citations (20)
    See also Working Paper (2011)

2011

  1. An analysis of the effect of noise in a heterogeneous agent financial market model
    Journal of Economic Dynamics and Control, 2011, 35, (1), 148-162 Downloads View citations (24)
  2. Do heterogeneous beliefs diversify market risk?
    The European Journal of Finance, 2011, 17, (3), 241-258 Downloads View citations (15)
  3. The dynamic behaviour of asset prices in disequilibrium: a survey
    International Journal of Behavioural Accounting and Finance, 2011, 2, (2), 101-139 Downloads View citations (6)

2010

  1. Dynamics of moving average rules in a continuous-time financial market model
    Journal of Economic Behavior & Organization, 2010, 76, (3), 615-634 Downloads View citations (11)
    See also Working Paper (2010)

2009

  1. Does the market maker stabilize the market?
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (15), 3164-3180 Downloads View citations (15)
  2. Market stability switches in a continuous-time financial market with heterogeneous beliefs
    Economic Modelling, 2009, 26, (6), 1432-1442 Downloads View citations (20)
    See also Working Paper (2009)

2008

  1. Heterogeneity, convergence, and autocorrelations
    Quantitative Finance, 2008, 8, (1), 59-79 Downloads View citations (41)
  2. The stochastic bifurcation behaviour of speculative financial markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3837-3846 Downloads View citations (11)

2007

  1. Butter mountains, milk lakes and optimal price limiters
    Applied Economics Letters, 2007, 14, (15), 1131-1136 Downloads
    See also Working Paper (2005)
  2. Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
    Journal of Economic Behavior & Organization, 2007, 62, (3), 408-427 Downloads View citations (63)
    See also Working Paper (2005)
  3. Power-law behaviour, heterogeneity, and trend chasing
    Journal of Economic Dynamics and Control, 2007, 31, (10), 3396-3426 Downloads View citations (70)

2006

  1. A dynamic analysis of moving average rules
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1729-1753 Downloads View citations (86)
    See also Working Paper (2005)
  2. An analysis of the cobweb model with boundedly rational heterogeneous producers
    Journal of Economic Behavior & Organization, 2006, 61, (4), 750-768 Downloads View citations (13)
  3. Moving average rules as a source of market instability
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 12-17 Downloads View citations (19)

2005

  1. Commodity markets, price limiters and speculative price dynamics
    Journal of Economic Dynamics and Control, 2005, 29, (9), 1577-1596 Downloads View citations (54)
    See also Working Paper (2004)

2003

  1. Dynamics of beliefs and learning under aL-processes -- the heterogeneous case
    Journal of Economic Dynamics and Control, 2003, 27, (3), 503-531 Downloads View citations (64)
    See also Working Paper (2001)
  2. HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
    Macroeconomic Dynamics, 2003, 7, (04), 503-536 Downloads View citations (75)
    See also Working Paper (2000)

2002

  1. Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
    Computational Economics, 2002, 19, (1), 95-132 Downloads View citations (152)
    See also Working Paper (1999)

2001

  1. Asset price and wealth dynamics under heterogeneous expectations
    Quantitative Finance, 2001, 1, (5), 509-526 Downloads View citations (106)
    See also Working Paper (2001)

Books

2015

  1. Derivative Security Pricing
    Dynamic Modeling and Econometrics in Economics and Finance, Springer
 
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