Details about Xuezhong (Tony) He

Postal address:	Department of Finance International Business School Suzhou (IBSS) Business Building (BS), South Campus Xi'an Jiaotong-Liverpool University No.8 Chongwen Road Suzhou Dushu Lake Science and Education
Workplace:	International Business School Suzhou (IBSS), Xi'an Jiaotong-Liverpool University (XJTLU), (more information at EDIRC)

Access statistics for papers by Xuezhong (Tony) He.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: phe4

---

Jump to Journal Articles Books Edited books Chapters

Working Papers

2021

1. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)

2020

2. The Fast and the Furious: Exchange Latency and Ever-fast Trading
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2019

3. Deep Learning for Decision Making and the Optimization of Socially Responsible Investments and Portfolio
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (28)
4. Reinforcement Learning in Limit Order Markets
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
5. The Microstructure of Endogenous Liquidity Provision
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2018

6. Are We Better-off for Working Hard?
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
7. Heterogeneous Agent Models in Finance
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (70)
8. Time-Varying Economic Dominance Through Bistable Dynamics
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
9. Time-varying economic dominance in financial markets: A bistable dynamics approach
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (8)

2017

10. Ambiguous Market Making
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
11. 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 View citations (1)

2016

12. A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
13. Toward a General Model of Financial Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
14. Trading Heterogeneity Under Information Uncertainty
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (17)
    See also Journal Article Trading heterogeneity under information uncertainty, Journal of Economic Behavior & Organization, Elsevier (2016) View citations (16) (2016)

2015

15. Market Sentiment and Paradigm Shifts
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
16. Optimal Time Series Momentum
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
17. 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 View citations (24)
    See also Journal Article Testing of a market fraction model and power-law behaviour in the DAX 30, Journal of Empirical Finance, Elsevier (2015) View citations (25) (2015)
18. The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
    See also Journal Article The adaptiveness in stock markets: testing the stylized facts in the DAX 30, Journal of Evolutionary Economics, Springer (2017) View citations (4) (2017)
19. Volatility Clustering: A Nonlinear Theoretical Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
    See also Journal Article Volatility clustering: A nonlinear theoretical approach, Journal of Economic Behavior & Organization, Elsevier (2016) View citations (15) (2016)

2014

20. A Behavioural Model of Investor Sentiment in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
    See also Journal Article A behavioural model of investor sentiment in limit order markets, Quantitative Finance, Taylor & Francis Journals (2017) View citations (10) (2017)
21. Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (72)
    See also Journal Article Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500, Journal of Economic Behavior & Organization, Elsevier (2014) View citations (71) (2014)
22. Time Series Momentum and Market Stability
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)

2013

23. Herding, Trend Chasing and Market Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (11)
    See also Journal Article Herding, trend chasing and market volatility, Journal of Economic Dynamics and Control, Elsevier (2014) View citations (26) (2014)
24. Heterogeneous Beliefs and Prediction Market Accuracy
    LERNA Working Papers, LERNA, University of Toulouse View citations (1)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2012) View citations (1)
    TSE Working Papers, Toulouse School of Economics (TSE) (2012) View citations (1)
25. Learning and Evolution of Trading Strategies in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
26. Learning and Information Dissemination in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)

2012

27. An Evolutionary CAPM Under Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article An evolutionary CAPM under heterogeneous beliefs, Annals of Finance, Springer (2013) View citations (35) (2013)
28. Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
29. Heterogeneous Beliefs and the Cross-Section of Asset Returns
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
30. Heterogeneous Beliefs and the Performances of Optimal Portfolios
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
31. Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)

2011

32. Estimating Behavioural Heterogeneity Under Regime Switching
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (29)
    See also Journal Article Estimating behavioural heterogeneity under regime switching, Journal of Economic Behavior & Organization, Elsevier (2012) View citations (56) (2012)
33. Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (42) (2012)

2010

34. Differences in Opinion and Risk Premium
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
35. Dynamics of Moving Average Rules in a Continuous-time Financial Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (20)
    See also Journal Article Dynamics of moving average rules in a continuous-time financial market model, Journal of Economic Behavior & Organization, Elsevier (2010) View citations (19) (2010)
36. Time-Varying Beta: A Boundedly Rational Equilibrium Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
    See also Journal Article Time-varying beta: a boundedly rational equilibrium approach, Journal of Evolutionary Economics, Springer (2013) View citations (15) (2013)

2009

37. 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 View citations (1)
    See also Journal Article A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET, Macroeconomic Dynamics, Cambridge University Press (2012) View citations (11) (2012)
38. A Framework for CAPM with Heterogenous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (19)
39. Asymmetry of technical analysis and market price volatility
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)
40. Developing actionable trading agents
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)
41. Heterogeneous Expectations and Exchange Rate Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
    See also Journal Article Heterogeneous expectations and exchange rate dynamics, The European Journal of Finance, Taylor & Francis Journals (2013) View citations (7) (2013)
42. Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (32)
    See also Journal Article Market stability switches in a continuous-time financial market with heterogeneous beliefs, Economic Modelling, Elsevier (2009) View citations (31) (2009)
43. Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)

2008

44. 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 View citations (1)
45. Heterogeneity, Bounded Rationality and Market Dysfunctionality
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
46. Heterogeneity, Market Mechanisms, and Asset Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (143)

2007

47. 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
48. The Stochastic Dynamics of Speculative Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)

2006

49. A Dynamic Heterogeneous Beliefs CAPM
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (2)
50. Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
51. Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (4)

2005

52. A Dynamic Analysis of Moving Average Rules
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2004) View citations (7)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2004)
    See also Journal Article A dynamic analysis of moving average rules, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (109) (2006)
53. Butter Mountains, Milk Lakes and Optimal Price Limiters
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article Butter mountains, milk lakes and optimal price limiters, Applied Economics Letters, Taylor & Francis Journals (2007) View citations (1) (2007)
54. Heterogeneity, Profitability and Autocorrelations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (4)
55. Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
    See also Journal Article Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework, Journal of Economic Behavior & Organization, Elsevier (2007) View citations (98) (2007)
56. Long Memory, Heterogeneity and Trend Chasing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (2)
57. Market Mood, Adaptive Beliefs and Asset Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (28)
    See also Journal Article Market mood, adaptive beliefs and asset price dynamics, Chaos, Solitons & Fractals, Elsevier (2006) View citations (40) (2006)
58. Momentum and index investing: implications for market efficiency
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
59. The case for market inefficiency: Investment style and market pricing
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)

2004

60. A Behavioural Asset Pricing Model with a Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
    See also Journal Article A behavioral asset pricing model with a time-varying second moment, Chaos, Solitons & Fractals, Elsevier (2006) View citations (14) (2006)
61. Commodity Markets, Price Limiters and Speculative Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
    See also Journal Article Commodity markets, price limiters and speculative price dynamics, Journal of Economic Dynamics and Control, Elsevier (2005) View citations (82) (2005)
62. Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2003

63. Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)
64. Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (8)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (8)

2002

65. An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (29)
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (28)

2001

66. A Non-Stationary Asset Pricing Model under Heterogeneous Expectations
    Computing in Economics and Finance 2001, Society for Computational Economics
67. Asset Price and Wealth Dynamics Under Heterogeneous Expectations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (173)
    Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations (175)
    See also Journal Article Asset price and wealth dynamics under heterogeneous expectations, Quantitative Finance, Taylor & Francis Journals (2001) View citations (156) (2001)
68. Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)
    See also Journal Article Dynamics of beliefs and learning under aL-processes -- the heterogeneous case, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (78) (2003)
69. Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (11)
    See also Chapter Dynamics of Beliefs and Learning Under aL-Processes—The Homogeneous Case, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2004) (2004)

2000

70. 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 View citations (46)
    See also Journal Article HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER, Macroeconomic Dynamics, Cambridge University Press (2003) View citations (127) (2003)
71. Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)

1999

72. Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (47)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999) View citations (15)
    See also Journal Article Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model, Computational Economics, Springer (2002) View citations (209) (2002)
73. The Dynamics of the Cobweb when Producers are Risk Averse Learners
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (9)

Journal Articles

2023

1. Ambiguous price formation
   Journal of Mathematical Economics, 2023, 106, (C)

2022

2. Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
   Management Science, 2022, 68, (6), 4301-4325 View citations (1)
3. Machine learning and speed in high-frequency trading
   Journal of Economic Dynamics and Control, 2022, 139, (C) View citations (4)
4. Reinforcement Learning Equilibrium in Limit Order Markets
   Journal of Economic Dynamics and Control, 2022, 144, (C)
5. Social interaction, volatility clustering, and momentum
   Journal of Economic Behavior & Organization, 2022, 203, (C), 125-149

2021

6. Cross-section instability in financial markets: impatience, extrapolation, and switching
   Decisions in Economics and Finance, 2021, 44, (2), 727-754 View citations (2)

2019

7. 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
8. Heterogeneous agent models in financial markets: A nonlinear dynamics approach
   International Review of Financial Analysis, 2019, 62, (C), 135-149 View citations (10)

2018

9. Asset allocation with time series momentum and reversal
   Journal of Economic Dynamics and Control, 2018, 91, (C), 441-457 View citations (17)

2017

10. A behavioural model of investor sentiment in limit order markets
    Quantitative Finance, 2017, 17, (1), 71-86 View citations (10)
    See also Working Paper A Behavioural Model of Investor Sentiment in Limit Order Markets, Research Paper Series (2014) View citations (2) (2014)
11. Index portfolio and welfare analysis under heterogeneous beliefs
    Journal of Banking & Finance, 2017, 75, (C), 64-79 View citations (3)
12. Prediction market prices under risk aversion and heterogeneous beliefs
    Journal of Mathematical Economics, 2017, 70, (C), 105-114 View citations (7)
13. Rollover risk and credit risk under time-varying margin
    Quantitative Finance, 2017, 17, (3), 455-469 View citations (5)
14. The adaptiveness in stock markets: testing the stylized facts in the DAX 30
    Journal of Evolutionary Economics, 2017, 27, (5), 1071-1094 View citations (4)
    See also Working Paper The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30, Research Paper Series (2015) View citations (3) (2015)

2016

15. Trading heterogeneity under information uncertainty
    Journal of Economic Behavior & Organization, 2016, 130, (C), 64-80 View citations (16)
    See also Working Paper Trading Heterogeneity Under Information Uncertainty, Research Paper Series (2016) View citations (17) (2016)
16. Volatility clustering: A nonlinear theoretical approach
    Journal of Economic Behavior & Organization, 2016, 130, (C), 274-297 View citations (15)
    See also Working Paper Volatility Clustering: A Nonlinear Theoretical Approach, Research Paper Series (2015) View citations (1) (2015)

2015

17. Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
    Journal of Empirical Finance, 2015, 32, (C), 19-34 View citations (32)
18. Learning, information processing and order submission in limit order markets
    Journal of Economic Dynamics and Control, 2015, 61, (C), 245-268 View citations (16)
19. Profitability of time series momentum
    Journal of Banking & Finance, 2015, 53, (C), 140-157 View citations (57)
20. Testing of a market fraction model and power-law behaviour in the DAX 30
    Journal of Empirical Finance, 2015, 31, (C), 1-17 View citations (25)
    See also Working Paper Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30, Research Paper Series (2015) View citations (24) (2015)

2014

21. Herding, trend chasing and market volatility
    Journal of Economic Dynamics and Control, 2014, 48, (C), 349-373 View citations (26)
    See also Working Paper Herding, Trend Chasing and Market Volatility, Research Paper Series (2013) View citations (11) (2013)
22. Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500
    Journal of Economic Behavior & Organization, 2014, 105, (C), 1-16 View citations (71)
    See also Working Paper Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500, Research Paper Series (2014) View citations (72) (2014)

2013

23. An evolutionary CAPM under heterogeneous beliefs
    Annals of Finance, 2013, 9, (2), 185-215 View citations (35)
    See also Working Paper An Evolutionary CAPM Under Heterogeneous Beliefs, Research Paper Series (2012) (2012)
24. Heterogeneous expectations and exchange rate dynamics
    The European Journal of Finance, 2013, 19, (5), 392-419 View citations (7)
    See also Working Paper Heterogeneous Expectations and Exchange Rate Dynamics, Research Paper Series (2009) View citations (1) (2009)
25. Time-varying beta: a boundedly rational equilibrium approach
    Journal of Evolutionary Economics, 2013, 23, (3), 609-639 View citations (15)
    See also Working Paper Time-Varying Beta: A Boundedly Rational Equilibrium Approach, Research Paper Series (2010) View citations (4) (2010)

2012

26. A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET
    Macroeconomic Dynamics, 2012, 16, (4), 556-575 View citations (11)
    See also Working Paper A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market, Research Paper Series (2009) View citations (1) (2009)
27. Boundedly rational equilibrium and risk premium
    Accounting and Finance, 2012, 52, (1), 71-93 View citations (3)
28. Disagreement in a Multi-Asset Market
    International Review of Finance, 2012, 12, (3), 357-373 View citations (3)
29. Disagreement, correlation and asset prices
    Economics Letters, 2012, 116, (3), 512-515 View citations (3)
30. Estimating behavioural heterogeneity under regime switching
    Journal of Economic Behavior & Organization, 2012, 83, (3), 446-460 View citations (56)
    See also Working Paper Estimating Behavioural Heterogeneity Under Regime Switching, Research Paper Series (2011) View citations (29) (2011)
31. Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
    Journal of Economic Dynamics and Control, 2012, 36, (7), 973-987 View citations (42)
    See also Working Paper Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model, Research Paper Series (2011) (2011)

2011

32. 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 View citations (35)
33. Do heterogeneous beliefs diversify market risk?
    The European Journal of Finance, 2011, 17, (3), 241-258 View citations (21)
34. The dynamic behaviour of asset prices in disequilibrium: a survey
    International Journal of Behavioural Accounting and Finance, 2011, 2, (2), 101-139 View citations (9)

2010

35. Dynamics of moving average rules in a continuous-time financial market model
    Journal of Economic Behavior & Organization, 2010, 76, (3), 615-634 View citations (19)
    See also Working Paper Dynamics of Moving Average Rules in a Continuous-time Financial Market Model, Research Paper Series (2010) View citations (20) (2010)

2009

36. Does the market maker stabilize the market?
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (15), 3164-3180 View citations (28)
37. Market stability switches in a continuous-time financial market with heterogeneous beliefs
    Economic Modelling, 2009, 26, (6), 1432-1442 View citations (31)
    See also Working Paper Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs, Research Paper Series (2009) View citations (32) (2009)

2008

38. Heterogeneity, convergence, and autocorrelations
    Quantitative Finance, 2008, 8, (1), 59-79 View citations (51)
39. The stochastic bifurcation behaviour of speculative financial markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3837-3846 View citations (17)

2007

40. Butter mountains, milk lakes and optimal price limiters
    Applied Economics Letters, 2007, 14, (15), 1131-1136 View citations (1)
    See also Working Paper Butter Mountains, Milk Lakes and Optimal Price Limiters, Research Paper Series (2005) (2005)
41. Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
    Journal of Economic Behavior & Organization, 2007, 62, (3), 408-427 View citations (98)
    See also Working Paper Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework, Research Paper Series (2005) View citations (12) (2005)
42. Power-law behaviour, heterogeneity, and trend chasing
    Journal of Economic Dynamics and Control, 2007, 31, (10), 3396-3426 View citations (91)

2006

43. A behavioral asset pricing model with a time-varying second moment
    Chaos, Solitons & Fractals, 2006, 29, (3), 535-555 View citations (14)
    See also Working Paper A Behavioural Asset Pricing Model with a Time-Varying Second Moment, Research Paper Series (2004) View citations (12) (2004)
44. A dynamic analysis of moving average rules
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1729-1753 View citations (109)
    See also Working Paper A Dynamic Analysis of Moving Average Rules, Tinbergen Institute Discussion Papers (2005) View citations (5) (2005)
45. An analysis of the cobweb model with boundedly rational heterogeneous producers
    Journal of Economic Behavior & Organization, 2006, 61, (4), 750-768 View citations (20)
46. Market mood, adaptive beliefs and asset price dynamics
    Chaos, Solitons & Fractals, 2006, 29, (3), 520-534 View citations (40)
    See also Working Paper Market Mood, Adaptive Beliefs and Asset Price Dynamics, Research Paper Series (2005) View citations (28) (2005)
47. Moving average rules as a source of market instability
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 12-17 View citations (22)

2005

48. Commodity markets, price limiters and speculative price dynamics
    Journal of Economic Dynamics and Control, 2005, 29, (9), 1577-1596 View citations (82)
    See also Working Paper Commodity Markets, Price Limiters and Speculative Price Dynamics, Research Paper Series (2004) View citations (2) (2004)

2003

49. Dynamics of beliefs and learning under aL-processes -- the heterogeneous case
    Journal of Economic Dynamics and Control, 2003, 27, (3), 503-531 View citations (78)
    See also Working Paper Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case, Research Paper Series (2001) View citations (13) (2001)
50. HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
    Macroeconomic Dynamics, 2003, 7, (4), 503-536 View citations (127)
    See also Working Paper Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker, Research Paper Series (2000) View citations (46) (2000)

2002

51. Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
    Computational Economics, 2002, 19, (1), 95-132 View citations (209)
    See also Working Paper Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model, Computing in Economics and Finance 1999 (1999) View citations (47) (1999)

2001

52. Asset price and wealth dynamics under heterogeneous expectations
    Quantitative Finance, 2001, 1, (5), 509-526 View citations (156)
    See also Working Paper Asset Price and Wealth Dynamics Under Heterogeneous Expectations, Research Paper Series (2001) View citations (173) (2001)

Books

2015

1. Derivative Security Pricing
   Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (3)

Edited books

2014

1. Nonlinear Economic Dynamics and Financial Modelling
   Springer Books, Springer View citations (27)

Chapters

2015

1. Allowing for Stochastic Interest Rates in the Black–Scholes Model
   Springer
2. An Initial Attempt at Pricing an Option
   Springer
3. Applying the General Pricing Framework
   Springer
4. Change of Numeraire
   Springer
5. Interest Rate Derivatives: Multi-Factor Models
   Springer
6. Interest Rate Derivatives: One Factor Spot Rate Models
   Springer
7. Ito’s Lemma and Its Applications
   Springer
8. Jump-Diffusion Processes
   Springer
9. Manipulating Stochastic Differential Equations and Stochastic Integrals
   Springer
10. Modelling Interest Rate Dynamics
    Springer View citations (1)
11. Option Pricing Under Jump-Diffusion Processes
    Springer
12. Partial Differential Equation Approach Under Geometric Jump-Diffusion Process
    Springer
13. Pricing Derivative Securities: A General Approach
    Springer
14. Pricing Options Using Binomial Trees
    Springer
15. Pricing the American Feature
    Springer View citations (1)
16. Stochastic Processes for Asset Price Modelling
    Springer
17. Stochastic Volatility
    Springer
18. The Continuous Hedging Argument
    Springer
19. The Heath–Jarrow–Morton Framework
    Springer
20. The LIBOR Market Model
    Springer
21. The Martingale Approach
    Springer
22. The Paradigm Interest Rate Option Problem
    Springer
23. The Partial Differential Equation Approach Under Geometric Brownian Motion
    Springer
24. The Stochastic Differential Equation
    Springer
25. The Stock Option Problem
    Springer
26. Volatility Smiles
    Springer

2011

27. Diversification Effect of Heterogeneous Beliefs
    Springer

2010

28. Portfolio Efficiency Under Heterogeneous Beliefs
    Chapter 5 in Recent Advances In Financial Engineering 2009, 2010, pp 127-156

2008

29. An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies
    Springer View citations (3)

2006

30. A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents
    A chapter in Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels, 2006, pp 333-358
31. Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment
    Springer View citations (2)

2005

32. An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects
    Springer View citations (7)

2004

33. Dynamics of Beliefs and Learning Under aL-Processes—The Homogeneous Case
    A chapter in Economic Complexity, 2004, pp 363-390
    See also Working Paper Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case, Quantitative Finance Research Centre, University of Technology, Sydney (2001) View citations (11) (2001)