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Details about Youwei Li

Workplace:Business School, University of Hull, (more information at EDIRC)

Access statistics for papers by Youwei Li.

Last updated 2019-07-19. Update your information in the RePEc Author Service.

Short-id: pli495


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Working Papers

2018

  1. Long memory in financial markets: A heterogeneous agent model perspective
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Review of Financial Analysis (2018)

2017

  1. Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China
    RIEI Working Papers, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration Downloads View citations (4)
    See also Journal Article in Journal of Empirical Finance (2017)
  2. Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Research in International Business and Finance (2018)

2016

  1. A rising e-channel tide lifts all boats? The impact of manufacturer multi-channel encroachment on traditional selling and leasing
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Eurozone network connectedness during calm and crisis: evidence from the MTS platform for interdealer trading of European sovereign debt
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Modelling mortality: Are we heading in the right direction?
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2017)
  4. Models of Mortality rates - analysing the residuals
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2017)
  5. Price Discovery in the Chinese Gold Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)
    See also Journal Article in Journal of Futures Markets (2018)
  6. The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
    MPRA Paper, University Library of Munich, Germany Downloads
  7. US Dollar Carry Trades in the Era of “Cheap Money”
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2016)

2015

  1. Optimal Time Series Momentum
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  2. Price Discovery in the Dual-Platform US Treasury Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Global Finance Journal (2015)
  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)

2014

  1. Identifying structural breaks in stochastic mortality models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)

2006

  1. On microscopic simulation models of financial markets
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (3)
  2. The Econometric Analysis of Microscopic Simulation Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) Downloads

    See also Journal Article in Quantitative Finance (2010)
  3. The Non- and Semiparametric Analysis of MS Models: Some Applications
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)

2005

  1. Heterogeneity, Profitability and Autocorrelations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (2)
  2. 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)

Journal Articles

2019

  1. A new attention proxy and order imbalance: Evidence from China
    Finance Research Letters, 2019, 29, (C), 411-417 Downloads
  2. Bottom-up sentiment and return predictability of the market portfolio
    Finance Research Letters, 2019, 29, (C), 57-60 Downloads
  3. Heterogeneous agent models in financial markets: A nonlinear dynamics approach
    International Review of Financial Analysis, 2019, 62, (C), 135-149 Downloads

2018

  1. An analysis of liquidity skewness for European sovereign bond markets
    Finance Research Letters, 2018, 26, (C), 274-280 Downloads
  2. Asset allocation with time series momentum and reversal
    Journal of Economic Dynamics and Control, 2018, 91, (C), 441-457 Downloads View citations (2)
  3. Liquidity skewness in the London Stock Exchange
    International Review of Financial Analysis, 2018, 56, (C), 12-18 Downloads View citations (1)
  4. Long memory in financial markets: A heterogeneous agent model perspective
    International Review of Financial Analysis, 2018, 58, (C), 38-51 Downloads View citations (1)
    See also Working Paper (2018)
  5. Price discovery in the Chinese gold market
    Journal of Futures Markets, 2018, 38, (10), 1262-1281 Downloads View citations (1)
    See also Working Paper (2016)
  6. Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches
    Research in International Business and Finance, 2018, 46, (C), 131-140 Downloads
    See also Working Paper (2017)
  7. Sustainable Decisions on Product Upgrade Confrontations with Remanufacturing Operations
    Sustainability, 2018, 10, (11), 1-16 Downloads

2017

  1. Can investor sentiment be a momentum time-series predictor? Evidence from China
    Journal of Empirical Finance, 2017, 42, (C), 212-239 Downloads View citations (4)
    See also Working Paper (2017)
  2. Modelling mortality: are we heading in the right direction?
    Applied Economics, 2017, 49, (2), 170-187 Downloads
    See also Working Paper (2016)
  3. Models of mortality rates – analysing the residuals
    Applied Economics, 2017, 49, (52), 5309-5323 Downloads
    See also Working Paper (2016)
  4. 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. Identifying the relative importance of stock characteristics
    Journal of Multinational Financial Management, 2016, 34, (C), 80-91 Downloads View citations (1)
  2. US Dollar Carry Trades in the Era of "Cheap Money"
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (5), 374-404 Downloads View citations (1)
    See also Working Paper (2016)

2015

  1. Price discovery in the dual-platform US Treasury market
    Global Finance Journal, 2015, 28, (C), 95-110 Downloads
    See also Working Paper (2015)
  2. 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. Is mortality spatial or social?
    Economic Modelling, 2014, 42, (C), 198-207 Downloads View citations (1)

2012

  1. Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?
    The Financial Review, 2012, 47, (3), 501-530 Downloads View citations (2)
  2. Explaining young mortality
    Insurance: Mathematics and Economics, 2012, 50, (1), 12-25 Downloads View citations (14)

2011

  1. Long-term return reversals--Value and growth or tax? UK evidence
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (3), 347-368 Downloads View citations (5)

2010

  1. Do benchmark African equity indices exhibit the stylized facts?
    Global Finance Journal, 2010, 21, (1), 71-97 Downloads View citations (1)
  2. Econometric analysis of microscopic simulation models
    Quantitative Finance, 2010, 10, (10), 1187-1201 Downloads View citations (9)
    See also Working Paper (2006)

2008

  1. Heterogeneity, convergence, and autocorrelations
    Quantitative Finance, 2008, 8, (1), 59-79 Downloads View citations (41)

2007

  1. Power-law behaviour, heterogeneity, and trend chasing
    Journal of Economic Dynamics and Control, 2007, 31, (10), 3396-3426 Downloads View citations (70)
 
Page updated 2019-08-20