Details about Kai Li

Access statistics for papers by Kai Li.

Last updated 2023-08-21. Update your information in the RePEc Author Service.

Short-id: pli961

Working Papers

2019

1. The collateralizability premium
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE

2018

2. Time-Varying Economic Dominance Through Bistable Dynamics
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
3. 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)

2016

4. Reversing Momentum: The Optimal Dynamic Momentum Strategy
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2015

5. Market Sentiment and Paradigm Shifts
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
6. Optimal Time Series Momentum
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
7. 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

8. Time Series Momentum and Market Stability
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)

2013

9. 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)

2012

10. 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)

2011

11. 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)

2009

12. 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)

Journal Articles

2023

1. Complementary potential of wind-solar-hydro power in Chinese provinces: Based on a high temporal resolution multi-objective optimization model
   Renewable and Sustainable Energy Reviews, 2023, 184, (C) View citations (1)
2. Extrapolative asset pricing
   Journal of Economic Theory, 2023, 210, (C) View citations (1)

2022

3. Bounded rationality, adaptive behaviour, and asset prices
   International Review of Financial Analysis, 2022, 80, (C)
4. Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
   Management Science, 2022, 68, (6), 4301-4325 View citations (1)
5. Optimal Dynamic Momentum Strategies
   Operations Research, 2022, 70, (4), 2054-2068
6. Production delays and price dynamics
   Journal of Economic Behavior & Organization, 2022, 194, (C), 341-362 View citations (3)
7. Social interaction, volatility clustering, and momentum
   Journal of Economic Behavior & Organization, 2022, 203, (C), 125-149
8. Time to build and bond risk premia
   Journal of Economic Dynamics and Control, 2022, 136, (C)
   Also in Journal of Economic Dynamics and Control, 2020, 121, (C) (2020) View citations (2)

2021

9. Nonlinear effect of sentiment on momentum
   Journal of Economic Dynamics and Control, 2021, 133, (C) View citations (2)

2020

10. Financial intermediation and capital reallocation
    Journal of Financial Economics, 2020, 138, (3), 663-686 View citations (7)
11. Investor overconfidence and the security market line: New evidence from China
    Journal of Economic Dynamics and Control, 2020, 117, (C) View citations (14)

2019

12. Portfolio selection with inflation-linked bonds and indexation lags
    Journal of Economic Dynamics and Control, 2019, 107, (C), - View citations (6)

2018

13. Asset allocation with time series momentum and reversal
    Journal of Economic Dynamics and Control, 2018, 91, (C), 441-457 View citations (17)
14. Poynting vector of an ELF electromagnetic wave in three-layered ocean floor
    Journal of Electromagnetic Waves and Applications, 2018, 32, (18), 2339-2349

2016

15. 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

16. Profitability of time series momentum
    Journal of Banking & Finance, 2015, 53, (C), 140-157 View citations (57)

2014

17. 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)

2013

18. 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)

2012

19. 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)

2009

20. 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)
21. Stability and Hopf bifurcation analysis of a prey–predator system with two delays
    Chaos, Solitons & Fractals, 2009, 42, (5), 2606-2613 View citations (15)

Books

2014

1. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays
   PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)