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Details about Kai Li

Homepage:http://www.uts.edu.au/staff/kai.li
Workplace:Faculty of Business and Economics, Macquarie University, (more information at EDIRC)

Access statistics for papers by Kai Li.

Last updated 2020-08-05. Update your information in the RePEc Author Service.

Short-id: pli961


Jump to Journal Articles

Working Papers

2015

  1. Market Sentiment and Paradigm Shifts
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  2. Optimal Time Series Momentum
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  3. Volatility Clustering: A Nonlinear Theoretical Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)

2014

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

2013

  1. Herding, Trend Chasing and Market Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (9)
    See also Journal Article in Journal of Economic Dynamics and Control (2014)

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)

2011

  1. 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)

2009

  1. 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 (27)
    See also Journal Article in Economic Modelling (2009)

Journal Articles

2015

  1. Profitability of time series momentum
    Journal of Banking & Finance, 2015, 53, (C), 140-157 Downloads View citations (33)

2014

  1. Herding, trend chasing and market volatility
    Journal of Economic Dynamics and Control, 2014, 48, (C), 349-373 Downloads View citations (14)
    See also Working Paper (2013)

2013

  1. An evolutionary CAPM under heterogeneous beliefs
    Annals of Finance, 2013, 9, (2), 185-215 Downloads View citations (29)
    See also Working Paper (2012)

2012

  1. 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 (31)
    See also Working Paper (2011)

2009

  1. Market stability switches in a continuous-time financial market with heterogeneous beliefs
    Economic Modelling, 2009, 26, (6), 1432-1442 Downloads View citations (26)
    See also Working Paper (2009)
 
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