23
H index
39
i10 index
1925
Citations
Xi'an Jiaotong-Liverpool University (XJTLU) | 23 H index 39 i10 index 1925 Citations RESEARCH PRODUCTION: 52 Articles 85 Papers 1 Books 33 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 24 years (1999 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/phe4 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Xuezhong (Tony) He. | Is cited by: | Cites to: |
Year | Title of citing document |
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2023 | . Full description at Econpapers || Download paper |
2023 | Bayesian Optimization of ESG Financial Investments. (2023). Vaca, Maria Coronado ; Piris, Gabriel Gonz'Alez ; Garrido-Merch, Eduardo C. In: Papers. RePEc:arx:papers:2303.01485. Full description at Econpapers || Download paper |
2023 | Machine Learning for Socially Responsible Portfolio Optimisation. (2023). van Zyl, Terence L ; Nundlall, Taeisha. In: Papers. RePEc:arx:papers:2305.12364. Full description at Econpapers || Download paper |
2023 | News-driven Expectations and Volatility Clustering. (2023). Inoua, Sabiou. In: Papers. RePEc:arx:papers:2309.04876. Full description at Econpapers || Download paper |
2023 | Navigating Uncertainty in ESG Investing. (2023). Porth, Lysa ; Wirjanto, Tony S ; Tan, Ken Seng ; Zhang, Jiayue. In: Papers. RePEc:arx:papers:2310.02163. Full description at Econpapers || Download paper |
2023 | Dealer Strategies in Agent-Based Models. (2023). Ostrovsky, Wladimir. In: Papers. RePEc:arx:papers:2312.05943. Full description at Econpapers || Download paper |
2024 | Despite Absolute Information Advantages, All Investors Incur Welfare Loss. (2024). Ye, QI ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2405.08822. Full description at Econpapers || Download paper |
2023 | Belief aggregation for representative agent models. (2023). Zimper, Alexander. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:309-342. Full description at Econpapers || Download paper |
2024 | EMERGENT COMPLEXITY IN AGENTâ€BASED COMPUTATIONAL ECONOMICS. (2011). Chen, Shu-Heng ; Wang, Shu G.. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:25:y:2011:i:3:p:527-546. Full description at Econpapers || Download paper |
2024 | Learning from the Past: The Role of Personal Experiences in Artificial Stock Markets. (2024). Lenhard, Gregor. In: Working papers. RePEc:bsl:wpaper:2024/01. Full description at Econpapers || Download paper |
2023 | Expectations and the Stability of Stock-Flow Consistent Models. (2023). Piccillo, Giulia ; Muysken, Joan ; Meijers, Huub. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10696. Full description at Econpapers || Download paper |
2024 | Endogenous vs Exogenous Instability: An Out-of-Sample Comparison. (2024). Ricchiuti, Giorgio ; Delli Gatti, Domenico ; Gusella, Filippo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11082. Full description at Econpapers || Download paper |
2023 | A 2D piecewise-linear discontinuous map arising in stock market modeling: Two overlapping period-adding bifurcation structures. (2023). Radi, Davide ; Gardini, Laura ; Westerhoff, Frank ; Sushko, Iryna ; Schmitt, Noemi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:176:y:2023:i:c:s0960077923010445. Full description at Econpapers || Download paper |
2024 | Double well stochastic resonance for a class of three-dimensional financial systems. (2024). Xia, LU ; Wu, Jianjun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:181:y:2024:i:c:s0960077924001838. Full description at Econpapers || Download paper |
2024 | Stationary distribution and bifurcation analysis for a stochastic SIS model with nonlinear incidence and degenerate diffusion. (2024). Wang, Kai ; Rifhat, Ramziya ; Gao, Chunjie ; Teng, Zhidong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924004247. Full description at Econpapers || Download paper |
2023 | Predicting the unpredictable: New experimental evidence on forecasting random walks. (2023). Corgnet, Brice ; Bao, Te ; Riyanto, Yohanes E ; Hanaki, Nobuyuki ; Zhu, Jiahua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002743. Full description at Econpapers || Download paper |
2023 | Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883. Full description at Econpapers || Download paper |
2023 | Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173. Full description at Econpapers || Download paper |
2023 | A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494. Full description at Econpapers || Download paper |
2023 | Portfolio liquidation with delayed information. (2023). Wong, Hoi Ying ; Chiu, Mei Choi ; Yan, Tingjin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002109. Full description at Econpapers || Download paper |
2023 | The impacts of investor network and herd behavior on market stability: Social learning, network structure, and heterogeneity. (2023). Diao, Xundi ; Gong, Qingbin. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:3:p:1388-1398. Full description at Econpapers || Download paper |
2023 | The profitability of seasonal trading timing: Insights from energy-related markets. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006308. Full description at Econpapers || Download paper |
2023 | Behavioral asset pricing under expected feedback mode. (2023). Xu, Shaojun. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000248. Full description at Econpapers || Download paper |
2023 | Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness. (2023). Pontines, Victor ; Mohammed, Yassier ; Goswami, Mangal. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002703. Full description at Econpapers || Download paper |
2023 | State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880. Full description at Econpapers || Download paper |
2024 | Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383. Full description at Econpapers || Download paper |
2024 | Fintech and financial sector: ADO analysis and future research agenda. (2024). Thenmozhi, M ; Choudhary, Priya. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001339. Full description at Econpapers || Download paper |
2023 | Is wealth inequality reversible? A surveying parallel evolution with complex economic system. (2023). Zhang, Xuan ; Song, Pengcheng ; Guo, Ju-e, ; Wang, Zhixin. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000211. Full description at Econpapers || Download paper |
2024 | Unraveling ESG Ambiguity, Price Reaction, and Trading Volume. (2024). Yan, Qianhui ; Jin, Yurong. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000023. Full description at Econpapers || Download paper |
2023 | Exploring style herding by mutual funds. (2023). , Remco ; Santi, Caterina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000306. Full description at Econpapers || Download paper |
2023 | Betting on a buzz: Mispricing and inefficiency in online sportsbooks. (2023). Singleton, Carl ; Reade, J ; Ramirez, Philip. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1413-1423. Full description at Econpapers || Download paper |
2023 | Moment set selection for the SMM using simple machine learning. (2023). Kukacka, Jiri ; Zila, Eric. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:366-391. Full description at Econpapers || Download paper |
2023 | A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations. (2023). Galanis, Giorgos ; Proao, Christian R ; di Guilmi, Corrado. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:50-67. Full description at Econpapers || Download paper |
2023 | Investor behavior in the currency option market during the COVID-19 pandemic. (2023). de Peretti, Christian ; Boutouria, Nahla ; Dammak, Wael ; ben Hamad, Salah. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s170349492300049x. Full description at Econpapers || Download paper |
2024 | A novel online portfolio selection approach based on pattern matching and ESG factors. (2024). Asaad, Seyed Mehrzad ; Barak, Sasan ; Fereydooni, Ali. In: Omega. RePEc:eee:jomega:v:123:y:2024:i:c:s0305048323001391. Full description at Econpapers || Download paper |
2024 | A novel regret-rejoice cross-efficiency approach for energy stock portfolio optimization. (2024). Zhang, Wei-Guo ; Yang, Guo-Sen ; Liu, Yong-Jun. In: Omega. RePEc:eee:jomega:v:126:y:2024:i:c:s0305048324000185. Full description at Econpapers || Download paper |
2024 | A simple learning agent interacting with an agent-based market model. (2024). Gebbie, Tim ; Paskaramoorthy, Andrew ; Dicks, Matthew. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:633:y:2024:i:c:s0378437123009184. Full description at Econpapers || Download paper |
2024 | Dual effects of investor sentiment and uncertainty in financial markets. (2024). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:300-315. Full description at Econpapers || Download paper |
2024 | A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction. (2024). Zhou, Wenyuan ; Zhang, Xiaoqi ; Fu, Jie ; Lyu, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:267-283. Full description at Econpapers || Download paper |
2023 | The evolvement of momentum effects in China: Evidence from functional data analysis. (2023). Wang, Shixuan ; Teka, Hanen ; Liu, Zhenya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002197. Full description at Econpapers || Download paper |
2023 | Price behavior of small-cap stocks and momentum: A study using principal component momentum. (2023). Park, Jong Won ; Eom, Cheoljun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300034x. Full description at Econpapers || Download paper |
2024 | Can portfolio construction considering ESG still gain high profits?. (2024). Rastegar, Mohammad Ali ; Fereydooni, Ali ; Davoodi, Shayan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002520. Full description at Econpapers || Download paper |
2023 | Believe me when I say green! Heterogeneous expectations and climate policy uncertainty. (2023). Terranova, Roberta ; Lamperti, Francesco ; Campiglio, Emanuele. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119257. Full description at Econpapers || Download paper |
2023 | Believe me when I say green! Heterogeneous expectations and climate policy uncertainty. (2023). Terranova, Roberta ; Lamperti, Francesco ; Campiglio, Emanuele. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119258. Full description at Econpapers || Download paper |
2024 | Endogenous vs Exogenous Instability: An Out-of-Sample Comparison. (2024). Ricchiuti, Giorgio ; Gusella, Filippo ; Gatti, Domenico Delli. In: Working Papers - Economics. RePEc:frz:wpaper:wp2024_05.rdf. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2024 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper |
2023 | Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the Chinas Stock Markets. (2023). Gao, Wei ; Wu, XU ; Yue, Ding ; Yan, Ruzhen. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10215-5. Full description at Econpapers || Download paper |
2023 | Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market. (2023). Chia, Wai-Mun ; Wang, Wei-Siang ; Huang, Wei Hong ; Li, Changtai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10224-4. Full description at Econpapers || Download paper |
2023 | Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations. (2023). Baumann, Michaela ; Herz, Bernhard ; Grune, Lars. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10285-z. Full description at Econpapers || Download paper |
2023 | Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10316-9. Full description at Econpapers || Download paper |
2023 | Revisiting Paul de Grauwe’s Chaotic Exchange Rate Model: New Analytical Insights and Agent-Based Explorations. (2023). Westerhoff, Frank ; Mignot, Sarah. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:1:d:10.1007_s11079-022-09667-5. Full description at Econpapers || Download paper |
2023 | Asymmetric guessing games. (2023). Akin, Zafer. In: Theory and Decision. RePEc:kap:theord:v:94:y:2023:i:4:d:10.1007_s11238-022-09908-6. Full description at Econpapers || Download paper |
2023 | Competition and moral behavior: A meta-analysis of forty-five crowd-sourced experimental designs. (2023). Urbig, Diemo ; Spantig, Lisa ; Soraperra, Ivan ; Schmitz, Jan ; Schudy, Simeon ; Schram, Arthur ; Saral, Ali Seyhun ; Nieken, Petra ; Nesterov, Alexander ; Khadjavi, Menusch ; Johannesson, Magnus ; Huber, Christoph ; Holzmeister, Felix ; Glogowsky, Ulrich ; Freddi, Eleonora ; Fiala, Lenka ; Dreber, Anna ; Dold, Malte ; Demiral, Elif ; Bulutay, Muhammed ; Brütt, Katharina ; Barron, Kai ; Pirrone, Angelo ; Theodoropoulou, Andriana ; Cornelissen, Gert ; Mak, Vincent ; Weitzel, Utz ; Htter, Mandy ; Gasiorowska, Agata ; Peters, Kim ; Suetens, Sigrid ; Claassen, Maria Almudena ; Lucas, Brian ; Kirchler, Michael ; Hudja, Stanton ; Schneider, Florian ; Fries, Tilman ; Palumbo, Helena ; Steinme |
2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv. Full description at Econpapers || Download paper |
2023 | Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y. Full description at Econpapers || Download paper |
2023 | Dynamic effects of social influence on asset prices. (2023). Wang, Juanxi ; Zhang, Yang ; Huang, Jia-Ping. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00382-z. Full description at Econpapers || Download paper |
2023 | Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates. (2023). Bassi, Federico ; Lang, Dany ; Ramos, Raquel. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:33:y:2023:i:2:d:10.1007_s00191-023-00821-x. Full description at Econpapers || Download paper |
2023 | Believe me when I say green! Heterogeneous expectations and climate policy uncertainty. (2023). Terranova, Roberta ; Lamperti, Francesco ; Campiglio, Emanuele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/12. Full description at Econpapers || Download paper |
2023 | Cryptocurrency factor momentum. (2023). Zaremba, Adam ; Metko, Daniel ; Liedtke, Gerrit ; Fieberg, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869. Full description at Econpapers || Download paper |
2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2024 | A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2001 | Asset Price and Wealth Dynamics under Heterogeneous Expectations In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 154 |
2001 | Asset price and wealth dynamics under heterogeneous expectations.(2001) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 154 | article | |
2001 | Asset Price and Wealth Dynamics Under Heterogeneous Expectations.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 154 | paper | |
2004 | A Dynamic Analysis of Moving Average Rules In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 93 |
2006 | A dynamic analysis of moving average rules.(2006) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | article | |
2004 | A Dynamical Analysis of Moving Average Rules.(2004) In: Computing in Economics and Finance 2004. [Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2005 | A Dynamic Analysis of Moving Average Rules.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2004 | A Dynamic Analysis of Moving Average Rules.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2012 | Boundedly rational equilibrium and risk premium In: Accounting and Finance. [Full Text][Citation analysis] | article | 3 |
2012 | Disagreement in a Multi-Asset Market In: International Review of Finance. [Full Text][Citation analysis] | article | 2 |
2012 | A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 10 |
2009 | A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2003 | HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 114 |
2000 | Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker.(2000) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
2006 | Market mood, adaptive beliefs and asset price dynamics In: Chaos, Solitons & Fractals. [Full Text][Citation analysis] | article | 31 |
2005 | Market Mood, Adaptive Beliefs and Asset Price Dynamics.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
2006 | A behavioral asset pricing model with a time-varying second moment In: Chaos, Solitons & Fractals. [Full Text][Citation analysis] | article | 17 |
2004 | A Behavioural Asset Pricing Model with a Time-Varying Second Moment.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2022 | Machine learning and speed in high-frequency trading In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
2022 | Reinforcement Learning Equilibrium in Limit Order Markets In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
2003 | Dynamics of beliefs and learning under aL-processes -- the heterogeneous case In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 56 |
2001 | Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
2005 | Commodity markets, price limiters and speculative price dynamics In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 76 |
2004 | Commodity Markets, Price Limiters and Speculative Price Dynamics.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
2007 | Power-law behaviour, heterogeneity, and trend chasing In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 58 |
2011 | An analysis of the effect of noise in a heterogeneous agent financial market model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 30 |
2012 | Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 30 |
2011 | Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model.(2011) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2014 | Herding, trend chasing and market volatility In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 29 |
2013 | Herding, Trend Chasing and Market Volatility.(2013) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2015 | Learning, information processing and order submission in limit order markets In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
2018 | Asset allocation with time series momentum and reversal In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 16 |
2009 | Market stability switches in a continuous-time financial market with heterogeneous beliefs In: Economic Modelling. [Full Text][Citation analysis] | article | 23 |
2009 | Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2012 | Disagreement, correlation and asset prices In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
2015 | Testing of a market fraction model and power-law behaviour in the DAX 30 In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 17 |
2015 | Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30.(2015) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2015 | Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 29 |
2019 | Heterogeneous agent models in financial markets: A nonlinear dynamics approach In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 10 |
2015 | Profitability of time series momentum In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 51 |
2017 | Index portfolio and welfare analysis under heterogeneous beliefs In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
2014 | Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 68 |
2014 | Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500.(2014) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2016 | Volatility clustering: A nonlinear theoretical approach In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 11 |
2015 | Volatility Clustering: A Nonlinear Theoretical Approach.(2015) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2016 | Trading heterogeneity under information uncertainty In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 17 |
2016 | Trading Heterogeneity Under Information Uncertainty.(2016) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2022 | Social interaction, volatility clustering, and momentum In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 0 |
2006 | An analysis of the cobweb model with boundedly rational heterogeneous producers In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 13 |
2007 | Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 94 |
2005 | Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 94 | paper | |
2010 | Dynamics of moving average rules in a continuous-time financial market model In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 16 |
2010 | Dynamics of Moving Average Rules in a Continuous-time Financial Market Model.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2012 | Estimating behavioural heterogeneity under regime switching In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 57 |
2011 | Estimating Behavioural Heterogeneity Under Regime Switching.(2011) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
2023 | Ambiguous price formation In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 0 |
2017 | Prediction market prices under risk aversion and heterogeneous beliefs In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 7 |
2006 | Moving average rules as a source of market instability In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 17 |
2008 | The stochastic bifurcation behaviour of speculative financial markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 16 |
2009 | Does the market maker stabilize the market? In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 26 |
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2004 | Dynamics of Beliefs and Learning Under aL-Processes—The Homogeneous Case In: International Symposia in Economic Theory and Econometrics. [Full Text][Citation analysis] | chapter | 5 |
2001 | Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case.(2001) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
2012 | Heterogeneous Beliefs and Prediction Market Accuracy In: IDEI Working Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | Heterogeneous Beliefs and Prediction Market Accuracy.(2013) In: LERNA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2012 | Heterogeneous Beliefs and Prediction Market Accuracy.(2012) In: TSE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2011 | The dynamic behaviour of asset prices in disequilibrium: a survey In: International Journal of Behavioural Accounting and Finance. [Full Text][Citation analysis] | article | 8 |
2022 | Investor Sentiment and Paradigm Shifts in Equity Return Forecasting In: Management Science. [Full Text][Citation analysis] | article | 1 |
2021 | Non-Standard Errors In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2013 | An evolutionary CAPM under heterogeneous beliefs In: Annals of Finance. [Full Text][Citation analysis] | article | 29 |
2012 | An Evolutionary CAPM Under Heterogeneous Beliefs.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2002 | Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model. In: Computational Economics. [Full Text][Citation analysis] | article | 181 |
1999 | Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 181 | paper | |
1999 | Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model.(1999) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 181 | paper | |
2019 | 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 In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
2001 | A Non-Stationary Asset Pricing Model under Heterogeneous Expectations In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 0 |
2002 | An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 28 |
2002 | An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies.(2002) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2003 | Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 7 |
2003 | Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers.(2003) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2005 | Long Memory, Heterogeneity, and Trend Chasing In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 2 |
2005 | Long Memory, Heterogeneity and Trend Chasing.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2005 | Heterogeneity, Profitability and Autocorrelations In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 5 |
2005 | Heterogeneity, Profitability and Autocorrelations.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2006 | Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 0 |
2006 | A Dynamic Heterogeneous Beliefs CAPM In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 0 |
2021 | Cross-section instability in financial markets: impatience, extrapolation, and switching In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2011 | Diversification Effect of Heterogeneous Beliefs In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Stock Option Problem In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Pricing Derivative Securities: A General Approach In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Applying the General Pricing Framework In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Jump-Diffusion Processes In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Option Pricing Under Jump-Diffusion Processes In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Partial Differential Equation Approach Under Geometric Jump-Diffusion Process In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Stochastic Volatility In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Pricing the American Feature In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 1 |
2015 | Pricing Options Using Binomial Trees In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Volatility Smiles In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Allowing for Stochastic Interest Rates in the Black–Scholes Model In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Stochastic Processes for Asset Price Modelling In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Change of Numeraire In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Paradigm Interest Rate Option Problem In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Modelling Interest Rate Dynamics In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 1 |
2015 | Interest Rate Derivatives: One Factor Spot Rate Models In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Interest Rate Derivatives: Multi-Factor Models In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Heath–Jarrow–Morton Framework In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The LIBOR Market Model In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | An Initial Attempt at Pricing an Option In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Stochastic Differential Equation In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Manipulating Stochastic Differential Equations and Stochastic Integrals In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Ito’s Lemma and Its Applications In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Continuous Hedging Argument In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Martingale Approach In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Partial Differential Equation Approach Under Geometric Brownian Motion In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 3 |
2008 | An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies In: International Handbooks on Information Systems. [Citation analysis] | chapter | 2 |
2013 | Time-varying beta: a boundedly rational equilibrium approach In: Journal of Evolutionary Economics. [Full Text][Citation analysis] | article | 16 |
2010 | Time-Varying Beta: A Boundedly Rational Equilibrium Approach.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2017 | The adaptiveness in stock markets: testing the stylized facts in the DAX 30 In: Journal of Evolutionary Economics. [Full Text][Citation analysis] | article | 3 |
2015 | The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30.(2015) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2005 | An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 6 |
2006 | Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 2 |
2007 | Butter mountains, milk lakes and optimal price limiters In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
2005 | Butter Mountains, Milk Lakes and Optimal Price Limiters.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2011 | Do heterogeneous beliefs diversify market risk? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 11 |
2013 | Heterogeneous expectations and exchange rate dynamics In: The European Journal of Finance. [Full Text][Citation analysis] | article | 6 |
2009 | Heterogeneous Expectations and Exchange Rate Dynamics.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2017 | A behavioural model of investor sentiment in limit order markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
2014 | A Behavioural Model of Investor Sentiment in Limit Order Markets.(2014) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2017 | Rollover risk and credit risk under time-varying margin In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
2008 | Heterogeneity, convergence, and autocorrelations In: Quantitative Finance. [Full Text][Citation analysis] | article | 37 |
2005 | Momentum and index investing: implications for market efficiency In: Published Paper Series. [Citation analysis] | paper | 0 |
2005 | The case for market inefficiency: Investment style and market pricing In: Published Paper Series. [Full Text][Citation analysis] | paper | 4 |
2008 | Exchange Rate Regime and Monetary Policy: A Proposal for Small and Less Developed Economies In: Published Paper Series. [Citation analysis] | paper | 1 |
2009 | Developing actionable trading agents In: Published Paper Series. [Full Text][Citation analysis] | paper | 2 |
2009 | Asymmetry of technical analysis and market price volatility In: Published Paper Series. [Citation analysis] | paper | 2 |
2016 | A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs In: Published Paper Series. [Full Text][Citation analysis] | paper | 1 |
2017 | The effect of genetic algorithm learning with a classifier system in limit order markets In: Published Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Time-varying economic dominance in financial markets: A bistable dynamics approach In: Published Paper Series. [Full Text][Citation analysis] | paper | 7 |
2019 | Deep Learning for Decision Making and the Optimization of Socially Responsible Investments and Portfolio In: Published Paper Series. [Full Text][Citation analysis] | paper | 27 |
2004 | Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2006 | Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2007 | The Stochastic Dynamics of Speculative Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2008 | Heterogeneity, Market Mechanisms, and Asset Price Dynamics In: Research Paper Series. [Full Text][Citation analysis] | paper | 120 |
2008 | Heterogeneity, Bounded Rationality and Market Dysfunctionality In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | A Framework for CAPM with Heterogenous Beliefs In: Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
2010 | Differences in Opinion and Risk Premium In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2012 | Heterogeneous Beliefs and the Performances of Optimal Portfolios In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2012 | Heterogeneous Beliefs and the Cross-Section of Asset Returns In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2013 | Learning and Information Dissemination in Limit Order Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2013 | Learning and Evolution of Trading Strategies in Limit Order Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2014 | Time Series Momentum and Market Stability In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2015 | Optimal Time Series Momentum In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2015 | Market Sentiment and Paradigm Shifts In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2000 | Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning In: Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
2016 | Toward a General Model of Financial Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2017 | Ambiguous Market Making In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Heterogeneous Agent Models in Finance In: Research Paper Series. [Full Text][Citation analysis] | paper | 65 |
2018 | Time-Varying Economic Dominance Through Bistable Dynamics In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2018 | Are We Better-off for Working Hard? In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | The Microstructure of Endogenous Liquidity Provision In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2019 | Reinforcement Learning in Limit Order Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | The Fast and the Furious: Exchange Latency and Ever-fast Trading In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2003 | Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
1999 | The Dynamics of the Cobweb when Producers are Risk Averse Learners In: Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
2010 | Portfolio Efficiency Under Heterogeneous Beliefs In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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