3
H index
0
i10 index
20
Citations
Lei Shi : Citation Profile
University of Technology Sydney | RESEARCH PRODUCTION: 7 Articles 9 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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9 years (2008 - 2017). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Lei Shi. | Is cited by:
| Cites to:
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Main data
Where Lei Shi has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 9 |
Recent works citing Lei Shi (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354. Full description at Econpapers || Download paper |
| 2017 | Modeling the business and financial cycle in a multivariate structural time series model. (2017). Koopman, Siem Jan ; de Winter, Jasper ; Chouhan, Anjali ; Hindrayanto, Irma. In: DNB Working Papers. RePEc:dnb:dnbwpp:573. Full description at Econpapers || Download paper |
| 2017 | Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish. (2017). Massari, Filippo . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:190-205. Full description at Econpapers || Download paper |
| 2018 | An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484. Full description at Econpapers || Download paper |
| 2018 | How money illusions and heterogeneous beliefs affect asset prices. (2018). Ma, Chaoqun ; Hu, Duni ; Cheng, Fengchao ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:167-192. Full description at Econpapers || Download paper |
| 2017 | Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints. (2017). Tong, Jun ; Hu, Jianqiang. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:24-34. Full description at Econpapers || Download paper |
| 2018 | Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers || Download paper |
| 2017 | Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201763. Full description at Econpapers || Download paper |
Works by Lei Shi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 |
| 2016 | Consumption-based CAPM with belief heterogeneity In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2012 | Disagreement, correlation and asset prices In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2015 | Position limit for the CSI 300 stock index futures market In: Economic Systems. [Full Text][Citation analysis] | article | 0 |
| 2017 | Index portfolio and welfare analysis under heterogeneous beliefs In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2013 | On the numerical stability of simulation methods for SDEs under multiplicative noise in finance In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs In: PhD Thesis. [Full Text][Citation analysis] | book | 0 |
| 2008 | Heterogeneity, Bounded Rationality and Market Dysfunctionality In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | On the Numerical Stability of Simulation Methods for SDES In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 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 | 0 |
| 2012 | Heterogeneous Beliefs and the Cross-Section of Asset Returns In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2014 | A Behavioural Model of Investor Sentiment in Limit Order Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Position-Limit Design for the CSI 300 Futures Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
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