Lei Shi : Citation Profile

Are you Lei Shi?

University of Technology Sydney

3

H index

0

i10 index

25

Citations

RESEARCH PRODUCTION:

7

Articles

9

Papers

RESEARCH ACTIVITY:

   9 years (2008 - 2017). See details.
   Cites by year: 2
   Journals where Lei Shi has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 3 (10.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh331
   Updated: 2020-04-04    RAS profile: 2017-09-28    
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Relations with other researchers

Works with:

He, Xuezhong (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lei Shi.

Is cited by:

He, Xuezhong (3)

Platen, Eckhard (2)

Chiarella, Carl (2)

Ok, Efe (1)

faff, robert (1)

Koopman, Siem Jan (1)

Zhou, Wei-Xing (1)

Liu, Yizao (1)

Anufriev, Mikhail (1)

Allen, David (1)

JAWADI, Fredj (1)

Cites to:

NAPP, Clotilde (30)

Jouini, Elyès (30)

Chiarella, Carl (19)

He, Xuezhong (15)

Yan, Hongjun (11)

Uppal, Raman (8)

Basak, Suleyman (7)

Wenzelburger, Jan (6)

Platen, Eckhard (6)

Iori, Giulia (5)

Buraschi, Andrea (5)

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, Sydney9

Recent works citing Lei Shi (2018 and 2017)

YearTitle of citing document
2017An empirical behavioural order-driven model with price limit rules. (2017). Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng. In: Papers. RePEc:arx:papers:1704.04354.

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2017Modeling 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.

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2017Markets 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.

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2018An 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.

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2019Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals. (2019). Yang, Chunpeng ; Zhou, Liyun. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:130-140.

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2018How 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.

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2017Computing 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.

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2019Behavioral heterogeneity and excess stock price volatility in China. (2019). Xiong, Xiong ; Zhou, Zhong-Qiang ; Zhang, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:348-354.

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2019Fast traders and slow price adjustments: an artificial market with strategic interaction and transaction costs. (2019). Tolotti, Marco ; Pellizzari, Paolo ; Liuzzi, Danilo. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:14:y:2019:i:3:d:10.1007_s11403-018-0233-8.

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2018Timing under individual evolutionary learning in a continuous double auction. (2018). Anufriev, Mikhail ; Leur, Michiel. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:28:y:2018:i:3:d:10.1007_s00191-017-0530-8.

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2018Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389.

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2017Fundamentals 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.

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Works by Lei Shi:

YearTitleTypeCited
2012Boundedly rational equilibrium and risk premium In: Accounting and Finance.
[Full Text][Citation analysis]		article3
2012Disagreement in a Multi-Asset Market In: International Review of Finance.
[Full Text][Citation analysis]		article2
2016Consumption-based CAPM with belief heterogeneity In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2012Disagreement, correlation and asset prices In: Economics Letters.
[Full Text][Citation analysis]		article2
2015Position limit for the CSI 300 stock index futures market In: Economic Systems.
[Full Text][Citation analysis]		article1
2017Index portfolio and welfare analysis under heterogeneous beliefs In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2013On the numerical stability of simulation methods for SDEs under multiplicative noise in finance In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2008Heterogeneity, Bounded Rationality and Market Dysfunctionality In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2008On the Numerical Stability of Simulation Methods for SDES In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2009Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs In: Research Paper Series.
[Full Text][Citation analysis]		paper1
2010Differences in Opinion and Risk Premium In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2012Heterogeneous Beliefs and the Performances of Optimal Portfolios In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2012Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2012Heterogeneous Beliefs and the Cross-Section of Asset Returns In: Research Paper Series.
[Full Text][Citation analysis]		paper0
2014A Behavioural Model of Investor Sentiment in Limit Order Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper7
2014Position-Limit Design for the CSI 300 Futures Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper0

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