Browsing by Author "He, Xuezhong"

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Browsing by Author "He, Xuezhong"

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  • Chiarella, Carl; He, Xuezhong (Springer, 2008)
    The traditional asset-pricing models ? such as the capital asset pricing model (CAPM) of [42] and [34], the arbitrage pricing theory (APT) of [40], or the intertemporal capital asset pricing model (ICAPM) of [38] ? have ...
  • Chiarella, Carl; He, Xuezhong; Hung, Hing; Zhu, Peiyuan (Elsevier BV, 2006)
    This paper considers the traditional cobweb model with heterogenous risk averse producers whose supply functions involve their estimates of the conditional mean and variance of the future price. The producers seek to learn ...
  • Chiarella, Carl; He, Xuezhong; Zheng, Min (Elsevier Inc, 2011)
    Heterogeneousagentmodels(HAMs)infinanceandeconomicsareoftencharacterised by highdimensionalnonlinearstochasticdifferentialordifferencesystems.Becauseof thecomplexityoftheinteractionbetweenthenonlinearitiesandnoise,acommonly ...
  • Chiarella, Carl; He, Xuezhong (Institute of Physics & IOP Publishing, 2001)
  • Chiarella, Carl; He, Xuezhong (Springer, 2005)
    The characterisation of agents' preferences by decreasing absolute risk aversion (DARA) and constant relative risk aversion (CRRA) are well documented in the literature and also supported in both empirical and experimental ...
  • Zheng, Min; Wang, Duo; He, Xuezhong (Oxford University Press, 2009)
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  • Chiarella, Carl; He, Xuezhong; Wang, Duo (Pergamon-Elsevier Science Ltd, 2006)
    We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted ...
  • He, Xuezhong; Shi, Lei (Blackwell Publishing, 2012)
    When people agree to disagree, the impact of the disagreement among agents on the market is the main concern of this paper. With the standard mean variance framework, this paper considers a market of two risky assets and ...
  • Corron, N; He, Xuezhong; Westerhoff, Frank (Taylor and Francis, 2007)
    It is known that simple price limiters may have unexpected consequences in irregular commodity price fluctuations between bull and bear markets and complicated impacts on the size of buffer stocks. In particular, imposing ...
  • He, Xuezhong; Hamill, Philip; Li, You Wei (Springer, 2008)
    This chapter uses a simple stochastic market fraction (MF) asset pricing model to investigate market dominance, profitability, and how traders adopting fundamental analysis or trend following strategies can survive under ...
  • He, Xuezhong; Thosar, Satish; Woolley, Paul; Bird, Ron (Palgrave Macmillan Ltd., 2005)
    The level of informational efficiency of security markets has been a contentious issue among the academic and broader community over the last 35 years. This study highlights the growth in popularity in investment styles ...
  • He, Xuezhong; Westerhoff, Frank (Elsevier Science Bv, 2005)
    We develop a behavioral commodity market model with consumers, producers and heterogeneous speculators to characterize the nature of commodity price fluctuations and to explore the effectiveness of price stabilization ...
  • Cao, Longbing; He, Xuezhong (Springer, 2009)
    Trading agents are useful for developing and back-testing quality trading strategies to support smart trading actions in the market. However, most of the existing trading agent research oversimplifies trading strategies, ...
  • He, Xuezhong; Shi, Lei (Elsevier, 2012)
    When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected ...
  • He, Xuezhong; Shi, Lei (Blackwell, 2012)
    This paper provides a simple framework to study the effect of disagreement in a multi-asset market equilibrium by considering two agents who disagree about expected returns, variances, and correlation of returns of two ...
  • He, Xuezhong; Shi, Lei (Springer, 2011)
    Within the framework of Chiarella et al (2009b) on MV analysis, this paper examines the impact of the heterogeneity and bounded rationality on the market equilibrium and MV efficiency of the optimal portfolios. The ...
  • Zhu, Mei; Chiarella, Carl; He, Xuezhong; Wang, Duo (Elsevier Science BV, 2009)
    The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in particular in speculative markets. This paper develops a financial market ...
  • Chiarella, Carl; Dieci, Roberto; He, Xuezhong (Routledge, 2011)
    It is believed that diversity is good for our society, but is it good for financial markets? In particular, does the diversity with respect to beliefs among investors reduce the market risk of risky assets? The current ...
  • Chiarella, Carl; He, Xuezhong; Hommes, Cars (Elsevier Science Bv, 2006)
    The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial ...
  • Chiarella, Carl; He, Xuezhong; Pellizzari, Paolo (Cambridge University Press, 2012)
    Inspired by the theoretically oriented dynamic analysis of moving average rules in the model of Chiarella, He, and Hommes (CHH) [Journal of Economic Dynamics and Control 30 (2006), 1729-1753], this paper conducts a dynamic ...