Browsing 01 Mathematical Sciences by Author "He Xuezhong"

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Browsing 01 Mathematical Sciences by Author "He Xuezhong"

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  • An analysis of the effect of noise in a heterogeneous agent financial market model 
    Chiarella Carl; He Xuezhong; Zheng Min (Elsevier Inc, 2011)
    Heterogeneousagentmodels(HAMs)infinanceandeconomicsareoftencharacterised by highdimensionalnonlinearstochasticdifferentialordifferencesystems.Becauseof thecomplexityoftheinteractionbetweenthenonlinearitiesandnoise,acommonly ...
  • Asset Price and Wealth Dynamics Under Heterogeneous Expectations 
    Chiarella Carl; He Xuezhong (John Wiley and Sons Inc, 2003)
    In order to characterize asset price and wealth dynamics arising from the interaction of heterogeneous agents with CRRA utility, a discrete-time stationary model in terms of return and wealth proportions (among ...
  • A behavioral asset pricing model with a time-varying second moment 
    He Xuezhong; Wang Duo; Chiarella Carl (Elsevier, 2005)
    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 ...
  • Does the market maker stabilize the market? 
    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 ...
  • Dynamics of moving average rules in continuous-time financial market model 
    He Xuezhong; Zheng Min (Elsevier B.V., 2010)
    Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used in discrete-time HAMs. The time delay ...
  • Market mood, adaptive beliefs and asset price dynamics 
    Foroni I; Dieci Roberto; He Xuezhong; Gardini Laura (Elsevier, 2007)
    Empirical evidence has suggested that, facing different trading strategies and complicated decision, the proportions of agents relying on particular strategies may stay at constant level or vary over time. This paper ...
  • Moving average rules as a source of market instability 
    He Xuezhong; Chiarella Carl; Hommes Cars (Elsevier Science, 2006)
    Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remainspopular with financialmarket practitioners.This paper proposesa ...
  • The Stochastic Bifurcation Behaviour of Speculative Financial Markets 
    Chiarella Carl; He Xuezhong; Wang Duo; Zheng Min (Elsevier Science BV, 2008)
    This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation ...