Browsing General by Author "He, Xuezhong"

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Browsing General by Author "He, Xuezhong"

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  • Chiarella, Carl; He, Xuezhong; Zheng, Min (Elsevier Inc, 2011)
    Heterogeneousagentmodels(HAMs)infinanceandeconomicsareoftencharacterised by highdimensionalnonlinearstochasticdifferentialordifferencesystems.Becauseof thecomplexityoftheinteractionbetweenthenonlinearitiesandnoise,acommonly ...
  • 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 ...
  • 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 ...
  • 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 ...
  • Dieci, Roberto; Foroni, I; Gardini, Laura; He, Xuezhong (Pergamon-Elsevier Science Ltd, 2006)
    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 ...
  • Chiarella, Carl; He, Xuezhong; Hommes, Cars (Elsevier Science Bv, 2006)
    Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remains popular with financial market practitioners. This paper proposes ...
  • 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 ...