Browsing Closed by Author "He Xuezhong"

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Browsing Closed by Author "He Xuezhong"

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  • An analysis of the cobweb model with boundedly rational heterogeneous producers 
    He Xuezhong; Chiarella Carl; Zhu Peiyuan; Hung Hing (Elsevier, 2003)
    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 ...
  • Butter Mountains, Milk Lakes and optimal Price Limiters 
    He Xuezhong; Corron N; Westerhoff Frank (Triangle Journals, 2004)
    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 a ...
  • Commodity markets, price limiters and speculative price dynamics 
    Westerhoff Frank; He Xuezhong (Elsevier Science, 2005)
    We develop a behavioral commodity market model with consumers, producers and heterogeneous speculators to characterize-tile-nature of commodity price fluctuations and to explore the effectiveness of price stabilization ...
  • Disagreement, correlation and asset prices 
    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 ...
  • Do heterogeneous beliefs diversify market risk? 
    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 ...
  • A dynamic analysis of moving average rules 
    He Xuezhong; Chiarella Carl; Hommes Cars (Elsevier Science, 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 ...
  • Dynamics of beliefs and learning under aL processes - the heterogeneous case 
    He Xuezhong; Chiarella Carl (Elsevier Science, 2003)
    This paper studies a class of models in which agents' expectations influence the actual dynamics while the expectations themselves are the outcome of some recursive processes with bounded memory. Under the assumptions ...
  • Exchange Rate Regime and Monetary Policy: A Proposal for Small and Less Developed Economies 
    Gong Gang; Gao Jian; He Xuezhong (Zhongguo Shehui Kexueyuan, Jingji Yanjiusuo, Chinese Academy of Social Sciences, 2008)
  • Heterogeneous beliefs and adaptivebehaviour in a continuous-time asset price model 
    He Xuezhong; Li Kai (Elsevier Inc, 2012)
    This paper extends the analysis of the seminal work of . Brock and Hommes (1997, 1998) on heterogeneous beliefs and rational routes to randomness in discrete-time models to a continuous-time model of asset pricing. The ...
  • Heterogeneous beliefs, risk and learning in a simple asset pricing model 
    He Xuezhong; Chiarella Carl (Springer, 2007)
    Trade among individuals occurs either because tastes (risk aversion) differ, endowments differ, or beliefs differ. Utilising the concept of 'adaptively rational equilibrium' and a recent framework of Brock and Hommes [6, ...
  • Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework 
    Dieci Roberto; Chiarella Carl; He Xuezhong (Elsevier, 2006)
    This paper develops a dynamic model of a financial market where heterogeneous agents invest among multiple risky assets and a risk-free asset, under a market maker scenario. Particular attention is paid to the case of ...
  • Market stability switches in a continuous-time financial market with heterogeneous beliefs 
    He Xuezhong; Li Kai; Wei Junjie; Zheng Min (Elsevier, 2009)
    By considering a financial market of fundamentalists and trend followers in which the price trend of trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market ...
  • Power-Law Behaviour, Heterogeneity, and Trend Chasing 
    Li You Wei; He Xuezhong (Elsevier, 2007)
    Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of ...