Xuezhong He

University of Technology Sydney (UTS) - Finance Discipline Group, Business School

Haymarket

Sydney, NSW 2007

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

50

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56

CROSSREF CITATIONS

21

Scholarly Papers (50)

1.

A Dynamic Analysis of Moving Average Rules

Tinbergen Institute Discussion Paper No. TI 05-057/1
Number of pages: 29 Posted: 13 Jun 2005
Carl Chiarella, Xuezhong He and Cars H. Hommes
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 1,000 (27,653)
Citation 8

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Moving averages, fundamentalists, trend followers, stability, bifurcation, evolutionary switching

2.

The Case for Market Inefficiency: Investment Style and Market Pricing

Number of pages: 40 Posted: 10 May 2004
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, University of York (UK) and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 557 (60,808)
Citation 1

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3.

Asset Allocation with Time Series Momentum and Reversal

Number of pages: 51 Posted: 17 Feb 2017 Last Revised: 19 Feb 2017
Xuezhong He, Kai Li and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 542 (62,919)
Citation 7

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Momentum, reversal, optimal asset allocation, performance

4.

Optimality of Momentum and Reversal

Number of pages: 52 Posted: 17 Jul 2014
Xuezhong He, Kai Li and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 485 (72,200)
Citation 2

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momentum, reversal, portfolio choice, optimality, profitability.

5.

High Frequency Trading in FinTech age: AI with Speed

Number of pages: 68 Posted: 28 Apr 2016 Last Revised: 24 Nov 2019
Jasmina Arifovic, Xuezhong He and Lijian Wei
Simon Fraser University (SFU) - Department of Economics, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Business School of Sun Yat-sen Univerisity
Downloads 401 (90,442)
Citation 2

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High frequency trading, FinTech, artificial intelligence, genetic algorithm, limit order market

6.

Zero-Beta CAPM with Heterogeneous Beliefs

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 35 Posted: 27 Aug 2007 Last Revised: 20 Jun 2008
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 399 (90,978)
Citation 1

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asset prices, heterogeneous beliefs, portfolio analysis, zero-beta CAPM, optimality

7.

Heterogeneity, Market Mechanisms, and Asset Price Dynamics

Quantitative Finance Research Centre Research Paper No. 231
Number of pages: 59 Posted: 03 Mar 2009
Carl Chiarella, Roberto Dieci and Xuezhong He
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Department of Mathematics, University of Bologna and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 372 (98,564)
Citation 16

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bounded rationality, interacting heterogeneous agents, behavioural finance, nonlinear economic dynamics, complexity

8.

Reinforcement Learning and Evolutionary Equilibrium in Limit Order Markets

Number of pages: 66 Posted: 07 Mar 2018 Last Revised: 13 Jan 2021
Xuezhong He and Shen Lin
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and PBCSF, Tsinghua University
Downloads 318 (117,388)

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Reinforcement learning, strategic trading, limit order market, evolutionary equilibrium, herding, market liquidity, price discovery

9.

Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P 500

Journal of Economic Behavior and Organization, Vol. 105, 2014
Number of pages: 33 Posted: 07 Dec 2009 Last Revised: 06 May 2016
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Vrije Universiteit Amsterdam
Downloads 207 (180,425)
Citation 4

Abstract:

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asset pricing, heterogeneous agents, technical analysis

10.

The Microstructure of Endogenous Liquidity Provision

Number of pages: 64 Posted: 15 Nov 2019 Last Revised: 15 Oct 2020
The University of Sydney - Discipline of Finance, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Sun Yat-Sen University (SYSU) - Lingnan (University) College and PBCSF, Tsinghua University
Downloads 189 (196,033)

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Endogenous liquidity provision, fragile liquidity, market breaks, machine learning

11.

Learning about Toxicity: Why Order Imbalance Can Destabilize Markets

Number of pages: 54 Posted: 13 Dec 2018
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and University of Technology Sydney (UTS)
Downloads 180 (204,609)
Citation 2

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Flow toxicity, market instability, order imbalance, multidimensional uncertainty

12.

Learning and Evolution of Trading Strategies in Limit Order Markets

Chiarella, C., He, X. and Wei, L. (2015), ‘Learning, information processing and order submission in limit order markets’, Journal of Economic Dynamics and Control 61, 245–268.
Number of pages: 37 Posted: 09 Aug 2013 Last Revised: 28 Apr 2016
Carl Chiarella, Xuezhong He and Lijian Wei
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Business School of Sun Yat-sen Univerisity
Downloads 180 (204,609)

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Limit order book, evolution, genetic algorithm learning, asymmetric information, trading strategy

13.

Time Series Momentum and Market Stability

Number of pages: 44 Posted: 06 Mar 2014
Xuezhong He and Kai Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie Business School, Macquarie University
Downloads 169 (216,057)
Citation 2

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Time series momentum, profitability, market stability, stochastic delay differential equations

14.

A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs

Journal of Management Science and Engineering, Forthcoming, Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Number of pages: 27 Posted: 12 Jul 2010 Last Revised: 23 Sep 2016
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 152 (236,175)

Abstract:

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asset prices; heterogeneous beliefs; binomial trees; options;

15.

A Behavioral Model of Investor Sentiment in Limit Order Markets

Forthcoming in Quantitative Finance
Number of pages: 40 Posted: 29 Apr 2016
Carl Chiarella, Xuezhong He, Lei Shi and Lijian Wei
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie University and Business School of Sun Yat-sen Univerisity
Downloads 146 (244,142)

Abstract:

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stylized facts; noise trading; behavioral sentiment

16.

Toward a General Model of Financial Markets

29th Australasian Finance and Banking Conference 2016
Number of pages: 42 Posted: 03 May 2016 Last Revised: 30 Oct 2018
Nihad Aliyev and Xuezhong He
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 145 (245,503)

Abstract:

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Efficient markets; Behavioral finance; Decision theory; Information uncertainty

17.

Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework

Quantitative Finance Research Center Working Paper No. 166
Number of pages: 26 Posted: 11 Apr 2006
Carl Chiarella, Roberto Dieci and Xuezhong He
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Department of Mathematics, University of Bologna and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 142 (249,677)
Citation 7

Abstract:

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heterogeneous beliefs, asset pricing, portfolio choice, bifurcation analysis, comovements in stock prices

18.

Social Interaction, Stochastic Volatility, and Momentum

Number of pages: 43 Posted: 17 Feb 2017 Last Revised: 09 Jun 2021
Xuezhong He, Kai Li, Caterina Santi and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University, Cork University Business School and Macquarie University
Downloads 140 (252,485)
Citation 2

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Social interaction, mean choice, volatility clustering, time-series momentum

19.

Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis

Quantitative Finance Research Centre Working Paper No. 186
Number of pages: 23 Posted: 17 Mar 2008
Carl Chiarella, Roberto Dieci and Xuezhong He
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Department of Mathematics, University of Bologna and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 128 (270,361)
Citation 5

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20.

The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

Number of pages: 39 Posted: 28 Sep 2015
Xuezhong He and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School
Downloads 120 (283,739)
Citation 2

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Adaptiveness, fundamental and technical analysis, stylized facts, power-law, tail index

21.

Volatility Clustering: A Nonlinear Theoretical Approach

Number of pages: 45 Posted: 21 Nov 2015 Last Revised: 02 Aug 2016
Xuezhong He, Kai Li and Chuncheng Wang
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 119 (285,468)
Citation 2

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Volatility clustering, fundamentalists and trend followers, bounded rationality, stability, coexisting attractors.

22.

Testing of a Market Fraction Model and Power-Law Behaviour in the DAX 30

Journal of Empirical Finance, Volume 31, March 2015, Pages 1–17
Number of pages: 35 Posted: 11 Jan 2015 Last Revised: 22 Sep 2015
Xuezhong He and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School
Downloads 117 (288,827)

Abstract:

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Asset pricing, fundamentalists and trend followers, (FI)GARCH, power-law, tail index

23.

Disagreement, Excess Volatility and Comovement in Stock Returns

Number of pages: 54 Posted: 04 Apr 2012 Last Revised: 22 Jul 2017
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 117 (288,827)

Abstract:

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Excess volatility; Excess comovement; Belief dispersion; Belief correlation; General equilibrium

24.

The Stochastic Dynamics of Speculative Prices

Quantitative Finance Research Centre Working Paper No. 208
Number of pages: 47 Posted: 17 Mar 2008
Carl Chiarella, Xuezhong He and Min Zheng
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and University of Technology Sydney (UTS)
Downloads 116 (290,519)
Citation 6

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heterogeneous agents, speculative behaviour, random dynamical systems, stochastic bifurcations, invariant measures, chartists

25.

Asset Pricing Under Keeping Up with the Joneses and Heterogeneous Beliefs

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 28 Posted: 02 Apr 2012
Xuezhong He, Lei Shi and Min Zheng
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie University and China Institute for Actuarial Science, Central University of Finance and Economics, China
Downloads 113 (295,827)

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Keeping up with the Joneses, heterogeneous beliefs, market selection, cyclical behaviour, price-dividend ratio, equity premium, risk-free rate

26.

Index Portfolio and Welfare Analysis under Heterogeneous Beliefs

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 29 Mar 2012 Last Revised: 07 Nov 2016
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 113 (295,827)

Abstract:

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Index funds; Active investing; Welfare analysis; Differences in opinion; General equilibrium model

27.

Ambiguous Price Formation

Number of pages: 57 Posted: 27 Dec 2016 Last Revised: 16 Nov 2018
Nihad Aliyev and Xuezhong He
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 107 (307,358)

Abstract:

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Market microstructure, ambiguity, ambiguity aversion, liquidity, value of information, welfare

28.

Information Diffusion and Speed Competition

2019 Financial Markets & Corporate Governance Conference
Number of pages: 64 Posted: 05 Sep 2018 Last Revised: 01 Nov 2019
Xuezhong He and Junqing Kang
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Sun Yat-Sen University (SYSU) - Lingnan (University) College
Downloads 104 (313,312)
Citation 1

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Information diffusion, speed competition, strategic trading, endogenous information and speed, complementarity, market quality

29.

Time-Varying Beta: A Boundedly Rational Equilibrium Approach

Quantitative Finance Research Centre Research Paper No. 275
Number of pages: 31 Posted: 22 Oct 2010
Carl Chiarella, Roberto Dieci and Xuezhong He
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Department of Mathematics, University of Bologna and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 96 (330,108)
Citation 3

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equilibrium asset prices, CAPM, time-varying betas, heterogeneous expectations

30.

Fear or Fundamentals? Heterogeneous Beliefs in the European Sovereign CDS Market

Number of pages: 46 Posted: 16 Nov 2013 Last Revised: 14 Jul 2015
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Norges Bank, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and The University of Sydney - Business School
Downloads 95 (332,308)
Citation 2

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sovereign credit risk, European debt crisis, heterogeneous beliefs, momentum, CDS pricing

31.

An Evolutionary CAPM Under Heterogeneous Beliefs

25th Australasian Finance and Banking Conference 2012
Number of pages: 38 Posted: 20 Aug 2012
Carl Chiarella, Roberto Dieci, Xuezhong He and Kai Li
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Department of Mathematics, University of Bologna, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie Business School, Macquarie University
Downloads 90 (343,896)
Citation 4

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evolutionary CAPM, heterogeneous beliefs, market stability, spill-over effects, volatility, trading volume

32.

Heterogeneous Expectations and Exchange Rate Dynamics

Quantitative Finance Research Centre Research Paper No. 243
Number of pages: 38 Posted: 03 Mar 2009
Carl Chiarella, Xuezhong He and Min Zheng
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and University of Technology Sydney (UTS)
Downloads 89 (346,264)
Citation 1

Abstract:

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exchange rate, interest rate differential, heterogeneous expectations

33.

The Learning Effect of Uninformed Traders in Limit Order Markets

Number of pages: 30 Posted: 08 Jun 2013 Last Revised: 28 May 2014
Lijian Wei, Wei Zhang, Xuezhong He and Yongjie Zhang
Business School of Sun Yat-sen Univerisity, Tianjin University - College of Management and Economics, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Tianjin University
Downloads 88 (348,800)
Citation 2

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Limit order book, asymmetric information, learning, information dissemination

34.

Herding, Trend Chasing and Market Volatility

Number of pages: 43 Posted: 06 Mar 2014
Corrado Di Guilmi, Xuezhong He and Kai Li
University of Technology Sydney (UTS) - UTS Business School, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie Business School, Macquarie University
Downloads 84 (358,804)
Citation 6

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Heterogeneous beliefs, herding, switching, stability, volatility, stochastic delay differential equations

35.

The Social Value of Information Uncertainty

Number of pages: 48 Posted: 28 Feb 2019 Last Revised: 01 Jun 2021
Xuezhong He, Lei Shi and Marco Tolotti
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie University and Ca Foscari University of Venice - Department of Management
Downloads 72 (391,946)

Abstract:

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social welfare, information acquisition uncertainty, probabilistic choices, rational expectations equilibrium

36.

Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy

Quantitative Finance Research Centre Research Paper No. 199
Number of pages: 25 Posted: 20 Mar 2008
Jian Gao, Gang Gong and Xuezhong He
affiliation not provided to SSRN, Tsinghua University - School of Economics & Management and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 70 (398,009)

Abstract:

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open economy trilemma, macroeconomic stability, exchange rate regime

37.

The Fast and the Furious: Exchange Latency and Ever-fast Trading

Number of pages: 71 Posted: 23 Sep 2020
Xuezhong He, Junqing Kang and Xuan Zhou
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Sun Yat-Sen University (SYSU) - Lingnan (University) College and Beijing Jiaotong University - School of Economics and Management
Downloads 63 (420,602)

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Exchange latency, high-frequency trading, speed hierarchy

38.

Estimating Behavioural Heterogeneity Under Regime Switching

University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 290
Number of pages: 32 Posted: 23 Oct 2012
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Nanyang Technological University (NTU) - School of Humanities & Social Sciences and Nanyang Technological University (NTU) - Division of Economics
Downloads 54 (452,677)
Citation 4

Abstract:

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estimation, heterogeneity, regime switching, boom and bust

39.

The Dynamics of the Cobweb When Producers are Risk Averse Learners

U. of Technology, Sydney Finance and Economics Working Paper No. 90
Number of pages: 15 Posted: 05 Feb 2006
Carl Chiarella and Xuezhong He
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 47 (480,415)
Citation 1

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40.

Heterogeneous Agent Models in Financial Markets: A Nonlinear Dynamics Approach

Number of pages: 34 Posted: 19 Dec 2018
Xuezhong He, Youwei Li and Min Zheng
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Hull University Business School and China Institute for Actuarial Science, Central University of Finance and Economics, China
Downloads 45 (488,959)

Abstract:

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stylized facts, anomalies, heterogeneous beliefs, nonlinear dynamics, stability and bifurcation

41.

Financial Stress and Asset Prices

Number of pages: 53 Posted: 22 Mar 2021 Last Revised: 06 Apr 2021
Xiaoyu Zong and Xuezhong He
Heriot-Watt University and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 40 (511,527)

Abstract:

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Asset Pricing, Financial Stress, Investor Sentiment, Market Skewness, Stockholder Consumption, Recursive Preference, Valuation Ratios

42.

Machine Learning and Speed in High-Frequency Trading

Number of pages: 50 Posted: 14 Jun 2021
Jasmina Arifovic, Xuezhong He and Lijian Wei
Simon Fraser University (SFU) - Department of Economics, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Business School of Sun Yat-sen Univerisity
Downloads 37 (525,789)

Abstract:

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High-frequency trading, price eciency, machine learning, genetic algorithm, limit order market

43.

The Pricing of Composition Uncertainty

Number of pages: 50 Posted: 16 Oct 2018 Last Revised: 20 Nov 2018
Nihad Aliyev and Xuezhong He
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 35 (535,909)
Citation 1

Abstract:

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Financial Market Microstructure, Rational Expectations Equilibrium, Composition Uncertainty, Asset Pricing, Value of Information

44.

Time-Varying Economic Dominance Through Bistable Dynamics

Number of pages: 37 Posted: 29 Jan 2018
Xuezhong He, Kai Li and Chuncheng Wang
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 27 (580,775)
Citation 1

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Heterogeneous Beliefs, Co-movement, Stability, Global Dynamics, Spillover Effect, Correlations

45.

Cross-section Instability in Financial Markets: Impatience, Extrapolation, and Switching

Decisions in Economics and Finance
Number of pages: 26 Posted: 20 Jul 2021
Roberto Dieci and Xuezhong He
Department of Mathematics, University of Bologna and University of Technology Sydney (UTS) - Finance Discipline Group, Business School
Downloads 4 (747,418)

Abstract:

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heterogeneous beliefs, asset pricing, portfolio choice, strategy switching, bifurcation analysis

46.

Boundedly Rational Equilibrium and Risk Premium

Accounting & Finance, Vol. 52, Issue 1, pp. 71-93, 2012
Number of pages: 23 Posted: 17 Jan 2012
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 2 (765,018)
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Asset prices, Disagreement, Boundedly rational equilibrium, Zero‐beta CAPM, Equity premium and risk‐free rate puzzles

47.

Disagreement in a Multi‐Asset Market

International Review of Finance, Vol. 12, Issue 3, pp. 357-373, 2012
Number of pages: 17 Posted: 04 Sep 2012
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 1 (776,594)
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48.

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

forthcoming in Management Science
Posted: 06 Jun 2019 Last Revised: 03 Dec 2020
Liya Chu, Xuezhong He, Kai Li and Jun Tu
East China University of Science and Technology (ECUST), University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Singapore Management University - Lee Kong Chian School of Business

Abstract:

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Return predictability, Investors sentiment, Economic predictors, Non-fundamental predictors

49.

Power-Law Behaviour , Heterogeneity, and Trend Chasing

Journal of Economic Dynamics and Control, Vol. 31, No. 10, 2007
Posted: 17 Mar 2009
Xuezhong He and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School

Abstract:

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Asset pricing, fundamentalists and trend followers, market fraction, stability, learning, power-law

50.

Heterogeneity, Convergence, and Autocorrelations

Quantitative Finance, Vol. 8, No. 1, 2008
Posted: 17 Mar 2009
Xuezhong He and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School

Abstract:

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Asset pricing, heterogeneous beliefs, market fraction, stability, bifurcation, market behaviour, limiting distribution, autocorrelation

Other Papers (1)

Total Downloads: 16
1.

Differences in Opinion and Equilibrium Asset Returns in a Multi-Asset Market

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 28 Posted: 30 Jan 2013
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 16

Abstract:

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disagreement, multi-asset market, excess volatility, excess correlation