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Heterogeneity, convergence, and autocorrelations

He, Xue-Zhong; Li, Youwei - In: Quantitative Finance 8 (2008) 1, pp. 59-79

This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial...

Persistent link: https://www.econbiz.de/10005495755

Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-Zhong; Li, Kai - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 349-373

We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...

Persistent link: https://www.econbiz.de/10011077524

Heterogeneity, Profitability and Autocorrelations

He, Xue-Zhong; Li, Youwei - Finance Discipline Group, Business School - 2005

characterized by the stability and bifurcations of the underlying deterministic system. Our analysis underpins mechanism on various …

Persistent link: https://www.econbiz.de/10004984450

A Dynamic Analysis of Moving Average Rules

Chiarella, Carl; He, Xue-Zhong; Hommes, Cars - Finance Discipline Group, Business School - 2004

fitness to the one with high fitness. We characterise first the stability and bifurcation properties of the underlying …

Persistent link: https://www.econbiz.de/10004984490

Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case

Chiarella, Carl; He, Xue-Zhong - Finance Discipline Group, Business School - 2001

expectations and learning schemes are analyzed. It is shown how the dynamics of the system, including stability, instability and … an example to illustrate the stability results, the various types of bifurcations and the routes to complicated price …

Persistent link: https://www.econbiz.de/10004984509

Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case

Chiarella, Carl; He, Xue-Zhong - Finance Discipline Group, Business School - 2001

resulting expectations and learning schemes are analyzed. It is shown that the dynamics of the system, including stability … expectation scheme is employed as an example to illustrate the stability results, the various types of bifurcations and the routes …

Persistent link: https://www.econbiz.de/10004984553

Long Memory, Heterogeneity and Trend Chasing

He, Xue-Zhong; Li, Youwei - Finance Discipline Group, Business School - 2005

Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...

Persistent link: https://www.econbiz.de/10004984561

A Behavioural Asset Pricing Model with a Time-Varying Second Moment

Chiarella, Carl; He, Xue-Zhong; Wang, Duo - Finance Discipline Group, Business School - 2004

high frequency financial data) and the stability and bifurcation of the underlying deterministic system are established. …

Persistent link: https://www.econbiz.de/10004984595

Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs

He, Xue-Zhong; Li, Kai; Wei, Junjie; Zheng, Min - Finance Discipline Group, Business School - 2009

delay and examines the impact of time delay on market price dynamics. Conditions for the stability of the fundamental price … delay can not only destabilize the market price but also stabilize an otherwise unstable market price, leading to stability … switching as delay increases. This interesting phenomena shed new light in understanding of mechanism on the market stability …

Persistent link: https://www.econbiz.de/10004984607

Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment

Chiarella, Carl; He, Xue-Zhong; Wang, Duo - Finance Discipline Group, Business School - 2004

Stability and bifurcation analysis of deterministic systems has been widely used in modeling financial markets. However …

Persistent link: https://www.econbiz.de/10005041737