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

44

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49

Scholarly Papers (44)

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 969 (22,495)
Citation 4

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

2.

The Case for Market Inefficiency: Investment Style and Market Pricing

EFMA 2004 Basel Meetings Paper
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 530 (51,107)
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 487 (56,867)
Citation 1

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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 458 (61,414)
Citation 1

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momentum, reversal, portfolio choice, optimality, profitability.

5.

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 387 (75,174)
Citation 1

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

6.

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 354 (83,307)
Citation 1

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

7.

High Frequency Trading and Learning

Number of pages: 51 Posted: 28 Apr 2016
Simon Fraser University (SFU) - Department of Economics, 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 239 (127,124)
Citation 2

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High frequency trading, learning, informed traders, limit order market, genetic algorithm, liquidity

8.

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 190 (158,178)
Citation 1

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asset pricing, heterogeneous agents, technical analysis

9.

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 156 (188,003)
Citation 1

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

10.

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 142 (203,144)

Abstract:

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asset prices; heterogeneous beliefs; binomial trees; options;

11.

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 133 (214,205)

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

12.

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 132 (215,503)
Citation 3

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

13.

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 130 (218,058)

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Efficient markets; Behavioral finance; Decision theory; Information uncertainty

14.

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 125 (224,658)

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stylized facts; noise trading; behavioral sentiment

15.

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 122 (228,840)
Citation 5

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16.

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 112 (243,541)

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

17.

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 109 (248,332)
Citation 2

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

18.

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 107 (251,549)

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

19.

Social Interaction, Stochastic Volatility, and Momentum

Number of pages: 39 Posted: 17 Feb 2017
Xuezhong He, Kai Li and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Macquarie University
Downloads 106 (253,231)

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Social interactions, asset pricing, heterogeneous beliefs, learning, volatility regimes and clustering, time series momentum and reversal

20.

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 106 (253,231)

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

21.

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 105 (254,924)
Citation 6

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

22.

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 104 (256,566)

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

23.

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 101 (261,784)

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

24.

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 91 (280,104)
Citation 2

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

25.

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 90 (282,068)

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

26.

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 84 (294,541)

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

27.

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 83 (296,680)

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exchange rate, interest rate differential, heterogeneous expectations

28.

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 81 (301,097)

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

29.

Reinforcement Learning in Limit Order Markets

Number of pages: 76 Posted: 07 Mar 2018 Last Revised: 13 Feb 2019
Xuezhong He and Shen Lin
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and PBCSF, Tsinghua University
Downloads 79 (305,598)

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Reinforcement Learning, Order Book Information, Limit Orders, Momentum Trading

30.

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 78 (307,887)
Citation 2

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Limit order book, asymmetric information, learning, information dissemination

31.

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 73 (319,874)
Citation 1

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

32.

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 67 (335,235)

Abstract:

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open economy trilemma, macroeconomic stability, exchange rate regime

33.

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 59 (357,515)
Citation 2

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Flow toxicity, market instability, order imbalance, multidimensional uncertainty

34.

Information Diffusion and Speed Competition

2019 Financial Markets & Corporate Governance Conference
Number of pages: 79 Posted: 05 Sep 2018 Last Revised: 09 Jan 2019
Xuezhong He and Junqing Kang
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and University of Technology Sydney (UTS), UTS Business School, Students
Downloads 52 (379,439)

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

35.

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 49 (389,406)
Citation 1

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estimation, heterogeneity, regime switching, boom and bust

36.

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 46 (399,858)
Citation 1

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37.

The Social Value of Asymmetric Information Revisited

Number of pages: 43 Posted: 28 Feb 2019
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 36 (438,163)

Abstract:

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information uncertainty, risk premium, efficiency, welfare

38.

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 26 (484,935)

Abstract:

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

39.

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 22 (507,253)
Citation 1

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

40.

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 19 (524,746)
Citation 1

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

41.

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 (635,688)
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Asset prices, Disagreement, Boundedly rational equilibrium, Zero‐beta CAPM, Equity premium and risk‐free rate puzzles

42.

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 (648,295)
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43.

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

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

44.

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

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

Other Papers (1)

Total Downloads: 11
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 11

Abstract:

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