Carl Chiarella

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

PO Box 123

Broadway, NSW 2007

Australia

http://www.business.uts.edu.au/finance/

SCHOLARLY PAPERS

105

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CITATIONS
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162

Scholarly Papers (105)

1.

Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data

U. of Technology, Sydney Finance and Economics Working Paper No. 70
Number of pages: 23 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Australia Business School, School of Banking and Finance and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 825 (21,079)
Citation 2

Abstract:

2.

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 C. H. Hommes
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Amsterdam
Downloads 808 (19,296)
Citation 15

Abstract:

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

3.

The History of the Quantitative Methods in Finance Conference Series 1992-2007

Quantitative Finance Research Centre Working Paper No. 207
Number of pages: 113 Posted: 17 Mar 2008
Carl Chiarella and Eckhard Platen
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 569 (35,595)

Abstract:

4.

A Class of Stochastic Volatility HJM Interest Rate Models

EFMA 2004 Basel Meetings Paper
Number of pages: 12 Posted: 09 May 2004
Carl Chiarella, David B. Colwell and Oh Kang Kwon
University of Technology, Sydney - UTS Business School, Finance Discipline Group, UNSW Australia Business School, School of Banking and Finance and The University of Sydney - Discipline of Finance
Downloads 503 (41,266)

Abstract:

5.

Type I Spurious Regression in Econometrics

University of Technology, Finance and Economics Working Paper No. 114
Number of pages: 18 Posted: 03 Feb 2006
Carl Chiarella and Shenhuai Gao
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Sydney Business School
Downloads 363 (63,548)
Citation 6

Abstract:

type I spurious regression, systematic errors, invariant dynamic relations

6.

Solving the Price-Earnings Puzzle

UTS Working Paper No. 116
Number of pages: 13 Posted: 02 Feb 2006
Carl Chiarella and Shenhuai Gao
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Sydney Business School
Downloads 317 (74,084)
Citation 2

Abstract:

price (returns)-earnings relation, earnings response coefficient, type I spurious regression

7.

Modelling the Value of the S&P 500 - A System Dynamics Perspective

University of Technology, Finance and Economics Working Paper No. 115
Number of pages: 25 Posted: 03 Feb 2006
Carl Chiarella and Shenhuai Gao
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Sydney Business School
Downloads 265 (80,029)
Citation 2

Abstract:

stock price, intrinsic value, stock price bubble, adjustment process

8.

Continuous Time Model Estimation

Sydney U. of Technology Finance and Economics Working Paper No. 138
Number of pages: 15 Posted: 11 Aug 2005
Carl Chiarella and Shenhuai Gao
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Sydney Business School
Downloads 256 (92,938)
Citation 1

Abstract:

Continuous time model, Estimation, Trend and noise decomposition, Unit roots illusion

9.

Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework

U. of Technology, Sydney Finance and Economics Working Paper No. 55
Number of pages: 14 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Australia Business School, School of Banking and Finance and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 243 (96,396)

Abstract:

10.

Modelling the Evolution of Credit Spreads using the Cox Process within the HJM Framework: A CDS Option Pricing Model

Quantitative Finance Research Centre Research Paper No. 232
Number of pages: 27 Posted: 03 Aug 2010 Last Revised: 22 Oct 2010
Carl Chiarella, Viviana Fanelli and Silvana Musti
University of Technology, Sydney - UTS Business School, Finance Discipline Group, affiliation not provided to SSRN and University of Foggia
Downloads 238 (84,801)

Abstract:

HJM Model, Cox Process, Monte Carlo Method, Bond Price, CDS Option

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

University of Technology Sydney Research Paper No. 219
Number of pages: 43 Posted: 12 May 2008
Carl Chiarella, Boda Kang, Gunter H. Meyer and Andrew Ziogas
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, Georgia Institute of Technology - Mathematics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 238 (103,967)
Citation 1

Abstract:

American options, stochastic volatility, jump-diffusion processes, Volterra integral equations, free boundary problem, method of lines

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

International Journal of Theoretical and Applied Finance, Vol. 12, No. 3, pp. 393-425, 2009
Posted: 02 Dec 2009
Carl Chiarella, Boda Kang, Gunter H. Meyer and Andrew Ziogas
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, Georgia Institute of Technology - Mathematics and University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

American options, stochastic volatility, jump-diffusion processes, Volterra integral equations, free boundary problem, method of lines

12.

Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions

Quantitative Finance Research Centre Research Paper No. 145
Number of pages: 48 Posted: 02 May 2006
Carl Chiarella and Andrew Ziogas
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 227 (107,722)
Citation 2

Abstract:

American options, jump-diffusion, Fourier-Hermite series expansions, free boundary problem

13.

Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems

U. of Technology, Sydney Finance and Economics Working Paper No. 76
Number of pages: 25 Posted: 05 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Australia Business School, School of Banking and Finance and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 220 (110,007)

Abstract:

14.

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) - School of Finance and Economics
Downloads 206 (85,150)
Citation 18

Abstract:

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

15.

The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques

U. of Technology, Sydney Finance and Economics Working Paper No. 54
Number of pages: 23 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Australia Business School, School of Banking and Finance and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 201 (115,574)
Citation 4

Abstract:

16.

Transformation of Heath-Jarrow-Morton Models to Markovian Systems

U. of Technology, Sydney Finance and Economics Working Paper No. 53
Number of pages: 36 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Australia Business School, School of Banking and Finance and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 195 (118,875)
Citation 16

Abstract:

17.

Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics

U. of Technology, Sydney Finance and Economics Working Paper No. 102
Number of pages: 29 Posted: 05 Feb 2006
Carl Chiarella and Alexander Khomin
University of Technology, Sydney - UTS Business School, Finance Discipline Group and affiliation not provided to SSRN
Downloads 194 (126,924)

Abstract:

18.

The Evaluation of American Compound Option Prices under Stochastic Volatility Using the Sparse Grid Approach

Quantitative Finance Research Centre Research Paper No. 245
Number of pages: 19 Posted: 03 Mar 2009
Carl Chiarella and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of York - Department of Mathematics
Downloads 180 (131,876)
Citation 2

Abstract:

American compound option, stochastic volatility, free boundary problem, sparse grid, combination technique, Monte Carlo simulation, method of lines

19.

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

Quantitative Finance Research Centre Research Paper No. 152
Number of pages: 16 Posted: 02 May 2006
Carl Chiarella and Giulia Iori
University of Technology, Sydney - UTS Business School, Finance Discipline Group and City University London - Department of Economics
Downloads 172 (140,216)
Citation 7

Abstract:

20.

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
Carl Chiarella, Xuezhong He and Remco C. J. Zwinkels
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and Vrije Universiteit Amsterdam
Downloads 171 (134,673)

Abstract:

asset pricing, heterogeneous agents, technical analysis

21.

Developments in Nonlinear Economic Dynamics: Past, Present and Future

UTS Working Paper No. 14
Number of pages: 23 Posted: 17 Feb 2006
Carl Chiarella
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 167 (143,132)

Abstract:

22.

A Control Variate Method For Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

Quantitative Finance Research Centre Research Paper Number No. 167
Number of pages: 33 Posted: 02 May 2006
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 163 (142,382)

Abstract:

HJM model, jump process, bond option prices, control variate, Monte Carlo simulations

23.

Exchange Options under Jump-Diffusion Dynamics

Quantitative Finance Research Centre Research Paper No. 235
Number of pages: 28 Posted: 03 Mar 2009
Gerald H. L. Cheang and Carl Chiarella
Nanyang Technological University - Business School and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 155 (150,127)

Abstract:

American options, exchange options, compound Poisson processes, equivalent martingale measure

24.

Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals using Fast Fourier Transform Techniques

UTS Finance and Economics Working Paper No. 72
Number of pages: 37 Posted: 14 Feb 2006
Carl Chiarella and Nadima El-Hassan
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology, Sydney
Downloads 146 (160,353)
Citation 4

Abstract:

25.

Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets Using Logistic Smooth Transition Regression Models

Quantitative Finance Research Centre Research Paper No. 172
Number of pages: 20 Posted: 02 May 2006
Andreas Röthig and Carl Chiarella
Deutsche Bundesbank and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 144 (157,644)
Citation 1

Abstract:

Futures markets, speculation, nonlinear dynamics, smooth transition regression model

26.

A Markovian Defaultable Term Structure Model with State Dependent Volatilities

Number of pages: 40 Posted: 07 Oct 2004
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group and University of Technology Sydney - Business School
Downloads 142 (165,990)
Citation 2

Abstract:

Interest rates, credit risk, default, Markov property, jump diffusion

27.

Intertemporal Investment Strategies Under Inflation Risk

Quantitative Finance Research Centre Working Paper No. 192
Number of pages: 53 Posted: 16 Mar 2008
Carl Chiarella, Chih-Ying Hsiao and Willi Semmler Sr.
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and The New School - Department of Economics
Downloads 140 (160,353)

Abstract:

inflation-indexed bonds, intertemporal asset allocation, inflationary expectations

28.

Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time

Research Paper Number: 317, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 65 Posted: 17 Oct 2012
Beyna Ingo, Carl Chiarella and Boda Kang
affiliation not provided to SSRN, University of Technology, Sydney - UTS Business School, Finance Discipline Group and affiliation not provided to SSRN
Downloads 135 (150,127)

Abstract:

Cheyette model, Gaussian HJM, multi-factor model, PDE valuation, sparse grid, Monte Carlo simulation

29.

The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach

Computational Statistics and Data Analysis, Vol. 53, Issue 6, pp. 2075-2088
Number of pages: 31 Posted: 02 May 2006 Last Revised: 30 Aug 2011
Carl Chiarella, Hing Hung and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of New South Wales, Sydney
Downloads 129 (180,147)
Citation 3

Abstract:

term structure, Heath-Jarrow-Morton, local linearization, filtering

30.

Keynes-Metzler-Goodwin Model Building: The Closed Economy

UTS School of Finance and Economics Working Paper No. 124
Number of pages: 53 Posted: 21 Jan 2006
Toichiro Asada, Carl Chiarella and Peter Flaschel
Chuo University, University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 129 (179,096)

Abstract:

KMG dynamics, feedback channels, instability, monetary policy, wage floors, fluctuating growth, complex dynamics

31.

Investigating Time-Efficient Methods to Price Compound Options in the Heston Model

Number of pages: 29 Posted: 26 Feb 2013
Carl Chiarella, Susanne Griebsch and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of York - Department of Mathematics
Downloads 128 (160,353)

Abstract:

32.

The Dynamics of Speculative Behaviour

UTS Working Paper No. 13
Number of pages: 35 Posted: 17 Feb 2006
Carl Chiarella
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 127 (175,824)
Citation 13

Abstract:

33.

The Multifactor Nature of the Volatility of the Eurodollar Futures Market

Quantitative Finance Research Centre Research Paper No. 150
Number of pages: 15 Posted: 02 May 2006
Carl Chiarella and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of New South Wales, Sydney
Downloads 125 (181,253)

Abstract:

term structure, volatility, mutlifactor, jump, Eurodollar futures, genetic algorithm

34.

Pricing American Options Written on Two Underlying Assets

Quantitative Finance (2013)
Number of pages: 37 Posted: 05 Apr 2012 Last Revised: 01 Oct 2013
Jonathan Ziveyi and Carl Chiarella
UNSW Australia and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 124 (154,168)

Abstract:

American Options, Fourier Transform, Multiple Underlying Assets

35.

A Fourier Transform Analysis of the American Call Option on Assets Driven by Jump-Diffusion Processes

Quantitative Finance Research Centre Working Paper No. 174
Number of pages: 89 Posted: 17 Mar 2008
Carl Chiarella and Andrew Ziogas
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 124 (181,253)

Abstract:

American options, jump-diffusion, Volterra integral equation, free boundary problem

36.

Keynesian Macrodynamics and the Phillips Curve: An Estimated Baseline Macromodel for the U.S. Economy

Quantitative Finance Research Centre Research Paper Number No. 147
Number of pages: 57 Posted: 02 May 2006
Bielefeld University - Department of Business Administration and Economics, University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and The New School - Department of Economics
Downloads 121 (183,488)
Citation 1

Abstract:

AS-AD disequilibrium, wage and price Phillips curves, Okun's law, (in-)stability, persistent fluctuations, monetary policy

37.

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) - School of Finance and Economics
Downloads 121 (185,730)
Citation 10

Abstract:

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

38.

Method of Lines Approach for Pricing American Spread Options

Number of pages: 28 Posted: 11 Mar 2012
Carl Chiarella and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and UNSW Australia
Downloads 113 (177,984)

Abstract:

American Options, Method of Lines, Riccati Transformation

39.

The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method

Quantitative Finance Research Centre Research Paper No. 171
Number of pages: 23 Posted: 02 May 2006
Carl Chiarella and Chih-Ying Hsiao
University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 112 (194,137)
Citation 2

Abstract:

40.

Output, Financial Markets and Growth

University of Technology, School of Finance and Economics Working Paper No. 108
Number of pages: 24 Posted: 31 Jan 2006
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, Vienna University of Technology and The New School - Department of Economics
Downloads 112 (200,428)

Abstract:

41.

Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach

U. of Technology, Sydney Finance and Economics Working Paper No. 56
Number of pages: 33 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Australia Business School, School of Banking and Finance and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 111 (195,354)

Abstract:

42.

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 97 (203,057)

Abstract:

Commodity derivatives, Crude oil derivatives, Unspanned stochastic volatility, Hump-shaped volatility, Pricing, Hedging

43.

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) - School of Finance and Economics
Downloads 96 (208,566)
Citation 3

Abstract:

44.

Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model

UTS Finance and Economics Working Paper No. 139
Number of pages: 52 Posted: 12 Aug 2005
Toichiro Asada, Pu Chen, Carl Chiarella and Peter Flaschel
Chuo University, Bielefeld University - Department of Business Administration and Economics, University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 96 (218,735)
Citation 6

Abstract:

DAS-AD growth, wage and price Phillips curves, real interest effects, real wage effects, (in)stability, persistent cycles, inflation and deflation

45.

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) - School of Finance and Economics and University of Technology Sydney (UTS)
Downloads 90 (221,703)
Citation 1

Abstract:

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

46.

Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility

Quantitative Finance Research Centre Research Paper No. 283
Number of pages: 47 Posted: 22 Oct 2010
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 89 (231,188)
Citation 2

Abstract:

stochastic volatility, Heath-Jarrow-Morton model, defaultable forward rates, credit spreads

47.

A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets

U. of Technology, Sydney Finance and Economics Working Paper No. 43
Number of pages: 20 Posted: 21 Feb 2006
Carl Chiarella and Koji Okuguchi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and Gifu Shotoku Gakuen University - Economics
Downloads 89 (224,859)

Abstract:

48.

Particle Filters for Markov Switching Stochastic Volatility Models

Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 21 Posted: 23 Oct 2012
Yun Bao, Carl Chiarella and Boda Kang
affiliation not provided to SSRN, University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of York - Department of Mathematics
Downloads 86 (220,229)

Abstract:

particle filters, Markov switching stochastic volatility models, sequential Monte Carlo simulation

49.

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) - School of Finance and Economics and Business School of Sun Yat-sen Univerisity
Downloads 83 (208,566)

Abstract:

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

50.

Hedge Portfolios in Markets with Price Discontinuities

University of Technology Sydney Research Paper No. 218
Number of pages: 28 Posted: 12 May 2008
Gerald H. L. Cheang and Carl Chiarella
Nanyang Technological University - Business School and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 81 (248,571)

Abstract:

incomplete markets, equivalent martingale measure, compound Poisson processes, Radon-Nikodym derivative, multi-asset options, integro-partial differential equation

51.

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) - School of Finance and Economics
Downloads 77 (246,758)

Abstract:

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

52.

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications

Quantitative Finance Research Centre Research Paper No. 276
Number of pages: 24 Posted: 22 Oct 2010
Carl Chiarella and Chih-Ying Hsiao
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology, Sydney
Downloads 76 (254,279)

Abstract:

asset allocation, stochastic volatility, partial information problem, extended Kalman filter, the Heston model, CEV process

53.

Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives

University of Technology, Sydney, Finance and Economics Working Paper No. 85
Number of pages: 115 Posted: 13 Feb 2006
Carl Chiarella and Peter Flaschel
University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 73 (266,344)
Citation 1

Abstract:

supply side growth cycles, demand side fluctuations in employment and inflation, complete Keynesian models of growth and fluctuations, applicable integrated macrodynamics, macroeconomic model building

54.

A Modern View on Merton's Jump-Diffusion Model

Research Paper Number 287, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 14 Posted: 27 Oct 2012
Gerald H. L. Cheang and Carl Chiarella
Nanyang Technological University - Business School and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 72 (215,689)

Abstract:

financial derivatives, compound Poisson processes, equivalent martingale measure, hedging portfolio

55.

A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates

U. of Technology, Sydney Finance and Economics Working Paper No. 63
Number of pages: 29 Posted: 21 Feb 2006
Carl Chiarella and Nadima El-Hassan
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology, Sydney
Downloads 72 (266,344)
Citation 1

Abstract:

56.

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

Number of pages: 46 Posted: 16 Nov 2013 Last Revised: 14 Jul 2015
Carl Chiarella, Saskia ter Ellen, Xuezhong He and Eliza Wu
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Norges Bank, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 71 (270,514)

Abstract:

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

57.

Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach

UTS Working Paper No. 123
Number of pages: 26 Posted: 02 Feb 2006
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, Vienna University of Technology and The New School - Department of Economics
Downloads 70 (260,146)
Citation 2

Abstract:

real-financial interaction, higher-order local stability analysis, cascade of stable matricies, Tobin's average q, wage-price dynamics, Hopf bifurcation

58.

Two Stochastic Volatility Processes - American Option Pricing

University of Technology Sydney Quantitative Finance Research Centre Working Paper No. 292
Number of pages: 74 Posted: 11 Mar 2012
Carl Chiarella and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and UNSW Australia
Downloads 69 (243,127)

Abstract:

American Options, Fourier Transform, Laplace Transform, Method of Characteristics

59.

The Financial Instability Hypothesis: A Stochastic Microfoundation Framework

Number of pages: 28 Posted: 25 Mar 2010
Carl Chiarella and Corrado Di Guilmi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 68 (264,317)
Citation 3

Abstract:

Financial fragility, complex dynamics, stochastic aggregation

60.

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) - School of Finance and Economics and University of Technology Sydney (UTS)
Downloads 67 (262,215)

Abstract:

exchange rate, interest rate differential, heterogeneous expectations

61.

Bootstrap Results from the State Space from Representation of the Heath-Jarrow-Morton Model

U. of Technology, Sydney Finance and Economics Working Paper No. 66
Number of pages: 12 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Australia Business School, School of Banking and Finance and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 66 (270,514)

Abstract:

Stabilizing an Unstable Economy: On the Choice of Proper Policy Measures

Economics Discussion Paper No. 2009-50
Number of pages: 39 Posted: 18 Dec 2010
Chuo University, University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 36 (375,298)
Citation 1

Abstract:

Monetary Business Cycles, Portfolio Choice, (In-)Stability, Stabilizing Policy Measures

Stabilizing an Unstable Economy: On the Choice of Proper Policy Measures

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 4, 2010-21
Number of pages: 44 Posted: 18 Dec 2010
Chuo University, University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 29 (405,009)
Citation 1

Abstract:

Monetary business cycles, portfolio choice, (in-)stability, stabilizing policy measures

63.

The Fiscal Cost of Financial Instability

Number of pages: 31 Posted: 12 Feb 2011
Corrado Di Guilmi and Carl Chiarella
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 64 (270,514)
Citation 1

Abstract:

financial fragility, agent based model, fiscal policy, public deficit

64.

Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates

U. of Technology, Sydney Finance and Economics Working Paper No. 64
Number of pages: 24 Posted: 21 Feb 2006
Carl Chiarella and Alexander Khomin
University of Technology, Sydney - UTS Business School, Finance Discipline Group and affiliation not provided to SSRN
Downloads 64 (286,158)

Abstract:

65.

Pricing Range Notes within Wishart Affine Models

Number of pages: 36 Posted: 11 Aug 2013 Last Revised: 04 Jan 2014
Carl Chiarella, José Da Fonseca and Martino Grasselli
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Auckland University of Technology - Faculty of Business & Law and University of Padova - Department of Mathematics
Downloads 61 (254,279)
Citation 1

Abstract:

affine term structure models, Wishart models, Range Accrual Notes, model risk

66.

Price Flexibility and Debt Dynamics in a High Order AS-AD Model

U. of Technology, Sydney Finance and Economics Working Paper No. 109
Number of pages: 32 Posted: 05 Feb 2006
Carl Chiarella, Peter Flaschel and Willi Semmler Sr.
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and The New School - Department of Economics
Downloads 61 (286,158)

Abstract:

67.

Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations

Quantitative Finance Research Centre Research Paper Number No. 146
Number of pages: 33 Posted: 02 May 2006
Pu Chen, Carl Chiarella, Peter Flaschel and Hing Hung
Bielefeld University - Department of Business Administration and Economics, University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 60 (290,874)
Citation 2

Abstract:

DAS-DAD dynamics, wage and price Phillips curves, real interest effects, real wage effects, (in)stability, persistent business cycles, complex dynamics

68.

A Reconsideration of the Formal Minskyan Analysis: Microfundations, Endogenous Money and the Public Sector

Number of pages: 20 Posted: 22 Mar 2012 Last Revised: 09 Oct 2012
Carl Chiarella and Corrado Di Guilmi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 59 (281,554)

Abstract:

financial instability hypothesis, endogenous money, agent based modelling, complex dynamics

69.

Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation

UTS School of Finance and Economics Working Paper No. 97
Number of pages: 37 Posted: 21 Jan 2006
Carl Chiarella and Peter Flaschel
University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 59 (290,874)
Citation 1

Abstract:

structural macroeconomic models, housing, stability, investment cycles, debt accumulation, deflation

70.

Small Traders in Currency Futures Markets Format

Quantitative Finance Research Centre Research Paper No. 278
Number of pages: 24 Posted: 28 Jun 2010
Andreas Röthig and Carl Chiarella
Deutsche Bundesbank and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 58 (288,513)

Abstract:

currency futures, small traders, speculation, hedging

71.

Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics

UTs Working Paper No. 6
Number of pages: 24 Posted: 17 Feb 2006
Carl Chiarella
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 57 (298,148)
Citation 1

Abstract:

72.

The Return-Volatility Relation in Commodity Futures Markets

UNSW Business School Research Paper No. 2015 BFIN 05
Number of pages: 30 Posted: 13 Jun 2015
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 56 (203,057)

Abstract:

Return-volatility relation; Commodity futures returns; Gold futures volatility

73.

Keynesian AD-AS Vadis?

University of Sydney School of Finance and Economics Working Paper No. 151
Number of pages: 44 Posted: 17 Mar 2008
Chuo University, University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and affiliation not provided to SSRN
Downloads 56 (293,237)

Abstract:

AS-AD, wage and price Phillips curve, real wage dynamics, stability, monetary policy

74.

The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays

UTS Working Paper No. 11
Number of pages: 22 Posted: 22 Feb 2006
Carl Chiarella
University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 54 (308,474)

Abstract:

75.

Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation

UTS School of Finance and Economics Working Paper No. 127
Number of pages: 23 Posted: 21 Jan 2006
Carl Chiarella, Peter Flaschel and Willi Semmler Sr.
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and The New School - Department of Economics
Downloads 53 (311,241)

Abstract:

real-financial interactions, stability, Hopf-bifurcations, jump-variable methodology, phase diagram switches

76.

Credit Derivative Pricing with Stochastic Volatility Models

University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 293
Number of pages: 40 Posted: 23 Oct 2012
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 52 (300,660)

Abstract:

stochastic volatility, Heath-Jarrow-Morton framework, defaultable bond prices, credit spreads, CDS rates

77.

Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient

University of Technology, Sydney, Finance and Economics Working Paper No. 111
Number of pages: 38 Posted: 13 Feb 2006
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, Vienna University of Technology and The New School - Department of Economics
Downloads 51 (313,967)
Citation 2

Abstract:

real-financial interaction, stability, jump variable technique, expectations, phase diagram switching, persistent fluctuations, reaction coefficient, return differential

78.

Towards Applied Disequilibrium Growth Theory: VI. Substitution, Money-Holdings, Wealth-Effects and Further Extensions

UTS Business Working Paper No. 98
Number of pages: 57 Posted: 08 Feb 2006
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, affiliation not provided to SSRN, affiliation not provided to SSRN and The New School - Department of Economics
Downloads 49 (322,447)

Abstract:

79.

The Structure of Keynesian Macrodynamics: A Framework for Future Research

UTS Working Paper No. 129
Number of pages: 81 Posted: 27 Jan 2006
Carl Chiarella, Peter Flaschel and Peiyuan Zhu
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and University of Sydney
Downloads 49 (316,778)

Abstract:

80.

Output and the Term Structure of Interest Rates: Ways Out of the Jump-Variable Conundrum

UTS School of Finance and Economics Working Paper No. 125
Number of pages: 38 Posted: 21 Jan 2006
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, Vienna University of Technology and The New School - Department of Economics
Downloads 48 (325,391)
Citation 1

Abstract:

real-financial interaction, term structure of interest rates, jump variable technique, postulated stability, relaxation oscillations, phase diagram switching

81.

Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 41 Posted: 09 Sep 2013 Last Revised: 23 Aug 2014
Guanghua Lian, Carl Chiarella and Petko S. Kalev
University of South Australia - School of Commerce, University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of South Australia - Centre for Applied Financial Studies
Downloads 47 (290,874)

Abstract:

Variance swaps, Variance options, Stochastic volatility, Characteristic function

82.

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) - School of Finance and Economics and University of Technology Sydney (UTS) - Finance Discipline Group
Downloads 47 (290,874)

Abstract:

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

83.

Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market

U. of Technology, Sydney Finance and Economics Working Paper No. 112
Number of pages: 29 Posted: 31 Jul 2010
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, Vienna University of Technology and The New School - Department of Economics
Downloads 47 (300,660)

Abstract:

Real-financial interaction, Tobin's average q, wage-price dynamics, higher-order local stability analysis, Hopf bifuraction

84.

Monetary Policy and Debt Deflation: Some Computational Experiments

CAMA Working Paper 42/2013, July 2013, FIRN Research Paper
Number of pages: 28 Posted: 04 Jul 2013
Carl Chiarella and Corrado Di Guilmi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 45 (316,778)

Abstract:

Financial fragility, monetary policy, debt deflation, agent based modelling, complex dynamics

85.

Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios

Research Paper Number: 304, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 73 Posted: 17 Oct 2012
Carl Chiarella, Chi-Fai Lo and Ming Xi Huang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, The Chinese University of Hong Kong and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 42 (337,328)

Abstract:

credit risk, default correlations, default probabilities, first passage time

86.

Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model

University of Technology Sydney, Finance and Economics Working Paper No. 94
Number of pages: 43 Posted: 06 Feb 2006
Carl Chiarella and Peter Flaschel
University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 39 (353,393)

Abstract:

87.

Interacting Two-Country Business Fluctuations

U. of Technology, Sydney Finance and Economics Working Paper No. 128
Number of pages: 43 Posted: 26 Jan 2006
Chuo University, University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and Vienna University of Technology
Downloads 39 (353,393)

Abstract:

Interacting KWG economies, stability, persistent cycles, coupled oscillators

88.

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) - School of Finance and Economics
Downloads 34 (337,328)
Citation 2

Abstract:

89.

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) - School of Finance and Economics, Nanyang Technological University (NTU) - School of Humanities & Social Sciences and Nanyang Technological University (NTU) - Division of Economics
Downloads 33 (356,725)
Citation 1

Abstract:

estimation, heterogeneity, regime switching, boom and bust

90.

Disclosure Requirements, the Release of New Information and Market Efficiency: New Insights from Agent-Based Models

Economics Discussion Paper No. 2009-51
Number of pages: 27 Posted: 18 Dec 2010
Toichiro Asada, Carl Chiarella and Frank H. Westerhoff
Chuo University, University of Technology, Sydney - UTS Business School, Finance Discipline Group and affiliation not provided to SSRN
Downloads 33 (374,507)

Abstract:

Agent-based financial market models, market efficiency, release of new information, disclosure requirements, regulation of financial markets, Monte Carlo analysis

91.

Keynesian Monetary Growth Dynamics: The Missing Prototype

U. of Technology, Sydney Finance and Economics Working Paper No. 52
Number of pages: 65 Posted: 21 Feb 2006
Carl Chiarella and Peter Flaschel
University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 30 (390,308)
Citation 11

Abstract:

92.

Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution

University of Technology Sydney Finance, Economics Working Paper No. 99
Number of pages: 41 Posted: 06 Feb 2006
Carl Chiarella, Peter Flaschel and Willi Semmler Sr.
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and The New School - Department of Economics
Downloads 29 (386,163)

Abstract:

93.

Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model

UTS Working Paper No. 96
Number of pages: 60 Posted: 09 Feb 2006
Carl Chiarella, Peter Flaschel and Peiyuan Zhu
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics and University of Sydney
Downloads 27 (399,032)

Abstract:

structural macroeconomic models, decompositions, reintegration, feedback channels, stability basins

94.

Towards Applied Disequilibrium Growth Theory: I. The Starting Model

UTS Business Working Paper No. 93
Number of pages: 64 Posted: 08 Feb 2006
Carl Chiarella and Peter Flaschel
University of Technology, Sydney - UTS Business School, Finance Discipline Group and Bielefeld University - Department of Business Administration and Economics
Downloads 24 (417,971)

Abstract:

95.

Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices

Mathematical Finance, Vol. 15, No. 1, pp. 61-97, January 2005
Number of pages: 37 Posted: 30 Dec 2004
Volker Böhm and Carl Chiarella
Bielefeld University - Department of Business Administration and Economics and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 21 (428,081)
Citation 4

Abstract:

96.

Limit Distribution of Evolving Strategies in Financial Markets

Research Paper Number: 294, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 28 Posted: 23 Oct 2012
Carl Chiarella and Corrado Di Guilmi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 13 (469,371)
Citation 1

Abstract:

97.

Stock‐Flow Interactions, Disequilibrium Macroeconomics and the Role of Economic Policy

Journal of Economic Surveys, Vol. 25, Issue 3, pp. 569-599, 2011
Number of pages: 31 Posted: 20 May 2011
Chuo University, University of Technology, Sydney - UTS Business School, Finance Discipline Group, Bielefeld University - Department of Business Administration and Economics, affiliation not provided to SSRN, Bielefeld University and The New School - Department of Economics
Downloads 3 (521,539)

Abstract:

Demand drive distributive cycles, Fiscal policy measures, Portfolio choice, Real‐financial market interaction

98.

Stochastic Correlation and Risk Premia in Term Structure Models

Journal of Empirical Finance, Vol. 37, 2016
Posted: 29 Sep 2016
Carl Chiarella, Chih-Ying Hsiao and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of New South Wales, Sydney

Abstract:

term structure, stochastic correlation, risk premium, wishart, extended affine, multidimensional CIR

99.

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) - School of Finance and Economics, University of Technology Sydney (UTS) and Business School of Sun Yat-sen Univerisity
Downloads 0 (241,330)

Abstract:

stylized facts; noise trading; behavioral sentiment

100.

High Frequency Trading and Learning

Number of pages: 51 Posted: 28 Apr 2016
Jasmina Arifovic, Carl Chiarella, Xuezhong He and Lijian Wei
Simon Fraser University (SFU) - Department of Economics, University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and Business School of Sun Yat-sen Univerisity
Downloads 0 (134,673)

Abstract:

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

101.

Pricing American Options Under Regime Switching Using Method of Lines

Number of pages: 19 Posted: 11 Feb 2016
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 0 (256,165)

Abstract:

American option, regime switching, method of lines

102.

American Option Pricing Under Two Stochastic Volatility Processes

Applied Mathematics and Computation, Forthcoming
Posted: 02 Oct 2013
Jonathan Ziveyi and Carl Chiarella
UNSW Australia and University of Technology, Sydney - UTS Business School, Finance Discipline Group

Abstract:

American Options, Fourier Transform, Laplace Transform, Method of Characteristics

103.

The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching

Research Paper Number: 288, Quantitative Finance Research Centre, University of Technology, Sydney
Posted: 27 Oct 2012
Carl Chiarella, Les Clewlow and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Lacima and University of York - Department of Mathematics

Abstract:

gas sales agreement, swing contract, take-or-pay, make-up, carry forward, forward price curve, regime switching volatility, recombing pentanomial tree

104.

Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

Contemporary Quantitative Finance, Forthcoming
Posted: 12 Mar 2012
Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and UNSW Australia

Abstract:

105.

A Simulation Analysis of the Microstructure of Double Auction Markets

Quantitative Finance, Vol. 2, pp. 346-353, 2002
Posted: 09 Nov 2005
Giulia Iori and Carl Chiarella
City University London - Department of Economics and University of Technology, Sydney - UTS Business School, Finance Discipline Group

Abstract:

Other Papers (1)

Total Downloads: 3    Citations: 0
1.

A Survey of Non-Linear Methods for No-Arbitrage Bond Pricing

Quantitative Finance Research Centre Research Paper No. 277
Number of pages: 27 Posted: 29 Jun 2010
Carl Chiarella, Chih-Ying Hsiao and Ming Xi Huang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology, Sydney and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 3

Abstract: