Xuezhong He

Xi'an Jiaotong-Liverpool University (XJTLU)

111 Renai Road, SIP

Suzhou, JiangSu province 215123

China

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

Haymarket

Sydney, NSW 2007

Australia

SCHOLARLY PAPERS

51

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Scholarly Papers (51)

1.
Downloads 3,827 ( 3,379)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 3,827 (3,457)

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non-standard errors, multi-analyst approach, liquidity

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 Cars H. Hommes
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Xi'an Jiaotong-Liverpool University (XJTLU) and Government of Canada - Bank of Canada
Downloads 1,008 (29,138)
Citation 8

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

3.

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, Xi'an Jiaotong-Liverpool University (XJTLU), University of York (UK) and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 559 (64,284)
Citation 1

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4.

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
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School
Downloads 552 (65,313)
Citation 7

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Momentum, reversal, optimal asset allocation, performance

5.

Optimality of Momentum and Reversal

Number of pages: 52 Posted: 17 Jul 2014
Xuezhong He, Kai Li and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School
Downloads 493 (75,088)
Citation 2

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momentum, reversal, portfolio choice, optimality, profitability.

6.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and Business School of Sun Yat-sen Univerisity
Downloads 451 (83,618)
Citation 2

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

7.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie University
Downloads 402 (95,543)
Citation 1

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

8.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 377 (102,931)
Citation 16

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

9.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Tianjin University - College of Management and Economics
Downloads 344 (113,926)

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

10.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and University of Technology Sydney (UTS)
Downloads 232 (171,042)
Citation 2

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Flow toxicity, market instability, order imbalance, multidimensional uncertainty

11.

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, Xi'an Jiaotong-Liverpool University (XJTLU), Sun Yat-sen University (SYSU) - Lingnan (University) College and Tianjin University - College of Management and Economics
Downloads 215 (183,851)

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

12.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 213 (185,479)
Citation 4

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asset pricing, heterogeneous agents, technical analysis

13.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and Business School of Sun Yat-sen Univerisity
Downloads 185 (210,848)

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

14.

Time Series Momentum and Market Stability

Number of pages: 44 Posted: 06 Mar 2014
Xuezhong He and Kai Li
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie Business School, Macquarie University
Downloads 172 (224,478)
Citation 2

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

15.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie University
Downloads 152 (249,089)

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asset prices; heterogeneous beliefs; binomial trees; options;

16.

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
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University, University of Liège - HEC Liège and Macquarie University
Downloads 148 (254,554)
Citation 2

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

17.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 147 (255,903)

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Efficient markets; Behavioral finance; Decision theory; Information uncertainty

18.

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, Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie University and Business School of Sun Yat-sen Univerisity
Downloads 147 (255,903)

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stylized facts; noise trading; behavioral sentiment

19.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 145 (258,738)
Citation 8

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

20.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 130 (281,511)
Citation 5

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21.

Information Diffusion and Speed Competition

2019 Financial Markets & Corporate Governance Conference
Number of pages: 66 Posted: 05 Sep 2018 Last Revised: 13 Sep 2021
Xuezhong He and Junqing Kang
Xi'an Jiaotong-Liverpool University (XJTLU) and Sun Yat-sen University (SYSU) - Lingnan (University) College
Downloads 128 (284,852)
Citation 1

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

22.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School
Downloads 123 (293,494)
Citation 2

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

23.

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
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 119 (300,601)
Citation 2

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

24.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie University
Downloads 119 (300,601)

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

25.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School
Downloads 117 (304,214)

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

26.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and University of Technology Sydney (UTS)
Downloads 117 (304,214)
Citation 6

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

27.

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
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie University and China Institute for Actuarial Science, Central University of Finance and Economics, China
Downloads 114 (309,816)

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

28.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie University
Downloads 113 (311,725)

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

29.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 110 (317,587)

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

30.

Machine Learning and Speed in High-Frequency Trading

Number of pages: 50 Posted: 14 Jun 2021 Last Revised: 29 Nov 2021
Jasmina Arifovic, Xuezhong He and Lijian Wei
Simon Fraser University (SFU) - Department of Economics, Xi'an Jiaotong-Liverpool University (XJTLU) and Business School of Sun Yat-sen Univerisity
Downloads 101 (340,845)

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

31.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and The University of Sydney - Business School
Downloads 97 (345,345)
Citation 2

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

32.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 97 (345,345)
Citation 4

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

33.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie Business School, Macquarie University
Downloads 92 (357,119)
Citation 4

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

34.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and University of Technology Sydney (UTS)
Downloads 92 (357,119)
Citation 1

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exchange rate, interest rate differential, heterogeneous expectations

35.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and Tianjin University
Downloads 89 (364,681)
Citation 2

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Limit order book, asymmetric information, learning, information dissemination

36.

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
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie University and Ca Foscari University of Venice - Department of Management
Downloads 87 (369,666)

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

37.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie Business School, Macquarie University
Downloads 87 (369,666)
Citation 6

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

38.

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
Xi'an Jiaotong-Liverpool University (XJTLU), Sun Yat-sen University (SYSU) - Lingnan (University) College and Beijing Jiaotong University - School of Economics and Management
Downloads 77 (397,422)

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Exchange latency, high-frequency trading, speed hierarchy

39.

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, Gang Gong and Xuezhong He
affiliation not provided to SSRN, Tsinghua University - School of Economics & ManagementUniversity of Bielefeld and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 71 (415,596)

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open economy trilemma, macroeconomic stability, exchange rate regime

40.

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, Xi'an Jiaotong-Liverpool University (XJTLU), Nanyang Technological University (NTU) - School of Humanities & Social Sciences and Nanyang Technological University (NTU) - Division of Economics
Downloads 55 (471,879)
Citation 4

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estimation, heterogeneity, regime switching, boom and bust

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 52 (483,710)

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

42.

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
Xi'an Jiaotong-Liverpool University (XJTLU), Hull University Business School and China Institute for Actuarial Science, Central University of Finance and Economics, China
Downloads 50 (492,066)

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

43.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 49 (496,239)
Citation 1

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44.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 40 (537,575)
Citation 1

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

45.

Time-Varying Economic Dominance Through Bistable Dynamics

Number of pages: 37 Posted: 29 Jan 2018
Xuezhong He, Kai Li and Chuncheng Wang
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 27 (609,619)
Citation 1

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

46.

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 Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 12 (718,292)

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

47.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie University
Downloads 2 (799,866)
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Asset prices, Disagreement, Boundedly rational equilibrium, Zero‐beta CAPM, Equity premium and risk‐free rate puzzles

48.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie University
Downloads 1 (811,708)
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49.

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), Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Singapore Management University - Lee Kong Chian School of Business

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

50.

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
Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School

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

51.

Heterogeneity, Convergence, and Autocorrelations

Quantitative Finance, Vol. 8, No. 1, 2008
Posted: 17 Mar 2009
Xuezhong He and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU) 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: 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
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie University
Downloads 16

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