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Citations of
Xuezhong He

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series 186, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series 233, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  2. Carl Chiarella & Xue-Zhong He & Roberto Dieci & University of Technology Sydney, 2006. "A Dynamic Heterogeneous Beliefs CAPM," Computing in Economics and Finance 2006 181, Society for Computational Economics. [Downloadable!]

    Cited by:

    1. Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series 233, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  3. Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics. [Downloadable!]
    3. Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:

  5. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005. "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series 158, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    2. Asfaha, Samuel, 2007. "National Revenue Funds: Their Efficacy for Fiscal Stability and Intergenerational Equity," MPRA Paper 7656, University Library of Munich, Germany. [Downloadable!]

  6. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  7. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Bask, Mikael, 2007. "Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule," Research Discussion Papers 19/2007, Bank of Finland. [Downloadable!]
    2. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
    3. Zwart, G.J. de & Markwat, T.D. & Swinkels, L. & Dijk, D.J.C. van, 2007. "The Economic Value of Fundamental and Technical Information in Emerging Currency Markets," Research Paper ERS-2007-096-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
      Other versions:
    4. Verbic, Miroslav, 2006. "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper 1261, University Library of Munich, Germany. [Downloadable!]
    5. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  8. Peiyuan Zhu & Carl Chiarella & Tony He, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Computing in Economics and Finance 2003 31, Society for Computational Economics.
    Other versions:

    Cited by:

    1. Miroslav Verbic, 2008. "On the Role of Memory in an Asset Pricing Model with Heterogeneous Beliefs," Financial Theory and Practice, Institute of Public Finance, vol. 32(2), pages 195-229. [Downloadable!]
    2. Domenico Colucci & Vincenzo Valori, 2004. "Generalised Fading Memory Learning in a Cobweb Model: some evidence," Computing in Economics and Finance 2004 272, Society for Computational Economics. [Downloadable!]
    3. Verbic, Miroslav, 2006. "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper 1261, University Library of Munich, Germany. [Downloadable!]

  9. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Orlando Gomes, 2004. "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance 0409055, EconWPA. [Downloadable!]
    3. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    4. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Youwei Li & Bas Donkers, 2004. "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004 195, Society for Computational Economics. [Downloadable!]
      Other versions:
    6. Demary, Markus, 2006. "Transaction taxes, traders' behavior and exchange rate risks," Economics Working Papers 2006,14, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    7. Orlando Gomes, 2004. "Heterogeneous Researchers in a Two-Sector Representative Consumer Economy," GE, Growth, Math methods 0409009, EconWPA. [Downloadable!]
      Other versions:
    8. Demary, Markus, 2007. "A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes," Economics Working Papers 2007,27, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    9. Mikhail Anufriev & Giulio Bottazzi, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Traders," LEM Papers Series 2005/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    10. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]

  10. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series 53, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
      Other versions:
    2. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series 55, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Maciej K. Dudek, 2005. "Expectation Formation and Endogenous Fluctuations in Aggregate Demand," Computing in Economics and Finance 2005 263, Society for Computational Economics. [Downloadable!]
      Other versions:

  11. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    Other versions:

    Cited by:

    1. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series 53, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Orlando Gomes, 2004. "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance 0409055, EconWPA. [Downloadable!]
    5. Laurence Lasselle & Serge Svizzero & Clem Tisdell, 2007. " Stability and Cycles in a Cobweb Model with Heterogeneous Expectations," CDMA Working Paper Series 0706, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
      Other versions:
    6. Mikhail Anufriev & Giulio Bottazzi, 2004. "Asset Pricing Model with Heterogeneous Investment Horizons," LEM Papers Series 2004/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    7. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    8. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    9. Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics. [Downloadable!]
    10. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge. [Downloadable!]
    11. Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers 88, Sapienza University of Rome, Department of Public Economics. [Downloadable!]
      Other versions:
    12. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    13. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    14. Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series 89, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    15. Giulio Bottazzi & Mikhail Anufriev, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies," Computing in Economics and Finance 2005 375, Society for Computational Economics. [Downloadable!]
    16. Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 17-52, March. [Downloadable!] (restricted)
    17. Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer, vol. 22(2), pages 213-223, October. [Downloadable!] (restricted)
      Other versions:
    18. Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    19. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    20. Stefan Reitz & Frank Westerhoff, 2004. "Target Zone Interventions and Coordination of Expectations," Computing in Economics and Finance 2004 11, Society for Computational Economics. [Downloadable!]
    21. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    22. Anufriev, M., 2005. "Wealth-Driven Competition in a Speculative Financial Market: Examples With Maximizing Agents," CeNDEF Working Papers 05-17, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    23. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    24. Lux, Thomas & Schornstein, Sascha, 2003. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Economics Working Papers Economics working paper /, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
      Other versions:
    25. Maciej K. Dudek, 2005. "Expectation Formation and Endogenous Fluctuations in Aggregate Demand," Computing in Economics and Finance 2005 263, Society for Computational Economics. [Downloadable!]
      Other versions:
    26. Sergiy Gerasymchuk, 2008. "Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs," Working Papers 160, Department of Applied Mathematics, University of Venice. [Downloadable!]
    27. Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany. [Downloadable!]
    28. J.-H. Steffi Yang & Satchell, S.E., 2002. "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics 0219, Faculty of Economics, University of Cambridge. [Downloadable!]
    29. Mikhail Anufriev & Giulio Bottazzi, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Traders," LEM Papers Series 2005/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    30. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    31. Siddiqi, Hammad, 2006. "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper 657, University Library of Munich, Germany. [Downloadable!]

  12. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series 55, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Published as:

    Cited by:

    1. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series 53, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The non- and semiparametric analysis of MS models : some applications," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]
    3. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
      Other versions:
    4. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    5. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The econometric analysis of microscopic simulation models," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    6. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    7. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    8. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    9. Maciej K. Dudek, 2005. "Expectation Formation and Endogenous Fluctuations in Aggregate Demand," Computing in Economics and Finance 2005 263, Society for Computational Economics. [Downloadable!]
      Other versions:
    10. Lux, Thomas, 2006. "Financial power laws : empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    11. Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics. [Downloadable!]
      Other versions:
    12. Carl Chiarella & Xue-Zhong He & Peiyuan Zhu, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Research Paper Series 108, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    13. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    14. Smith, Peter, 2004. "Reworking the Standard Model of Competitive Markets: The Role of Fuzzy Logic and Genetic Algorithms in Modelling Complex Non-Linear Economic System," General Discussion Papers 30569, University of Manchester, Institute for Development Policy and Management (IDPM). [Downloadable!]
    15. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]

  13. Carl Chiarella & Xue-Zhong He, 2000. "Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning," Research Paper Series 37, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    2. Vivaldo M. Mendes & Diana A. Mendes, 2006. "Active Interest Rate Rules and the Role of Stabilization Policy R&D Tax Credits," Working Papers ercwp0208, ISCTE, UNIDE, Economics Research Centre. [Downloadable!]

  14. Carl Chiarella & Xue-Zhong He, 2000. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series 35, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
      Other versions:
    4. Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    6. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    7. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    8. Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics. [Downloadable!]
    9. Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers 88, Sapienza University of Rome, Department of Public Economics. [Downloadable!]
      Other versions:
    10. Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer, vol. 32(1), pages 55-72, September. [Downloadable!] (restricted)
    11. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    12. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    13. Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 17-52, March. [Downloadable!] (restricted)
    14. Miloslav Vošvrda & Lukáš Vácha, 2007. "Heterogeneous Agents Model with the Worst Out Algorithm," AUCO Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(1), pages 54-66, March. [Downloadable!]
      Other versions:
    15. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    16. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    17. William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008. [Downloadable!]
      Other versions:
    18. Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2009. "Smart predictors in the heterogeneous agent model," Journal of Economic Interaction and Coordination, Springer, vol. 4(2), pages 163-172, November. [Downloadable!] (restricted)
    19. Gomes, Orlando, 2007. "Consumer confidence, endogenous growth and endogenous cycles," MPRA Paper 2883, University Library of Munich, Germany. [Downloadable!]
    20. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    21. Hommes, C.H. & Huang, H. & Wang, D., 2002. "A Robust Rational Route to in a Simple Asset Pricing Model (revised March 2004)," CeNDEF Working Papers 02-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]

  15. Xue-Zhong He & Carl Chiarella, 1999. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999 223, Society for Computational Economics. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
      Other versions:
    4. Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. David Goldbaum, 2000. "Profitability And Market Stability: Fundamentals And Technical Trading Rules," Computing in Economics and Finance 2000 85, Society for Computational Economics. [Downloadable!]
    6. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    7. Orlando Gomes, 2004. "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance 0409055, EconWPA. [Downloadable!]
    8. Orlando Gomes, 2008. "Decentralized Allocation of Human Capital and Nonlinear Growth," Computational Economics, Springer, vol. 31(1), pages 45-75, February. [Downloadable!] (restricted)
      Other versions:
    9. Mikhail Anufriev & Giulio Bottazzi, 2004. "Asset Pricing Model with Heterogeneous Investment Horizons," LEM Papers Series 2004/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    10. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    11. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    12. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series 55, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    13. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    14. Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics. [Downloadable!]
    15. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge. [Downloadable!]
    16. Cars Hommes, 2005. "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers 05-055/1, Tinbergen Institute. [Downloadable!]
    17. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer, vol. 21(3), pages 257-276, June. [Downloadable!] (restricted)
    18. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    19. Orlando Gomes, . "Volatility, Heterogeneous Agents and Chaos," The Electronic Journal of Evolutionary Modeling and Economic Dynamics, IFReDE - Université Montesquieu Bordeaux IV. [Downloadable!]
      Other versions:
    20. Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers 88, Sapienza University of Rome, Department of Public Economics. [Downloadable!]
      Other versions:
    21. Hommes, C.H., 2001. "Modeling the stylized facts in finance through simple nonlinear adaptive systems," CeNDEF Working Papers 01-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    22. Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer, vol. 32(1), pages 55-72, September. [Downloadable!] (restricted)
    23. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    24. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    25. Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series 89, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    26. Giulio Bottazzi & Mikhail Anufriev, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies," Computing in Economics and Finance 2005 375, Society for Computational Economics. [Downloadable!]
    27. Lucy F. Ackert & Bryan K. Church & Ping Zhang, 2002. "Asset prices and informed traders' abilities: evidence from experimental asset markets," Working Paper 2002-26, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    28. Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 17-52, March. [Downloadable!] (restricted)
    29. Catherine Kyrtsou & Michel Terraza, 2000. "Is It Possible To Study Jointly Chaotic And Arch Behaviour? Application Of A Noisy Mackey-Glass Equation With Heteroskedastic Errors To The Paris Stock Exchange," Computing in Economics and Finance 2000 Z226, Society for Computational Economics. [Downloadable!]
    30. Verbic, Miroslav, 2006. "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper 1261, University Library of Munich, Germany. [Downloadable!]
    31. Miloslav Vošvrda & Lukáš Vácha, 2007. "Heterogeneous Agents Model with the Worst Out Algorithm," AUCO Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(1), pages 54-66, March. [Downloadable!]
      Other versions:
    32. Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer, vol. 22(2), pages 213-223, October. [Downloadable!] (restricted)
      Other versions:
    33. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Bifurcation Routes to Volatility Clustering under Evolutionary Learning," CeNDEF Working Papers 03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    34. Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    35. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    36. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    37. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Kiel Working Papers 1426, Kiel Institute for the World Economy. [Downloadable!]
    38. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    39. William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008. [Downloadable!]
      Other versions:
    40. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    41. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Quantitative Finance Papers nlin/0312040, arXiv.org. [Downloadable!]
    42. Lux, Thomas, 2006. "Financial power laws : empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    43. Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany. [Downloadable!]
    44. J.-H. Steffi Yang & Satchell, S.E., 2002. "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics 0219, Faculty of Economics, University of Cambridge. [Downloadable!]
    45. Hommes, C.H.,, 2005. "Heterogeneous Agents Models: two simple examples, forthcoming In: Lines, M. (ed.) Nonlinear Dynamical Systems in Economics, CISM Courses and Lectures, Springer, 2005, pp.131-164," CeNDEF Working Papers 05-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    46. Gomes, Orlando, 2007. "Consumer confidence, endogenous growth and endogenous cycles," MPRA Paper 2883, University Library of Munich, Germany. [Downloadable!]
    47. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    48. Hommes, C.H. & Huang, H. & Wang, D., 2002. "A Robust Rational Route to in a Simple Asset Pricing Model (revised March 2004)," CeNDEF Working Papers 02-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    49. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    50. Siddiqi, Hammad, 2006. "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper 657, University Library of Munich, Germany. [Downloadable!]

  16. Carl Chiarella & Xue-Zhong He, 1999. "The Dynamics of the Cobweb when Producers are Risk Averse Learners," Working Paper Series 90, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

    Cited by:

    1. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series 53, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    3. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series 55, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:
    4. Maciej K. Dudek, 2005. "Expectation Formation and Endogenous Fluctuations in Aggregate Demand," Computing in Economics and Finance 2005 263, Society for Computational Economics. [Downloadable!]
      Other versions:
    5. Carl Chiarella & Xue-Zhong He & Peiyuan Zhu, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Research Paper Series 108, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

Articles

  1. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor and Francis Journals, vol. 8(1), pages 59-79. [Downloadable!] (restricted)

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  2. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October. [Downloadable!] (restricted)

    Cited by:

    1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    3. Franke, Reiner, 2008. "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization," Economics Working Papers 2008,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    5. Franke, Reiner, 2008. "Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models," Economics Working Papers 2008,15, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    6. Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series 208, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  3. Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1729-1753. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. Chiarella, Carl & He, Xue-Zhong & Hung, Hing & Zhu, Peiyuan, 2006. "An analysis of the cobweb model with boundedly rational heterogeneous producers," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 750-768, December. [Downloadable!] (restricted)

    Cited by:

    1. Domenico Colucci & Vincenzo Valori, 2009. "Heterogeneous adaptive expectations and cobweb phenomena," DiMaD Working Papers 2009-01, Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze. [Downloadable!]
    2. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
      Other versions:

  6. He, Xue-Zhong & Westerhoff, Frank H., 2005. "Commodity markets, price limiters and speculative price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Chiarella, Carl & He, Xue-Zhong, 2003. "Dynamics of beliefs and learning under aL-processes -- the heterogeneous case," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 503-531, January. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Springer, vol. 19(1), pages 95-132, February. [Downloadable!]
    Other versions:

    See citations under working paper version above.

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