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Publications

by alumni of

University of Technology Sydney → Business School → Finance Discipline Group

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2024

  1. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.

2022

  1. Dean Buckner & Kevin Dowd & Hardy Hulley, 2022, "Arbitrage Problems with Reflected Geometric Brownian Motion," Papers, arXiv.org, number 2201.05312, Jan, revised Sep 2022.

2021

  1. Ulrich Hege & Elaine Hutson & Elaine Laing, 2021, "Mandatory governance reform and corporate risk management," Post-Print, HAL, number hal-03353022, Jun, DOI: 10.1016/j.jcorpfin.2021.101935.
  2. Marc Bohmann & Vinay Patel, 2021, "Practical Applications of Information Leakage in Energy Derivatives around News Announcements," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-3, Jan.
  3. Joshua A. Gurwitz & David M. Smith & Gerhard Van de Venter, 2021, "Municipal Bond Mutual Fund Performance and Active Share," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-2, Jan.
  4. Gerhard Hambusch & David Michayluk & Kevin Terhaar & Gerhard Van de Venter, 2021, "Differences in Ethical Perceptions of Insider Trading," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-1, Jan.

2020

  1. Xue-Zhong He & Junqing Kang & Xuan Zhou, 2020, "The Fast and the Furious: Exchange Latency and Ever-fast Trading," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 419, Dec.
  2. Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang, 2020, "The Economic Impact of Volatility Persistence on Energy Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 417, Dec.
  3. Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai, 2020, "Wind Generation and the Dynamics of Electricity Prices in Australia," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 416, Dec.
  4. Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020, "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 415, Dec.
  5. Marc Bohmann & Vinay Patel, 2020, "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-2, Jan.

2019

  1. Nhi N.Y.Vo & Xue-Zhong He & Shaowu Liu & Guandong Xu, 2019, "Deep Learning for Decision Making and the Optimization of Socially Responsible Investments and Portfolio," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2019-3, Jan.
  2. F. Douglas Foster & Xue-Zhong He & Junqing Kang & Shen Lin, 2019, "The Microstructure of Endogenous Liquidity Provision," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 402, Nov.
  3. Xue-Zhong He & Shen Lin, 2019, "Reinforcement Learning in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 403, Feb.
  4. Kristoffer Glover & Hardy Hulley, 2019, "Short Selling with Margin Risk and Recall Risk," Papers, arXiv.org, number 1903.11804, Mar.
  5. Hardy Hulley & Johannes Ruf, 2019, "Weak Tail Conditions for Local Martingales," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2019-2, Jan.
  6. Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019, "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 397, Jan.
  7. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019, "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 401, Jul.
  8. Nawaf Almaskati & Ron Bird & Yue Lu & Danny Leung, 2019, "The Role of Corporate Governance and Estimation Methods in Predicting Bankruptcy," Working Papers in Economics, University of Waikato, number 19/16, Jul.
  9. Nawaf Almaskati & Ron Bird & Yue Lu & Danny Leung, 2019, "Corporate Governance, Information Uncertainty and Market Reaction to Information Signals," Working Papers in Economics, University of Waikato, number 19/15, Jul.

2018

  1. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018, "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2018-1, Jan.
  2. Roberto Dieci & Xue-Zhong He, 2018, "Heterogeneous Agent Models in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 389, Jan.
  3. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018, "Time-Varying Economic Dominance Through Bistable Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 390, Jan.
  4. Xue-Zhong He & Lei Shi & Marco Tolotti, 2018, "Are We Better-off for Working Hard?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 391, Mar.
  5. Hege, Ulrich & Hutson, Elaine & Laing, Elaine, 2018, "The impact of mandatory governance changes on financial risk management," TSE Working Papers, Toulouse School of Economics (TSE), number 18-889, Feb.
  6. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018, "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 394, Oct.

2017

  1. Lijian Wei & Xiong Xiong & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2017, "The effect of genetic algorithm learning with a classifier system in limit order markets," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2017-3, Jan.
  2. Nihad Aliyev & Xue-Zhong He, 2017, "Ambiguous Market Making," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 383, May.

2016

  1. Xue-Zhong He & Lei Shi, 2016, "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2016-4, Jan.
  2. Nihad Aliyev & Xue-Zhong He, 2016, "Toward a General Model of Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 371, Apr.
  3. Xue-Zhong He & Huanhuan Zheng, 2016, "Trading Heterogeneity Under Information Uncertainty," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 373, Jul.
  4. Khurshid Ahmad & JingGuang Han & Elaine Hutson & Colm Kearney & Sha Liu, 2016, "Media-expressed negative tone and firm-level stock returns," Open Access publications, Research Repository, University College Dublin, number 10197/8208, Apr.
  5. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 367, Jan.
  6. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang, 2016, "Pricing American Options under Regime Switching Using Method of Lines," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 368, Feb.
  7. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 375, Sep.
  8. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 376, Sep.

2015

  1. Xue-Zhong He & Kai Li & Youwei Li, 2015, "Optimal Time Series Momentum," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 353, Jan.
  2. Xue-Zhong He & Youwei Li, 2015, "Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 354, Jan.
  3. Liya Chu & Xue-Zhong He & Kai Li & Jun Tu, 2015, "Market Sentiment and Paradigm Shifts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 356, Mar.
  4. Xue-Zhong He & Youwei Li, 2015, "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 364, Sep.
  5. Xue-Zhong He & Kai Li & Chuncheng Wan, 2015, "Volatility Clustering: A Nonlinear Theoretical Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 365, Nov.
  6. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015, "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 366, Dec.
  7. Carl Chiarella & Corrado Di Guilmi & Tianhao Zhi, 2015, "Modelling the "Animal Spirits" of Bank's Lending Behaviour," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 183, Aug.

2014

  1. Xue-Zhong He & Kai Li, 2014, "Time Series Momentum and Market Stability," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 341, Feb.
  2. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2014, "A Behavioural Model of Investor Sentiment in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 342, Feb.
  3. Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014, "Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 344, Mar.
  4. Kristoffer Glover & Hardy Hulley, 2014, "Optimal prediction of the last-passage time of a transient diffusion," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-5, Jan.
  5. Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi, 2014, "Position-Limit Design for the CSI 300 Futures Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 349, Jun.

2013

  1. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013, "Learning and Information Dissemination in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 333, Jun.
  2. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013, "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 335, Aug.
  3. Corrado Di Guilmi & Xue-Zhong He & Kai Li, 2013, "Herding, Trend Chasing and Market Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 337, Oct.
  4. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013, "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 336, Aug.
  5. Ryan Gibson & David Michayluk & Gerhard Van de Venter, 2013, "Financial risk tolerance: An analysis of unexplored factors," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-1, Jan.
  6. Abidin Kusno & Ron Bird & Danny Yeung, 2013, "Forecasting extreme performance: The experience with Australian equities," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-5, Jan.

2012

  1. He, Xue-Zhong & Treich, Nicolas, 2012, "Heterogeneous Beliefs and Prediction Market Accuracy," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 775, Aug.
  2. Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Performances of Optimal Portfolios," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 301, Mar.
  3. Xue-Zhong He & Lei Shi & Min Zheng, 2012, "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 302, Mar.
  4. Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Cross-Section of Asset Returns," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 303, Mar.
  5. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012, "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 315, Oct.
  6. Xue-Zhong He, 2012, "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 316, Oct.
  7. Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2012, "Alternative Term Structure Models for Reviewing Expectations Puzzles," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 305, Mar.
  8. Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To, 2012, "Humps in the Volatility Structure of the Crude Oil Futures Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 308, Jun.
  9. Danny Yeung & Paolo Pellizzari & Ron Bird & Sazali Abidin, 2012, "Diversification Versus Concentration ......... and the Winner Is?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 18, Sep.
  10. Ron Bird & Paolo Pellizzari & Danny Yeung & Paul Woolley, 2012, "The Strategic Implementation of an Investment Process in a Funds Management Firm," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 17, Sep.

2011

  1. Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011, "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 290, May.
  2. Xue-Zhong He & Kai Li, 2011, "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 291, Jun.
  3. Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011, "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 295, Aug.
  4. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2011, "Credit Derivative Pricing with Stochastic Volatility Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 293, Jul.
  5. Ron Bird & Daniel Choi & Danny Yeung, 2011, "Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 15, Sep.
  6. Ron Bird & Paolo Pellizzari & Danny Yeung, 2011, "Performance Implications of Active Management of Institutional Mutual Funds," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 13, Sep.
  7. Ron Bird & Krishna Reddy & Danny Yeung, 2011, "The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 14, Sep.

2010

  1. Xue-Zhong He & Min Zheng, 2010, "Dynamics of Moving Average Rules in a Continuous-time Financial Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 268, Jan.
  2. Xue-Zhong He & Lei Shi, 2010, "Differences in Opinion and Risk Premium," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 271, Feb.
  3. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010, "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 275, May.
  4. Hardy Hulley, 2010, "The Economic Plausibility of Strict Local Martingales in Financial Modelling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 279, Jun.
  5. Hardy Hulley & Martin Schweizer, 2010, "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 280, Jun.
  6. Elaine Hutson & Anthony O'Driscoll, 2010, "Firm-level exchange exposure in the Eurozone," Working Papers, Geary Institute, University College Dublin, number 200841, Apr.
  7. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010, "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 283, Aug.
  8. Ron Bird & Matthew Grosse & Danny Yeung, 2010, "The Market Response to Exploration, Resource and Reserve Announcements by Mining Companies: Australian Data," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 7, Apr.
  9. Ron Bird & Danny Yeung, 2010, "Institutional Ownership and IPO Performance: Australian Evidence," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 6, Apr.
  10. Ron Bird & Danny Yeung, 2010, "How Do Investors React Under Uncertainty?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 8, Apr.

2009

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009, "Alternative Defaultable Term Structure Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 242, Jan.
  2. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009, "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 3, Feb.
  3. Longbing Cao & Xue-Zhong He, 2009, "Developing actionable trading agents," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-5, Jan.
  4. Min Zheng & Duo Wang & Xue-Zhong He, 2009, "Asymmetry of technical analysis and market price volatility," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-6, Jan.
  5. Carl Chiarella & Xue-Zhong He & Min Zheng, 2009, "Heterogeneous Expectations and Exchange Rate Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 243, Jan.
  6. Xue-Zhong He & Lei Shi, 2009, "Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 244, Jan.
  7. Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009, "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 251, Jul.
  8. Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng, 2009, "Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 252, Jul.
  9. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009, "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 254, Aug.
  10. Hardy Hulley & Eckhard Platen, 2009, "A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 263, Nov.
  11. Scott Walker & Graham Partington, 2009, "A market valuation for Optus pre-listing: A case note," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-4, Jan.

2008

  1. Nicola Bruti-Liberati & Eckhard Platen, 2008, "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 222, Jun.
  2. Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008, "Insights into the Market Impact of Different Investment Styles," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 1, May.
  3. Ron Bird & Lorenzo Casavecchia, 2008, "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 2, May.
  4. G Gong & J Gao & Xue-Zhong He, 2008, "Exchange Rate Regime and Monetary Policy: A Proposal for Small and Less Developed Economies," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2008-3, Jan.
  5. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008, "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 231, Sep.
  6. Xue-Zhong He & Lei Shi, 2008, "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 233, Oct.
  7. Eckhard Platen & Hardy Hulley, 2008, "Hedging for the Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 214, Feb.
  8. Hardy Hulley & Thomas A. McWalter, 2008, "Quadratic Hedging of Basis Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 225, Jun.
  9. Hardy Hulley & Eckhard Platen, 2008, "A Visual Classification of Local Martingales," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 238, Dec.
  10. Elaine Hutson & Darragh Mahony, 2008, "Do private equity buyouts represent value for target shareholders? Premiums in the boom of the early 2000s," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1153, Apr.
  11. Eckhard Platen & Lei Shi, 2008, "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 234, Oct.

2007

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007, "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 198, Jun.
  2. Jian Gao & Gang Gong & Xue-Zhong He, 2007, "Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 199, Jul.
  3. Carl Chiarella & Xue-Zhong He & Min Zheng, 2007, "The Stochastic Dynamics of Speculative Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 208, Dec.
  4. Hardy Hulley & Eckhard Platen, 2007, "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 203, Oct.
  5. James McCulloch & Vladimir Kazakov, 2007, "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 201, Sep.
  6. David Michayluk & Gerhard Van de Venter, 2007, "Subjectivity in Judgments: Further Evidence from the Financial Planning Industry," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2007-3, Jan.

2006

  1. Nicola Bruti-Liberati & Eckhard Platen, 2006, "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 176, May.
  2. Nicola Bruti-Liberati & Eckhard Platen, 2006, "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 179, Jul.
  3. Ron Bird & Lorenzo Casavecchia, 2006, "Insights into the Momentum Life Cycle for European Stocks," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2006-3, Jan.
  4. Carl Chiarella & Roberto Dieci & Tony He, 2006, "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 108, Jul.
  5. Carl Chiarella & Xue-Zhong He & Roberto Dieci & University of Technology Sydney, 2006, "A Dynamic Heterogeneous Beliefs CAPM," Computing in Economics and Finance 2006, Society for Computational Economics, number 181, Jul.
  6. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006, "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 186, Oct.

2005

  1. Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 157, Apr.
  2. Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Pure Jump Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 164, Jul.
  3. Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005, "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 156, Apr.
  4. Youwei Li & Xue-Zhong He, 2005, "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005, Society for Computational Economics, number 113, Nov.
  5. Youwei Li & Xue-Zhong (Tony) He, 2005, "Heterogeneity, Profitability and Autocorrelations," Computing in Economics and Finance 2005, Society for Computational Economics, number 244, Nov.
  6. Ron Bird & Xue-Zhong He & Satish Thosar & Paul Woolley, 2005, "Momentum and index investing: implications for market efficiency," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2005-4, Jan.
  7. Ron Bird & Xue-Zhong He & Satish Thosar & Paul Woolley, 2005, "The case for market inefficiency: Investment style and market pricing," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2005-5, Jan.
  8. Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005, "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 158, May.
  9. Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005, "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 162, Aug.
  10. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005, "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 166, Sep.
  11. Hardy Hulley & Shane Miller & Eckhard Platen, 2005, "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 155, Mar.
  12. Elaine Hutson & Simon Stevenson, 2005, "The Distributional Characteristics of REIT Returns," ERES, European Real Estate Society (ERES), number eres2005_201, Jan.
  13. James McCulloch, 2005, "Relative Volume as a Doubly Stochastic Binomial Point Process," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 146, Jan.
  14. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005, "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 167, Sep.

2004

  1. Nicola Bruti Liberati & Eckhard Platen, 2004, "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 114, Jan.
  2. Chiarella, C. & He, X.-Z. & Hommes, C.H., 2004, "A Dynamic Analysis of Moving Average Rules," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 04-14.
  3. Xue-Zhong He & Frank H. Westerhoff, 2004, "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 136, Oct.
  4. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004, "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 141, Nov.
  5. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004, "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 142, Nov.
  6. Margaret Lynch & Elaine Hutson & Max Stevenson, 2004, "Are fund of hedge fund returns asymmetric?," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1124.
  7. Teresa Hogan & Elaine Hutson, 2004, "What factors determine the use of venture capital? Evidence from the Irish software sector," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1141.
  8. Teresa Hogan & Elaine Hutson, 2004, "Capital structure in new technology-based firms : evidence from the Irish software sector," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1166.
  9. Teresa Hogan & Elaine Hutson, 2004, "Is there a high technology pecking order? An investigation of the capital structure of NTBFs in the Irish software sector," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1170, Sep.
  10. Emily Denvir & Elaine Hutson, 2004, "The performance and diversification benefits of funds of hedge funds," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1179.
  11. Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004, "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 135, Oct.
  12. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004, "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 132, Sep.

2003

  1. 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, Society for Computational Economics, number 31, Aug.
  2. Xue-Zhong He, 2003, "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 95, Jun.
  3. Elaine Hutson, 2003, "The early managed fund industry : investment trusts in 19th century Britain," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1143, Sep.
  4. Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003, "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003, Society for Computational Economics, number 201, Aug.

2002

  1. Carl Chiarella & Tony He, 2002, "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002, Society for Computational Economics, number 135, Jul.
  2. Frank Barry & Aoife Hannan & Elaine Hutson & Colm Kearney, 2002, "Competitiveness implications for Ireland of EU enlargement," Working Papers, School of Economics, University College Dublin, number 200224, Sep.

2001

  1. Xue-Zhong (Tony) He & Carl Chiarella, 2001, "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 5A.2, Jan.
  2. Carl Chiarella and Xue-Zhong He, 2001, "A Non-Stationary Asset Pricing Model under Heterogeneous Expectations," Computing in Economics and Finance 2001, Society for Computational Economics, number 39, Apr.
  3. Carl Chiarella & Xue-Zhong He, 2001, "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 53, Jun.
  4. Carl Chiarella & Xue-Zhong He, 2001, "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 55, Jun.
  5. Geyser, J.M. & van de Venter, T.W.G., 2001, "Hedging Maize Yield With Weather Derivatives," Working Papers, University of Pretoria, Department of Agricultural Economics, Extension and Rural Development, number 18067, DOI: 10.22004/ag.econ.18067.

2000

  1. Carl Chiarella & Xue-Zhong He, 2000, "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 35, Mar.
  2. Carl Chiarella & Xue-Zhong He, 2000, "Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 37, Mar.
  3. Gerhard Van de Venter, 2000, "Backtesting historical simulation value-at-risk for a selected portfolio of South African bonds," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2000-2, Jan.

1999

  1. Xue-Zhong He & Carl Chiarella, 1999, "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999, Society for Computational Economics, number 223, Mar.
  2. Carl Chiarella & Xue-Zhong He, 1999, "The Dynamics of the Cobweb when Producers are Risk Averse Learners," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 90, Sep.
  3. Scott Walker & Graham Partington, 1999, "The value of dividends: Evidence from cum-dividend trading in the ex-dividend period," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1999-1, Jan.

1994

  1. Elaine Hutson & Graham Partington, 1994, "Takeover Bids, Share Prices, and the Expected Value Hypothesis," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 36, Apr.

Journal articles

2025

  1. Zhou, Xuan & Lin, Shen & He, Xue-Zhong, 2025, "Reinforcement learning and rational expectations equilibrium in limit order markets," Journal of Economic Dynamics and Control, Elsevier, volume 172, issue C, DOI: 10.1016/j.jedc.2024.104991.
  2. M. Sipke Dom & Clint Howard & Maarten Jansen & Harald Lohre, 2025, "Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction," Quantitative Finance, Taylor & Francis Journals, volume 25, issue 3, pages 403-419, March, DOI: 10.1080/14697688.2025.2468268.
  3. Clint Howard & Harald Lohre & Sebastiaan Mudde, 2025, "Causal Network Representations in Factor Investing," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., volume 32, issue 1, March, DOI: 10.1002/isaf.70001.

2024

  1. David Blitz & Mike Chen & Clint Howard & Harald Lohre, 2024, "3D Investing: Jointly Optimizing Return, Risk, and Sustainability," Financial Analysts Journal, Taylor & Francis Journals, volume 80, issue 3, pages 59-75, July, DOI: 10.1080/0015198X.2024.2335142.
  2. Clint Howard, 2024, "Choices Matter When Training Machine Learning Models for Return Prediction," Financial Analysts Journal, Taylor & Francis Journals, volume 80, issue 4, pages 81-107, October, DOI: 10.1080/0015198X.2024.2388024.
  3. Dean Buckner & Kevin Dowd & Hardy Hulley, 2024, "How suitable are equity release mortgages as investments for pension funds?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, volume 49, issue 2, pages 259-269, April, DOI: 10.1057/s41288-024-00316-1.
  4. Dean Buckner & Kevin Dowd & Hardy Hulley, 2024, "Arbitrage problems with reflected geometric Brownian motion," Finance and Stochastics, Springer, volume 28, issue 1, pages 1-26, January, DOI: 10.1007/s00780-023-00525-x.
  5. Hardy Hulley & Leo Liu & Kenny Phua, 2024, "Investor Search and Asset Prices," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 14, issue 04, pages 1-33, December, DOI: 10.1142/S2010139224500149.

2023

  1. Aliyev, Nihad & He, Xue-Zhong, 2023, "Ambiguous price formation," Journal of Mathematical Economics, Elsevier, volume 106, issue C, DOI: 10.1016/j.jmateco.2023.102842.
  2. Dean BUCKNER & Kevin DOWD & Hardy HULLEY, 2023, "A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages," JODE - Journal of Demographic Economics, Cambridge University Press, volume 89, issue 3, pages 349-372, September, DOI: 10.1017/dem.2023.6.

2022

  1. Lorenzo Casavecchia & Gerhard Hambusch & Justin Hitchen, 2022, "The impact of analyst forecast errors on fundamental indexation: the Australian evidence," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 5, pages 400-418, September, DOI: 10.1057/s41260-022-00276-y.
  2. Arifovic, Jasmina & He, Xue-zhong & Wei, Lijian, 2022, "Machine learning and speed in high-frequency trading," Journal of Economic Dynamics and Control, Elsevier, volume 139, issue C, DOI: 10.1016/j.jedc.2022.104438.
  3. He, Xue-Zhong & Lin, Shen, 2022, "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, volume 144, issue C, DOI: 10.1016/j.jedc.2022.104497.
  4. He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022, "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, volume 203, issue C, pages 125-149, DOI: 10.1016/j.jebo.2022.05.029.
  5. Liya Chu & Xue-Zhong He & Kai Li & Jun Tu, 2022, "Investor Sentiment and Paradigm Shifts in Equity Return Forecasting," Management Science, INFORMS, volume 68, issue 6, pages 4301-4325, June, DOI: 10.1287/mnsc.2020.3834.
  6. Kristoffer Glover & Hardy Hulley, 2022, "Financially constrained index futures arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 9, pages 1688-1703, September, DOI: 10.1002/fut.22293.
  7. Kristoffer Glover & Hardy Hulley, 2022, "Short Selling With Margin Risk And Recall Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 02, pages 1-33, March, DOI: 10.1142/S0219024922500078.
  8. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022, "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100248.
  9. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Rai, Alan & Konstandatos, Otto, 2022, "Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106372.
  10. Marc J. M. Bohmann & Vinay Patel, 2022, "Informed options trading prior to FDA announcements," Journal of Business Finance & Accounting, Wiley Blackwell, volume 49, issue 7-8, pages 1211-1236, July, DOI: 10.1111/jbfa.12600.

2021

  1. Roberto Dieci & Xue-Zhong He, 2021, "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 727-754, December, DOI: 10.1007/s10203-021-00348-5.
  2. Hege, Ulrich & Hutson, Elaine & Laing, Elaine, 2021, "Mandatory governance reform and corporate risk management," Journal of Corporate Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.jcorpfin.2021.101935.
  3. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021, "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, volume 103, issue C, DOI: 10.1016/j.eneco.2021.105547.
  4. Walker, Scott, 2021, "Post-split underreaction: The importance of prior split history," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101945.
  5. Almaskati, Nawaf & Bird, Ron & Yeung, Danny & Lu, Yue, 2021, "A horse race of models and estimation methods for predicting bankruptcy," Advances in accounting, Elsevier, volume 52, issue C, DOI: 10.1016/j.adiac.2021.100513.
  6. Susan Thorp & Ron Bird & F Douglas Foster & Jack Gray & Adrian Raftery & Danny CS Yeung, 2021, "Experiences of current and former members of self-managed superannuation funds," Australian Journal of Management, Australian School of Business, volume 46, issue 2, pages 304-325, May, DOI: 10.1177/0312896220936338.

2020

  1. Blake Loriot & Elaine Hutson & Hue Hwa Au Yong, 2020, "Equity-linked executive compensation, hedging and foreign exchange exposure: Australian evidence," Australian Journal of Management, Australian School of Business, volume 45, issue 1, pages 72-93, February, DOI: 10.1177/0312896219830158.
  2. Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020, "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104743.
  3. Patel, Vinay & Putniņš, Tālis J. & Michayluk, David & Foley, Sean, 2020, "Price discovery in stock and options markets," Journal of Financial Markets, Elsevier, volume 47, issue C, DOI: 10.1016/j.finmar.2019.100524.
  4. Gan, Baoqing & Alexeev, Vitali & Bird, Ron & Yeung, Danny, 2020, "Sensitivity to sentiment: News vs social media," International Review of Financial Analysis, Elsevier, volume 67, issue C, DOI: 10.1016/j.irfa.2019.101390.

2019

  1. Casavecchia, Lorenzo & Ge, Chanyuan, 2019, "Jack of all trades versus specialists: Fund family specialization and mutual fund performance," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 69-85, DOI: 10.1016/j.irfa.2019.01.013.
  2. He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019, "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, volume 62, issue C, pages 135-149, DOI: 10.1016/j.irfa.2018.11.016.
  3. Xue-Zhong He, 2019, "Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic Modelling and Econometrics in Economics and Finance 18," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 4, pages 1397-1401, April, DOI: 10.1007/s10614-018-9817-6.
  4. Hutson, Elaine & Laing, Elaine & Ye, Min, 2019, "Mutual fund ownership and foreign exchange risk in Chinese firms," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 60, issue C, pages 169-192, DOI: 10.1016/j.intfin.2018.12.012.
  5. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019, "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 1, pages 109-127, January, DOI: 10.1002/fut.21954.
  6. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019, "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, volume 54, issue C, pages 118-131, DOI: 10.1016/j.pacfin.2018.12.007.
  7. Marc J. M. Bohmann & David Michayluk & Vinay Patel, 2019, "Price discovery in commodity derivatives: Speculation or hedging?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 9, pages 1107-1121, September, DOI: 10.1002/fut.22021.
  8. Aman, Hiroyuki & Beekes, Wendy & Berkman, Henk & Bohmann, Marc & Bradbury, Michael & Chapple, Larelle & Chang, Millicent & Clout, Victoria & Faff, Robert & Han, Jianlei & Hillier, David & Hodgson, All, 2019, "Responsible science: Celebrating the 50-year legacy of Ball and Brown (1968) using a registration-based framework," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 129-150, DOI: 10.1016/j.pacfin.2019.05.002.
  9. David Michayluk & Scott Walker & Karyn Neuhauser, 2019, "Dividend Consistency: Rewards, Learning, and Expectations," Journal of Applied Corporate Finance, Morgan Stanley, volume 31, issue 4, pages 118-128, December, DOI: 10.1111/jacf.12381.
  10. David Michayluk & Karyn Neuhauser & Scott Walker, 2019, "Are all dividends created equal? Australian evidence using dividend‐increase track records," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 59, issue 4, pages 2621-2643, December, DOI: 10.1111/acfi.12303.

2018

  1. Casavecchia, Lorenzo & Hulley, Hardy, 2018, "Are mutual fund investors paying for noise?," International Review of Financial Analysis, Elsevier, volume 58, issue C, pages 8-23, DOI: 10.1016/j.irfa.2018.04.002.
  2. Casavecchia, Lorenzo & Loudon, Geoffrey F. & Wu, Eliza, 2018, "What moves benchmark money market rates? Evidence from the BBSW market," Pacific-Basin Finance Journal, Elsevier, volume 51, issue C, pages 137-154, DOI: 10.1016/j.pacfin.2018.06.005.
  3. He, Xue-Zhong & Li, Kai & Li, Youwei, 2018, "Asset allocation with time series momentum and reversal," Journal of Economic Dynamics and Control, Elsevier, volume 91, issue C, pages 441-457, DOI: 10.1016/j.jedc.2018.02.004.
  4. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018, "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 148-166, DOI: 10.1016/j.jbankfin.2017.05.012.
  5. Ron Bird & F. Douglas Foster & Jack Gray & Adrian M Raftery & Susan Thorp & Danny Yeung, 2018, "Who starts a self-managed superannuation fund and why?," Australian Journal of Management, Australian School of Business, volume 43, issue 3, pages 373-403, August, DOI: 10.1177/0312896217747331.

2017

  1. Lorenzo Casavecchia & Ja Young Suh, 2017, "Managerial incentives for risk-taking and internal capital allocation," Australian Journal of Management, Australian School of Business, volume 42, issue 3, pages 428-461, August, DOI: 10.1177/0312896216652181.
  2. He, Xue-Zhong & Shi, Lei, 2017, "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 64-79, DOI: 10.1016/j.jbankfin.2016.11.001.
  3. He, Xue-Zhong & Treich, Nicolas, 2017, "Prediction market prices under risk aversion and heterogeneous beliefs," Journal of Mathematical Economics, Elsevier, volume 70, issue C, pages 105-114, DOI: 10.1016/j.jmateco.2017.02.005.
  4. Xue-Zhong He & Youwei Li, 2017, "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, volume 27, issue 5, pages 1071-1094, November, DOI: 10.1007/s00191-017-0505-9.
  5. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2017, "A behavioural model of investor sentiment in limit order markets," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 1, pages 71-86, January, DOI: 10.1080/14697688.2016.1184756.
  6. Xue-Zhong He & Eva Lütkebohmert & Yajun Xiao, 2017, "Rollover risk and credit risk under time-varying margin," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 3, pages 455-469, March, DOI: 10.1080/14697688.2016.1203071.
  7. Teresa Hogan & Elaine Hutson & Paul Drnevich, 2017, "Drivers of External Equity Funding in Small High‐Tech Ventures," Journal of Small Business Management, Taylor & Francis Journals, volume 55, issue 2, pages 236-253, April, DOI: 10.1111/jsbm.12270.
  8. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017, "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 53-67, DOI: 10.1016/j.jbankfin.2017.07.006.
  9. Ron Bird & Xiaojun Gao & Danny Yeung, 2017, "Time-series and cross-sectional momentum strategies under alternative implementation strategies," Australian Journal of Management, Australian School of Business, volume 42, issue 2, pages 230-251, May, DOI: 10.1177/0312896215619965.

2016

  1. Casavecchia, Lorenzo & Tiwari, Ashish, 2016, "Cross trading by investment advisers: Implications for mutual fund performance," Journal of Financial Intermediation, Elsevier, volume 25, issue C, pages 99-130, DOI: 10.1016/j.jfi.2015.06.001.
  2. Lorenzo Casavecchia, 2016, "Fund managers’ herding and mutual fund governance," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 12, issue 3, pages 242-276, June, DOI: 10.1108/IJMF-12-2014-0197.
  3. Casavecchia, Lorenzo, 2016, "Fund managers' herding and the sensitivity of fund flows to past performance," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 205-221, DOI: 10.1016/j.irfa.2016.07.006.
  4. He, Xue-Zhong & Li, Kai & Wang, Chuncheng, 2016, "Volatility clustering: A nonlinear theoretical approach," Journal of Economic Behavior & Organization, Elsevier, volume 130, issue C, pages 274-297, DOI: 10.1016/j.jebo.2016.07.020.
  5. He, Xue-Zhong & Zheng, Huanhuan, 2016, "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, volume 130, issue C, pages 64-80, DOI: 10.1016/j.jebo.2016.07.001.
  6. Ahmad, Khurshid & Han, JingGuang & Hutson, Elaine & Kearney, Colm & Liu, Sha, 2016, "Media-expressed negative tone and firm-level stock returns," Journal of Corporate Finance, Elsevier, volume 37, issue C, pages 152-172, DOI: 10.1016/j.jcorpfin.2015.12.014.
  7. Alexey Akimov & Elaine Hutson & Simon Stevenson, 2016, "The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 22, issue 1, pages 1-17, January, DOI: 10.1080/10835547.2016.12089976.
  8. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016, "The Return–Volatility Relation in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 2, pages 127-152, February.
  9. Patel, Vinay & Michayluk, David, 2016, "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 202-214, DOI: 10.1016/j.irfa.2016.03.004.
  10. Shi, Lei, 2016, "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, volume 65, issue C, pages 30-46, DOI: 10.1016/j.jedc.2016.02.002.

2015

  1. Cathline Augustiani & Lorenzo Casavecchia & Jack Gray, 2015, "Managerial Sharing, Mutual Fund Connections, and Performance," International Review of Finance, International Review of Finance Ltd., volume 15, issue 3, pages 427-455, September.
  2. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015, "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 245-268, DOI: 10.1016/j.jedc.2015.09.013.
  3. He, Xue-Zhong & Li, Youwei, 2015, "Testing of a market fraction model and power-law behaviour in the DAX 30," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 1-17, DOI: 10.1016/j.jempfin.2015.01.001.
  4. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015, "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 19-34, DOI: 10.1016/j.jempfin.2014.11.003.
  5. He, Xue-Zhong & Li, Kai, 2015, "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 140-157, DOI: 10.1016/j.jbankfin.2014.12.017.
  6. Hardy Hulley & Thomas A. McWalter, 2015, "Quadratic Hedging of Basis Risk," JRFM, MDPI, volume 8, issue 1, pages 1-20, February.
  7. Martin Bugeja & Vinay Patel & Terry Walter, 2015, "The microstructure of Australian takeover announcements," Australian Journal of Management, Australian School of Business, volume 40, issue 1, pages 161-188, February, DOI: 10.1177/0312896213517247.
  8. Wei, Lijian & Zhang, Wei & Xiong, Xiong & Shi, Lei, 2015, "Position limit for the CSI 300 stock index futures market," Economic Systems, Elsevier, volume 39, issue 3, pages 369-389, DOI: 10.1016/j.ecosys.2015.01.003.
  9. Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015, "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 55, issue 1, pages 1-27, March.

2014

  1. Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai, 2014, "Herding, trend chasing and market volatility," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 349-373, DOI: 10.1016/j.jedc.2014.07.008.
  2. Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014, "Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500," Journal of Economic Behavior & Organization, Elsevier, volume 105, issue C, pages 1-16, DOI: 10.1016/j.jebo.2014.03.003.
  3. Ye, Min & Hutson, Elaine & Muckley, Cal, 2014, "Exchange rate regimes and foreign exchange exposure: The case of emerging market firms," Emerging Markets Review, Elsevier, volume 21, issue C, pages 156-182, DOI: 10.1016/j.ememar.2014.09.001.
  4. Hutson, Elaine & Laing, Elaine, 2014, "Foreign exchange exposure and multinationality," Journal of Banking & Finance, Elsevier, volume 43, issue C, pages 97-113, DOI: 10.1016/j.jbankfin.2014.03.002.
  5. Simon Stevenson & Alexey Akimov & Elaine Hutson & Alexandra Krystalogianni, 2014, "Concordance in Global Office Market Cycles," Regional Studies, Taylor & Francis Journals, volume 48, issue 3, pages 456-470, March, DOI: 10.1080/00343404.2013.799763.
  6. David Michayluk & Karyn Neuhauser & Scott Walker, 2014, "Are Certain Dividend Increases Predictable? The Effect of Repeated Dividend Increases on Market Returns," Journal of Applied Corporate Finance, Morgan Stanley, volume 26, issue 4, pages 118-126, December.
  7. Ron Bird & Daniel Choi & Danny Yeung, 2014, "Market uncertainty, market sentiment, and the post-earnings announcement drift," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 1, pages 45-73, July, DOI: 10.1007/s11156-013-0364-x.
  8. Ron Bird & Krishna Reddy & Danny Yeung, 2014, "The relationship between uncertainty and the market reaction to information: Is it influenced by stock-specific characteristics?," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, volume 4, issue 2, pages 113-132.

2013

  1. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013, "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, volume 9, issue 2, pages 185-215, May, DOI: 10.1007/s10436-012-0215-0.
  2. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013, "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, volume 23, issue 3, pages 609-639, July, DOI: 10.1007/s00191-011-0233-5.
  3. Carl Chiarella & Xue-Zhong He & Min Zheng, 2013, "Heterogeneous expectations and exchange rate dynamics," The European Journal of Finance, Taylor & Francis Journals, volume 19, issue 5, pages 392-419, May, DOI: 10.1080/1351847X.2011.601690.
  4. Hardy Hulley & Rebecca Mckibbin & Andreas Pedersen & Susan Thorp, 2013, "Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement," The Economic Record, The Economic Society of Australia, volume 89, issue 284, pages 31-51, March, DOI: 10.1111/ecor.2013.89.issue-284.
  5. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013, "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, volume 40, issue C, pages 989-1000, DOI: 10.1016/j.eneco.2013.05.019.
  6. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013, "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 04, pages 1-28, DOI: 10.1142/S0219024913500192.
  7. Eckhard Platen & Lei Shi, 2013, "On the numerical stability of simulation methods for SDEs under multiplicative noise in finance," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 2, pages 183-194, January, DOI: 10.1080/14697688.2012.713981.
  8. Ron Bird & Matthew Grosse & Danny Yeung, 2013, "The market response to exploration, resource and reserve announcements by mining companies: Australian data," Australian Journal of Management, Australian School of Business, volume 38, issue 2, pages 311-331, August, DOI: 10.1177/0312896212473401.

2012

  1. Xue‐Zhong He & Lei Shi, 2012, "Boundedly rational equilibrium and risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 52, issue 1, pages 71-93, March, DOI: j.1467-629X.2011.00421.x.
  2. Xue-Zhong He & Lei Shi, 2012, "Disagreement in a Multi-Asset Market," International Review of Finance, International Review of Finance Ltd., volume 12, issue 3, pages 357-373, September.
  3. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012, "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, volume 16, issue 4, pages 556-575, September.
  4. He, Xue-Zhong & Li, Kai, 2012, "Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 7, pages 973-987, DOI: 10.1016/j.jedc.2012.02.002.
  5. He, Xue-Zhong & Shi, Lei, 2012, "Disagreement, correlation and asset prices," Economics Letters, Elsevier, volume 116, issue 3, pages 512-515, DOI: 10.1016/j.econlet.2012.04.064.
  6. Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012, "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 446-460, DOI: 10.1016/j.jebo.2012.02.014.
  7. Van de Venter, Gerhard & Michayluk, David & Davey, Geoff, 2012, "A longitudinal study of financial risk tolerance," Journal of Economic Psychology, Elsevier, volume 33, issue 4, pages 794-800, DOI: 10.1016/j.joep.2012.03.001.
  8. Bird, Ron & Yeung, Danny, 2012, "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 310-327, DOI: 10.1016/j.pacfin.2011.10.001.

2011

  1. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011, "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 6, issue 1, pages 61-82, May, DOI: 10.1007/s11403-010-0076-4.
  2. Ron Bird & Lorenzo Casavecchia, 2011, "Conditional style rotation model on enhanced value and growth portfolios: The European experience," Journal of Asset Management, Palgrave Macmillan, volume 11, issue 6, pages 375-390, February, DOI: 10.1057/jam.2009.34.
  3. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011, "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 1, pages 148-162, January.
  4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011, "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, volume 2, issue 2, pages 101-139.
  5. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011, "Do heterogeneous beliefs diversify market risk?," The European Journal of Finance, Taylor & Francis Journals, volume 17, issue 3, pages 241-258, DOI: 10.1080/1351847X.2010.481457.
  6. Aggarwal, Raj & Berrill, Jenny & Hutson, Elaine & Kearney, Colm, 2011, "What is a multinational corporation? Classifying the degree of firm-level multinationality," International Business Review, Elsevier, volume 20, issue 5, pages 557-577, October.
  7. Min Ye & Elaine Hutson, 2011, "Managed exchange rates, dual listing and foreign exchange exposure: the experience of Chinese banks around the financial crisis," Journal of the Asia Pacific Economy, Taylor & Francis Journals, volume 16, issue 3, pages 393-421, DOI: 10.1080/13547860.2011.589629.

2010

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010, "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 1, pages 23-37, DOI: 10.1080/14697680902814233.
  2. He, Xue-Zhong & Zheng, Min, 2010, "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, volume 76, issue 3, pages 615-634, December.
  3. Hutson, Elaine & O'Driscoll, Anthony, 2010, "Firm-level exchange rate exposure in the Eurozone," International Business Review, Elsevier, volume 19, issue 5, pages 468-478, October.
  4. Elaine Hutson & Simon Stevenson, 2010, "Openness, hedging incentives and foreign exchange exposure: A firm-level multi-country study," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 41, issue 1, pages 105-122, January.

2009

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009, "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 16, issue 1, pages 1-31, March, DOI: 10.1007/s10690-009-9084-6.
  2. Joanne Mar & Ron Bird & Lorenzo Casavecchia & Danny Yeung, 2009, "Fundamental Indexation: An Australian Investigation," Australian Journal of Management, Australian School of Business, volume 34, issue 1, pages 1-20, June, DOI: 10.1177/031289620903400102.
  3. He, Xue-Zhong & Li, Kai & Wei, Junjie & Zheng, Min, 2009, "Market stability switches in a continuous-time financial market with heterogeneous beliefs," Economic Modelling, Elsevier, volume 26, issue 6, pages 1432-1442, November.
  4. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009, "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 388, issue 15, pages 3164-3180, DOI: 10.1016/j.physa.2009.04.013.

2008

  1. Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008, "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 77, issue 1, pages 45-56, DOI: 10.1016/j.matcom.2007.01.031.
  2. Chiarella, Carl & He, Xue-Zhong & Wang, Duo & Zheng, Min, 2008, "The stochastic bifurcation behaviour of speculative financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 387, issue 15, pages 3837-3846, DOI: 10.1016/j.physa.2008.01.078.
  3. Xue-Zhong He & Youwei Li, 2008, "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 1, pages 59-79, DOI: 10.1080/14697680601159500.
  4. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008, "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, volume 32, issue 7, pages 1255-1268, July.
  5. Elaine Hutson & Simon Stevenson, 2008, "Asymmetry in REIT Returns," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 14, issue 2, pages 105-124, January, DOI: 10.1080/10835547.2008.12089801.
  6. Gerhard van de Venter & David Michayluk, 2008, "An Insight into Overconfidence in the Forecasting Abilities of Financial Advisors," Australian Journal of Management, Australian School of Business, volume 32, issue 3, pages 545-557, March, DOI: 10.1177/031289620803200309.
  7. Pettway, Richard H. & Thosar, Satish & Walker, Scott, 2008, "Auctions versus book-built IPOs in Japan: A comparison of aftermarket volatility," Pacific-Basin Finance Journal, Elsevier, volume 16, issue 3, pages 224-235, June.

2007

  1. Nicola Bruti-Liberati & Eckhard Platen, 2007, "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 283-312, May, DOI: 10.1007/s10614-006-9066-y.
  2. Ron Bird & Lorenzo Casavecchia, 2007, "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 8, pages 769-793, DOI: 10.1080/13518470701705777.
  3. Ron Bird & Lorenzo Casavecchia, 2007, "Value enhancement using momentum indicators: the European experience," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 3, issue 3, pages 229-262, July, DOI: 10.1108/17439130710756907.
  4. He, Xue-Zhong & Li, Youwei, 2007, "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 10, pages 3396-3426, October.
  5. 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, volume 62, issue 3, pages 408-427, March.
  6. Ned Corron & Xue-Zhong He & Frank Westerhoff, 2007, "Butter mountains, milk lakes and optimal price limiters," Applied Economics Letters, Taylor & Francis Journals, volume 14, issue 15, pages 1131-1136, DOI: 10.1080/13504850600606059.
  7. James McCulloch, 2007, "Relative volume as a doubly stochastic binomial point process," Quantitative Finance, Taylor & Francis Journals, volume 7, issue 1, pages 55-62, DOI: 10.1080/14697680600969735.
  8. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007, "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, volume 14, issue 5, pages 365-399, DOI: 10.1080/13504860701255359.
  9. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007, "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 01, pages 155-202, DOI: 10.1142/S0219024907004147.

2006

  1. Bruti-Liberati Nicola & Nikitopoulos-Sklibosios Christina & Platen Eckhard, 2006, "First Order Strong Approximations of Jump Diffusions," Monte Carlo Methods and Applications, De Gruyter, volume 12, issue 3, pages 191-209, October, DOI: 10.1515/156939606778705191.
  2. Dieci, Roberto & Foroni, Ilaria & Gardini, Laura & He, Xue-Zhong, 2006, "Market mood, adaptive beliefs and asset price dynamics," Chaos, Solitons & Fractals, Elsevier, volume 29, issue 3, pages 520-534, DOI: 10.1016/j.chaos.2005.08.065.
  3. Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2006, "A behavioral asset pricing model with a time-varying second moment," Chaos, Solitons & Fractals, Elsevier, volume 29, issue 3, pages 535-555, DOI: 10.1016/j.chaos.2005.08.068.
  4. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006, "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 9-10, pages 1729-1753.
  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, volume 61, issue 4, pages 750-768, December.
  6. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006, "Moving average rules as a source of market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 370, issue 1, pages 12-17, DOI: 10.1016/j.physa.2006.04.026.
  7. Denvir, Emily & Hutson, Elaine, 2006, "The performance and diversification benefits of funds of hedge funds," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 16, issue 1, pages 4-22, February.

2005

  1. He, Xue-Zhong & Westerhoff, Frank H., 2005, "Commodity markets, price limiters and speculative price dynamics," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 9, pages 1577-1596, September.
  2. Hutson, Elaine, 2005, "The early managed fund industry: Investment trusts in 19th century Britain," International Review of Financial Analysis, Elsevier, volume 14, issue 4, pages 439-454.
  3. Hogan, Teresa & Hutson, Elaine, 2005, "Capital structure in new technology-based firms: Evidence from the Irish software sector," Global Finance Journal, Elsevier, volume 15, issue 3, pages 369-387, February.
  4. Hutson, Elaine & Kearney, Colm, 2005, "Merger arbitrage and the interaction between target and bidder stocks during takeover bids," Research in International Business and Finance, Elsevier, volume 19, issue 1, pages 1-26, March.
  5. Teresa Hogan & Elaine Hutson, 2005, "What factors determine the use of venture capital? evidence from the Irish software sector," Venture Capital, Taylor & Francis Journals, volume 7, issue 3, pages 259-283, July, DOI: 10.1080/13691060500268249.

2003

  1. Chiarella, Carl & He, Xue-Zhong, 2003, "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, volume 7, issue 4, pages 503-536, September.
  2. Chiarella, Carl & He, Xue-Zhong, 2003, "Dynamics of beliefs and learning under aL-processes -- the heterogeneous case," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 3, pages 503-531, January.
  3. Carl Chiarella & Christina Sklibosios, 2003, "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 10, issue 2, pages 87-127, September, DOI: 10.1007/s10690-005-6006-0.

2002

  1. Chiarella, Carl & He, Xue-Zhong, 2002, "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Springer;Society for Computational Economics, volume 19, issue 1, pages 95-132, February.

2001

  1. C. Chiarella & X-Z. He, 2001, "Asset price and wealth dynamics under heterogeneous expectations," Quantitative Finance, Taylor & Francis Journals, volume 1, issue 5, pages 509-526, DOI: 10.1088/1469-7688/1/5/303.
  2. Hutson, Elaine & Kearney, Colm, 2001, "Volatility in stocks subject to takeover bids: Australian evidence using daily data," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 273-296, July.
  3. Graham Partington & Scott Walker, 2001, "A note on transaction costs and the interpretation of dividend drop‐off ratios," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 41, issue 3, pages 229-242, November, DOI: 10.1111/1467-629X.00060.

2000

  1. Hutson, Elaine, 2000, "Takeover targets and the probability of bid success: Evidence from the Australian market," International Review of Financial Analysis, Elsevier, volume 9, issue 1, pages 45-65, February.

1999

  1. Elaine Hutson & Colm Kearney, 1999, "The Asian financial crisis and the role of the IMF: A survey," Journal of the Asia Pacific Economy, Taylor & Francis Journals, volume 4, issue 3, pages 393-412, DOI: 10.1080/13547869908724690.

1997

  1. Elaine Hutson, 1997, "The Market For Corporate Control In Australia," Economic Papers, The Economic Society of Australia, volume 16, issue 2, pages 51-61, June, DOI: j.1759-3441.1997.tb00147.x.

Books

2015

  1. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, number 978-3-662-45906-5, edition 127, ISBN: ARRAY(0x83fde7c0), December, DOI: 10.1007/978-3-662-45906-5.
  2. Vinay Patel, 2015, "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015, January-A.
  3. Scott Walker, 2015, "Repeated Dividend Increases: A Collection of Four Essays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2015, January-A.

2014

  1. Roberto Dieci & Xue-Zhong He & Cars Hommes (ed.), 2014, "Nonlinear Economic Dynamics and Financial Modelling," Springer Books, Springer, number 978-3-319-07470-2, edition 127, ISBN: ARRAY(0x6f17df88), DOI: 10.1007/978-3-319-07470-2.

2012

  1. Danny Yeung, 2012, "The Impact of Institutional Ownership: A Study of the Australian Equity Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2012, January-A.

2009

  1. Hardy Hulley, 2009, "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.

2007

  1. Nicola Bruti-Liberati, 2007, "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2007, January-A.

2005

  1. Christina Nikitopoulos-Sklibosios, 2005, "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005, January-A.

Chapters

2015

  1. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The Stock Option Problem," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_1.
  2. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Pricing Derivative Securities: A General Approach," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_10.
  3. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Applying the General Pricing Framework," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_11.
  4. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Jump-Diffusion Processes," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_12.
  5. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Option Pricing Under Jump-Diffusion Processes," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_13.
  6. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Partial Differential Equation Approach Under Geometric Jump-Diffusion Process," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_14.
  7. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Stochastic Volatility," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_15.
  8. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Pricing the American Feature," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_16.
  9. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Pricing Options Using Binomial Trees," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_17.
  10. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Volatility Smiles," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_18.
  11. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Allowing for Stochastic Interest Rates in the Black–Scholes Model," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_19.
  12. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Stochastic Processes for Asset Price Modelling," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_2.
  13. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Change of Numeraire," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_20.
  14. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The Paradigm Interest Rate Option Problem," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_21.
  15. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Modelling Interest Rate Dynamics," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_22.
  16. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Interest Rate Derivatives: One Factor Spot Rate Models," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_23.
  17. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Interest Rate Derivatives: Multi-Factor Models," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_24.
  18. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The Heath–Jarrow–Morton Framework," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_25.
  19. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The LIBOR Market Model," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_26.
  20. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "An Initial Attempt at Pricing an Option," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_3.
  21. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The Stochastic Differential Equation," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_4.
  22. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Manipulating Stochastic Differential Equations and Stochastic Integrals," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_5.
  23. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Ito’s Lemma and Its Applications," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_6.
  24. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The Continuous Hedging Argument," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_7.
  25. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The Martingale Approach," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_8.
  26. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "The Partial Differential Equation Approach Under Geometric Brownian Motion," Dynamic Modeling and Econometrics in Economics and Finance, Springer, chapter 0, "Derivative Security Pricing", DOI: 10.1007/978-3-662-45906-5_9.

2012

  1. Elaine Hutson, 2012, "The Evolution of the Managed Funds Industry: Investment Trusts in Nineteenth-century Britain," Chapters, Edward Elgar Publishing, chapter 5, in: Geoffrey Poitras, "Handbook of Research on Stock Market Globalization".

2011

  1. Xue-Zhong He & Lei Shi, 2011, "Diversification Effect of Heterogeneous Beliefs," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Herbert Dawid & Willi Semmler, "Computational Methods in Economic Dynamics", DOI: 10.1007/978-3-642-16943-4_4.

2010

  1. Xue-Zhong He & Lei Shi, 2010, "Portfolio Efficiency Under Heterogeneous Beliefs," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Masaaki Kijima & Chiaki Hara & Keiichi Tanaka & Yukio Muromachi, "Recent Advances In Financial Engineering 2009".
  2. Hardy Hulley & Martin Schweizer, 2010, "M6—On Minimal Market Models and Minimal Martingale Measures," Springer Books, Springer, in: Carl Chiarella & Alexander Novikov, "Contemporary Quantitative Finance", DOI: 10.1007/978-3-642-03479-4_3.
  3. Hardy Hulley, 2010, "The Economic Plausibility of Strict Local Martingales in Financial Modelling," Springer Books, Springer, in: Carl Chiarella & Alexander Novikov, "Contemporary Quantitative Finance", DOI: 10.1007/978-3-642-03479-4_4.

2008

  1. Carl Chiarella & Xue-Zhong He, 2008, "An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies," International Handbooks on Information Systems, Springer, chapter 20, in: Detlef Seese & Christof Weinhardt & Frank Schlottmann, "Handbook on Information Technology in Finance", DOI: 10.1007/978-3-540-49487-4_20.

2007

  1. Teresa Hogan & Elaine Hutson, 2007, "What Factors Determine the Use of Venture Capital? Evidence from the Irish Software Sector," Chapters, Edward Elgar Publishing, chapter 7, in: Bart Clarysse & Juan Roure & Tom Schamp, "Entrepreneurship and the Financial Community".

2006

  1. Carl Chiarella & Peter Flaschel & Xue-Zhong He & Hing Hung, 2006, "A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels", DOI: 10.1016/S0573-8555(05)77010-3.
  2. Carl Chiarella & Xue-Zhong He & Duo Wang, 2006, "Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment," Lecture Notes in Economics and Mathematical Systems, Springer, in: Akira Namatame & Taisei Kaizouji & Yuuji Aruka, "The Complex Networks of Economic Interactions", DOI: 10.1007/3-540-28727-2_7.

2005

  1. Carl Chiarella & Xue-Zhong He, 2005, "An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects," Lecture Notes in Economics and Mathematical Systems, Springer, in: Thomas Lux & Eleni Samanidou & Stefan Reitz, "Nonlinear Dynamics and Heterogeneous Interacting Agents", DOI: 10.1007/3-540-27296-8_18.

2004

  1. Xue-Zhong He, 2004, "Dynamics of Beliefs and Learning Under aL-Processes—The Homogeneous Case," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Economic Complexity", DOI: 10.1108/S1571-0386(2004)0000014017.

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