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Lijian Wei

Personal Details

First Name:Lijian
Middle Name:
Last Name:Wei
Suffix:
RePEc Short-ID:pwe315

Affiliation

(50%) Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/finance/

: +61 2 9514 7777
+61 2 9514 7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:sfutsau (more details at EDIRC)

(50%) Quantitative Finance Research Centre
Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/qfrc/

: +61 2 9514-7777
+61 2 9514-7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:qfutsau (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2014. "A Behavioural Model of Investor Sentiment in Limit Order Markets," Research Paper Series 342, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2014. "A Behavioural Model of Investor Sentiment in Limit Order Markets," Research Paper Series 342, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Danilo Liuzzi & Paolo Pellizzari & Marco Tolotti, 2019. "Fast traders and slow price adjustments: an artificial market with strategic interaction and transaction costs," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 643-662, September.
    2. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
    3. 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, vol. 61(C), pages 245-268.
    4. Zhou, Liyun & Yang, Chunpeng, 2019. "Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals," Economic Modelling, Elsevier, vol. 79(C), pages 130-140.
    5. Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW).
    6. Michiel Leur & Mikhail Anufriev, 2018. "Timing under individual evolutionary learning in a continuous double auction," Journal of Evolutionary Economics, Springer, vol. 28(3), pages 609-631, August.
    7. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.

  2. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Yosra Mefteh Rekik & Younes Boujelbene, 2015. "Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 33-43, April.
    3. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01011701, HAL.
    4. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01215947, HAL.

  3. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Vivien Lespagnol & Juliette Rouchier, 2014. "Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals," Working Papers halshs-00997573, HAL.
    2. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (3) 2013-07-15 2013-08-31 2014-03-30. Author is listed
  2. NEP-CTA: Contract Theory & Applications (2) 2013-07-15 2013-08-31. Author is listed
  3. NEP-CMP: Computational Economics (1) 2013-08-31. Author is listed
  4. NEP-ORE: Operations Research (1) 2013-08-31. Author is listed

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