All Outputs (3)

Heterogeneity, convergence, and autocorrelations (2007)
Journal Article
He, X. Z., & Li, Y. (2008). Heterogeneity, convergence, and autocorrelations. Quantitative finance, 8(1), 59-79. https://doi.org/10.1080/14697680601159500

This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker... Read More about Heterogeneity, convergence, and autocorrelations.

Power-law behaviour, heterogeneity, and trend chasing (2007)
Journal Article
He, X. Z., & Li, Y. (2007). Power-law behaviour, heterogeneity, and trend chasing. Journal of Economic Dynamics and Control, 31(10), 3396-3426. https://doi.org/10.1016/j.jedc.2006.11.008

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This p... Read More about Power-law behaviour, heterogeneity, and trend chasing.

The econometric analysis of agent-based models in finance: An application (2007)
Presentation / Conference Contribution
Li, Y., Donkers, B., & Melenberg, B. The econometric analysis of agent-based models in finance: An application

This paper illustrates how to compare different agent-based models and how to compare an agent-based model with real data. As examples we investigate ARFIMA models, the probability density function, and the spectral density function. We illustrate th... Read More about The econometric analysis of agent-based models in finance: An application.