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Do benchmark African equity indices exhibit the stylized facts? (2010)
Journal Article
Li, Y., Hamill, P. A., & Opong, K. K. (2010). Do benchmark African equity indices exhibit the stylized facts?. Global finance journal, 21(1), 71-97. https://doi.org/10.1016/j.gfj.2010.03.006

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtot... Read More about Do benchmark African equity indices exhibit the stylized facts?.

Financial bubbles: A learning effect modelling approach (2009)
Book Chapter
Hsieh, T. H., Li, Y., & McKillop, D. G. (2009). Financial bubbles: A learning effect modelling approach. In A. Brabazon, & M. O'Neill (Eds.), Natural computing in computational finance (117-135). Springer Verlag. https://doi.org/10.1007/978-3-540-95974-8_7

This chapter studies financial bubbles by incorporating a learning effect into the coordination game model which was articulated by Ozdenoren and Yuan [36]. Monte Carlo simulation is then utilised to analyse how the addition of a learning effect impa... Read More about Financial bubbles: A learning effect modelling approach.

Can trend followers survive in the long-run? Insights from agent-based modeling (2008)
Book Chapter
He, X. Z., Hamill, P., & Li, Y. (2008). Can trend followers survive in the long-run? Insights from agent-based modeling. In A. Brabazon, & M. O'Neill (Eds.), Natural Computing in Computational Finance (253-269). Springer Verlag. https://doi.org/10.1007/978-3-540-77477-8_14

This chapter uses a simple stochastic market fraction (MF) asset pricing model to investigate market dominance, profitability, and how traders adopting fundamental analysis or trend following strategies can survive under various market conditions in... Read More about Can trend followers survive in the long-run? Insights from agent-based modeling.

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.