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Professor Youwei Li's Outputs (4)

The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market (2012)
Book Chapter
Zhang, R., Li, Y., & McKillop, D. (2012). The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market. In L. Wang (Ed.), Rising China in the Changing World Economy (357-395). Routledge

Introduction:
The non-normality of security price returns has attracted a large number of studies. The observed distributions are commonly called leptokurtic because of the narrower body of the distribution and fatter tails. One explanation suggeste... Read More about The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market.

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.