ORCID Profile
0000-0003-1446-9996
Current Organisation
University of Technology Sydney
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Research Topics
In Research Link Australia (RLA), "Research Topics" refer to ANZSRC FOR and SEO codes. These topics are either sourced from ANZSRC FOR and SEO codes listed in researchers' related grants or generated by a large language model (LLM) based on their publications.
Top 5 Research Topics
ANZSRC Field of Research (FoR)
Banking, Finance and Investment | Stochastic Analysis and Modelling | Finance | Finance | Banking, Finance and Investment not elsewhere classified | Stochastic Analysis And Modelling | Dynamical Systems | Simulation and Modelling | Mathematical Economics | Artificial Intelligence and Image Processing | Investment and Risk Management | Pattern Recognition and Data Mining | Banking, Finance And Investment Not Elsewhere Classified
ANZSRC Socio-Economic Objective (SEO)
Market-Based Mechanisms | Finance and investment services | Finance Services | Microeconomic issues not elsewhere classified | Economic issues not elsewhere classified | Application Software Packages (excl. Computer Games) | Information Processing Services (incl. Data Entry and Capture) | Application Tools and System Utilities | Investment Services (excl. Superannuation) |
Related Links
Publications
Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the particip
Publisher: Elsevier
Date: 2018
Asset price and wealth dynamics under heterogeneous expectations
Publisher: Informa UK Limited
Date: 05-2001
Does the market maker stabilize the market?
Publisher: Elsevier BV
Date: 08-2009
Global stability of n—dimensional
Publisher: Informa UK Limited
Date: 1993
Developing actionable trading agents
Publisher: Springer Science and Business Media LLC
Date: 10-10-2009
Asset allocation with time series momentum and reversal
Publisher: Elsevier BV
Date: 06-2018
Index portfolio and welfare analysis under heterogeneous beliefs
Publisher: Elsevier BV
Date: 02-2017
Global Attractivity and ‘Level‐Crossings’ in a Periodic Logistic Integrodifferential Equation
Publisher: Wiley
Date: 1992
Heterogeneous agent models in financial markets: A nonlinear dynamics approach
Publisher: Elsevier BV
Date: 03-2019
Time-varying beta: a boundedly rational equilibrium approach
Publisher: Springer Science and Business Media LLC
Date: 07-2011
Multimodal Mixture Density Boosting Network for Personality Mining
Publisher: Springer International Publishing
Date: 2018
The effect of genetic algorithm learning with a classifier system in limit order markets
Publisher: Elsevier BV
Date: 10-2017
A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting
Publisher: Springer Berlin Heidelberg
Date: 31-05-2012
Machine learning and speed in high-frequency trading
Publisher: Elsevier BV
Date: 06-2022
Commodity markets, price limiters and speculative price dynamics
Publisher: Elsevier BV
Date: 09-2005
Almost periodic solutions of a competition system with dominated infinite delays
Publisher: Mathematical Institute, Tohoku University
Date: 1998
An analysis of the cobweb model with boundedly rational heterogeneous producers
Publisher: Elsevier BV
Date: 12-2006
Oscillatory and Asymptotic Behavior of Second Order Nonlinear Difference Equations
Publisher: Elsevier BV
Date: 05-1993
Persistence, stability and level crossings in an integrodifferential system
Publisher: Springer Science and Business Media LLC
Date: 05-1994
DOI: 10.1007/BF00160166
Global Stability in Chemostat-Type Competition Models with Nutrient Recycling
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 02-1998
Time-varying economic dominance in financial markets: A bistable dynamics approach
Publisher: AIP Publishing
Date: 05-2018
DOI: 10.1063/1.5021141
Abstract: By developing a continuous-time heterogeneous agent financial market model of multi-assets traded by fundamental and momentum investors, we provide a potential mechanism for generating time-varying dominance between fundamental and non-fundamental in financial markets. We show that investment constraints lead to the coexistence of a locally stable fundamental steady state and a locally stable limit cycle around the fundamental, characterized by a Bautin bifurcation. This provides a mechanism for market prices to switch stochastically between the two persistent but very different market states, leading to the coexistence and time-varying dominance of seemingly controversial efficient market and price momentum over different time periods. The model also generates other financial market stylized facts, such as spillover effects in both momentum and volatility, market booms, crashes, and correlation reduction due to cross-sectional momentum trading. Empirical evidence based on the U.S. market supports the main findings. The mechanism developed in this paper can be used to characterize time-varying economic dominance in economics and finance in general.
Global stability in chemostat-type plankton models with delayed nutrient recycling
Publisher: Springer Science and Business Media LLC
Date: 03-09-1998
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500
Publisher: Elsevier BV
Date: 09-2014
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects
Publisher: Springer Berlin Heidelberg
Date: 2005
The stochastic bifurcation behaviour of speculative financial markets
Publisher: Elsevier BV
Date: 06-2008
Reinforcement Learning Equilibrium in Limit Order Markets
Publisher: Elsevier BV
Date: 11-2022
Estimating behavioural heterogeneity under regime switching
Publisher: Elsevier BV
Date: 08-2012
Volatility clustering: A nonlinear theoretical approach
Publisher: Elsevier BV
Date: 10-2016
Multiple periodic solutions of differential delay equations created by asymptotically linear Hamiltonian systems
Publisher: Elsevier BV
Date: 1998
Heterogeneity, Market Mechanisms, and Asset Price Dynamics
Publisher: Elsevier
Date: 2009
Introduction
Publisher: Springer International Publishing
Date: 2014
Herding, trend chasing and market volatility
Publisher: Elsevier BV
Date: 11-2014
Market stability switches in a continuous-time financial market with heterogeneous beliefs
Publisher: Elsevier BV
Date: 11-2009
Market mood, adaptive beliefs and asset price dynamics
Publisher: Elsevier BV
Date: 08-2006
Profitability of time series momentum
Publisher: Elsevier BV
Date: 04-2015
Necessary and Sufficient Conditions for a Fourth Order Functional Differential Equation to be Oscillatory
Publisher: Wiley
Date: 22-06-190728635
A Framework for CAPM with Heterogeneous Beliefs
Publisher: Springer Berlin Heidelberg
Date: 24-10-2009
A behavioral asset pricing model with a time-varying second moment
Publisher: Elsevier BV
Date: 08-2006
Dynamics of beliefs and learning under -processes — the heterogeneous case
Publisher: Elsevier BV
Date: 2003
Moving average rules as a source of market instability
Publisher: Elsevier BV
Date: 10-2006
Learning, information processing and order submission in limit order markets
Publisher: Elsevier BV
Date: 12-2015
Do heterogeneous beliefs diversify market risk?
Publisher: Informa UK Limited
Date: 03-0100
Delay-independent stability in bidirectional associative memory networks
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 1994
DOI: 10.1109/72.329700
Abstract: It is shown that if the neuronal gains are small compared with the synaptic connection weights, then a bidirectional associative memory network with axonal signal transmission delays converges to the equilibria associated with exogenous inputs to the network. Both discrete and continuously distributed delays are considered the asymptotic stability is global in the state space of neuronal activations and also is independent of the delays.
Nonlinear Economic Dynamics and Financial Modelling
Publisher: Springer International Publishing
Date: 2014
Global Stability in Chemostat-Type Equations with Distributed Delays
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 07-1998
JEDC Special Issue in Honour of Prof Carl Chiarella
Publisher: Elsevier BV
Date: 06-2018
Hamiltonian symmetric groups and multiple periodic solutions of differential delay equations
Publisher: Elsevier BV
Date: 02-1999
An evolutionary CAPM under heterogeneous beliefs
Publisher: Springer Science and Business Media LLC
Date: 08-11-2013
Erratum: Global Stability in Chemostat‐Type Competition Models with Nutrient Recycling
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 2006
DOI: 10.1137/06065876X
The adaptiveness in stock markets: testing the stylized facts in the DAX 30
Publisher: Springer Science and Business Media LLC
Date: 25-05-2017
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
Publisher: Cambridge University Press (CUP)
Date: 08-2003
Combining heterogeneous features for time series prediction
Publisher: IEEE
Date: 10-2017
Heterogeneous expectations and exchange rate dynamics
Publisher: Informa UK Limited
Date: 05-2013
Butter mountains, milk lakes and optimal price limiters
Publisher: Informa UK Limited
Date: 12-2007
Oscillations and Convergence in a Diffusive Delay Logistic Equation
Publisher: Wiley
Date: 1993
Proof and generalization of Kaplan-Yorke’s conjecture under the condition f ' (0) > 0 on periodic solution of differential delay equations
Publisher: Springer Science and Business Media LLC
Date: 09-1999
DOI: 10.1007/BF02880387
Disagreement in a Multi‐Asset Market
Publisher: Wiley
Date: 22-03-2012
The Lyapunov Functionals for Delay Lotka--Volterra-Type Models
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 10-1998
Can Trend Followers Survive in the Long-Run% Insights from Agent-Based Modeling
Publisher: Springer Berlin Heidelberg
Date: 2008
An analysis of the effect of noise in a heterogeneous agent financial market model
Publisher: Elsevier BV
Date: 2011
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
Publisher: Elsevier BV
Date: 06-2014
A behavioural model of investor sentiment in limit order markets
Publisher: Informa UK Limited
Date: 05-07-2016
Persistence, Attractivity, and Delay in Facultative Mutualism
Publisher: Elsevier BV
Date: 11-1997
Prediction market prices under risk aversion and heterogeneous beliefs
Publisher: Elsevier BV
Date: 05-2017
Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
Date: 06-2022
Abstract: This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based nonfundamental) predictors and market returns. We find that although fundamental variables can be strong predictors when sentiment is low, they tend to lose their predictive power when investor sentiment is high. Nonfundamental predictors perform well during high-sentiment periods while their predictive ability deteriorates when investor sentiment is low. These paradigm shifts in equity return forecasting provide a key to understanding and resolving the lack of predictive power for both fundamental and nonfundamental variables debated in recent studies. This paper was accepted by David Simchi-Levi, finance.
A dynamic analysis of moving average rules
Publisher: Elsevier BV
Date: 09-2006
Heterogeneity, convergence, and autocorrelations
Publisher: Informa UK Limited
Date: 14-12-2007
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
Publisher: Springer Science and Business Media LLC
Date: 2002
Trading heterogeneity under information uncertainty
Publisher: Elsevier BV
Date: 10-2016
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET
Publisher: Cambridge University Press (CUP)
Date: 18-04-2011
DOI: 10.1017/S136510051000074X
Abstract: Inspired by the theoretically oriented dynamic analysis of moving average rules in the model of Chiarella, He, and Hommes (CHH) [ Journal of Economic Dynamics and Control 30 (2006), 1729—1753], this paper conducts a dynamic analysis of a more realistic microstructure model of continuous double auctions in which the probability of heterogeneous agents trading is determined by the rules of either fundamentalists mean-reverting to the fundamental or chartists choosing moving average rules based on their relative performance. With such a realistic market microstructure, the model is able not only to obtain the results of the CHH model but also to characterize most of the stylized facts including volatility clustering, insignificant autocorrelations (ACs) of returns, and significant slowly decaying ACs of the absolute returns. The results seem to suggest that a comprehensive explanation of several statistical properties of returns is possible in a framework where both behavioral traits and realistic microstructure have a role.
Rollover risk and credit risk under time-varying margin
Publisher: Informa UK Limited
Date: 21-07-2016
Oscillations and Convergence in an Almost Periodic Competition System
Publisher: Springer Science and Business Media LLC
Date: 1997
Single species dynamics in changing environments
Publisher: Informa UK Limited
Date: 1994
Global attractivity of linear non-autonomous neutral differential-difference equations
Publisher: Springer Science and Business Media LLC
Date: 04-1995
DOI: 10.1007/BF02013153
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment
Publisher: Springer-Verlag
Date: 2006
Recent Developments in Asset Pricing with Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
Publisher: Springer Berlin Heidelberg
Date: 31-05-2012
Boundedly rational equilibrium and risk premium
Publisher: Wiley
Date: 25-04-2011
Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
Publisher: Elsevier BV
Date: 07-2012
Dynamics of moving average rules in a continuous-time financial market model
Publisher: Elsevier BV
Date: 12-2010
Testing of a market fraction model and power-law behaviour in the DAX 30
Publisher: Elsevier BV
Date: 03-2015
Stability and Delays in a Predator-Prey System
Publisher: Elsevier BV
Date: 03-1996
On the construction of periodic solutions of kaplan-yorke type for some differential delay equations
Publisher: Informa UK Limited
Date: 12-1995
Disagreement, correlation and asset prices
Publisher: Elsevier BV
Date: 09-2012
Power-law behaviour, heterogeneity, and trend chasing
Publisher: Elsevier BV
Date: 10-2007
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
Publisher: Elsevier BV
Date: 03-2007
Stability in asymmetric Hopfield nets with transmission delays
Publisher: Elsevier BV
Date: 09-1994
Related Organisations
Related Funding Activities
Discovery Projects - Grant ID: DP130103210
Start Date: 2013
End Date: 09-2016
Amount: $211,000.00
Funder: Australian Research Council
View Funded ActivityDiscovery Projects - Grant ID: DP0773776
Start Date: 02-2007
End Date: 12-2010
Amount: $400,000.00
Funder: Australian Research Council
View Funded ActivityDiscovery Projects - Grant ID: DP110104487
Start Date: 2011
End Date: 06-2014
Amount: $225,000.00
Funder: Australian Research Council
View Funded ActivityDiscovery Projects - Grant ID: DP0450526
Start Date: 01-2004
End Date: 07-2007
Amount: $260,000.00
Funder: Australian Research Council
View Funded ActivityLinkage Projects - Grant ID: LP170100891
Start Date: 09-2018
End Date: 09-2021
Amount: $415,893.00
Funder: Australian Research Council
View Funded Activity