ORCID Profile
0000-0003-1446-9996
Current Organisation
University of Technology Sydney
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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.
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
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) |
Publisher: Elsevier
Date: 2018
Publisher: Informa UK Limited
Date: 05-2001
Publisher: Elsevier BV
Date: 08-2009
Publisher: Informa UK Limited
Date: 1993
Publisher: Springer Science and Business Media LLC
Date: 10-10-2009
Publisher: Elsevier BV
Date: 06-2018
Publisher: Elsevier BV
Date: 02-2017
Publisher: Wiley
Date: 1992
Publisher: Elsevier BV
Date: 03-2019
Publisher: Springer Science and Business Media LLC
Date: 07-2011
Publisher: Springer International Publishing
Date: 2018
Publisher: Elsevier BV
Date: 10-2017
Publisher: Springer Berlin Heidelberg
Date: 31-05-2012
Publisher: Elsevier BV
Date: 06-2022
Publisher: Elsevier BV
Date: 09-2005
Publisher: Mathematical Institute, Tohoku University
Date: 1998
Publisher: Elsevier BV
Date: 12-2006
Publisher: Elsevier BV
Date: 05-1993
Publisher: Springer Science and Business Media LLC
Date: 05-1994
DOI: 10.1007/BF00160166
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 02-1998
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.
Publisher: Springer Science and Business Media LLC
Date: 03-09-1998
Publisher: Elsevier BV
Date: 09-2014
Publisher: Springer Berlin Heidelberg
Date: 2005
Publisher: Elsevier BV
Date: 06-2008
Publisher: Elsevier BV
Date: 11-2022
Publisher: Elsevier BV
Date: 08-2012
Publisher: Elsevier BV
Date: 10-2016
Publisher: Elsevier BV
Date: 1998
Publisher: Elsevier
Date: 2009
Publisher: Springer International Publishing
Date: 2014
Publisher: Elsevier BV
Date: 11-2014
Publisher: Elsevier BV
Date: 11-2009
Publisher: Elsevier BV
Date: 08-2006
Publisher: Elsevier BV
Date: 04-2015
Publisher: Wiley
Date: 22-06-190728635
Publisher: Springer Berlin Heidelberg
Date: 24-10-2009
Publisher: Elsevier BV
Date: 08-2006
Publisher: Elsevier BV
Date: 2003
Publisher: Elsevier BV
Date: 10-2006
Publisher: Elsevier BV
Date: 12-2015
Publisher: Informa UK Limited
Date: 03-0100
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.
Publisher: Springer International Publishing
Date: 2014
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 07-1998
Publisher: Elsevier BV
Date: 06-2018
Publisher: Elsevier BV
Date: 02-1999
Publisher: Springer Science and Business Media LLC
Date: 08-11-2013
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 2006
DOI: 10.1137/06065876X
Publisher: Springer Science and Business Media LLC
Date: 25-05-2017
Publisher: Cambridge University Press (CUP)
Date: 08-2003
Publisher: IEEE
Date: 10-2017
Publisher: Informa UK Limited
Date: 05-2013
Publisher: Informa UK Limited
Date: 12-2007
Publisher: Wiley
Date: 1993
Publisher: Springer Science and Business Media LLC
Date: 09-1999
DOI: 10.1007/BF02880387
Publisher: Wiley
Date: 22-03-2012
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 10-1998
Publisher: Springer Berlin Heidelberg
Date: 2008
Publisher: Elsevier BV
Date: 2011
Publisher: Elsevier BV
Date: 06-2014
Publisher: Informa UK Limited
Date: 05-07-2016
Publisher: Elsevier BV
Date: 11-1997
Publisher: Elsevier BV
Date: 05-2017
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.
Publisher: Elsevier BV
Date: 09-2006
Publisher: Informa UK Limited
Date: 14-12-2007
Publisher: Springer Science and Business Media LLC
Date: 2002
Publisher: Elsevier BV
Date: 10-2016
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.
Publisher: Informa UK Limited
Date: 21-07-2016
Publisher: Springer Science and Business Media LLC
Date: 1997
Publisher: Informa UK Limited
Date: 1994
Publisher: Springer Science and Business Media LLC
Date: 04-1995
DOI: 10.1007/BF02013153
Publisher: Springer-Verlag
Date: 2006
Publisher: Springer Berlin Heidelberg
Date: 31-05-2012
Publisher: Wiley
Date: 25-04-2011
Publisher: Elsevier BV
Date: 07-2012
Publisher: Elsevier BV
Date: 12-2010
Publisher: Elsevier BV
Date: 03-2015
Publisher: Elsevier BV
Date: 03-1996
Publisher: Informa UK Limited
Date: 12-1995
Publisher: Elsevier BV
Date: 09-2012
Publisher: Elsevier BV
Date: 10-2007
Publisher: Elsevier BV
Date: 03-2007
Publisher: Elsevier BV
Date: 09-1994
Start Date: 2013
End Date: 09-2016
Amount: $211,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 02-2007
End Date: 12-2010
Amount: $400,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 2011
End Date: 06-2014
Amount: $225,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 01-2004
End Date: 07-2007
Amount: $260,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 09-2018
End Date: 09-2021
Amount: $415,893.00
Funder: Australian Research Council
View Funded Activity