| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Behavioural Asset Pricing Model with a Time-Varying Second Moment |
0 |
0 |
2 |
146 |
2 |
2 |
6 |
477 |
| A Behavioural Model of Investor Sentiment in Limit Order Markets |
0 |
1 |
10 |
114 |
2 |
9 |
45 |
261 |
| A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs |
0 |
0 |
1 |
1 |
0 |
1 |
13 |
16 |
| A Dynamic Analysis of Moving Average Rules |
0 |
0 |
1 |
648 |
1 |
2 |
7 |
2,020 |
| A Dynamic Analysis of Moving Average Rules |
0 |
0 |
1 |
130 |
2 |
2 |
14 |
474 |
| A Dynamic Analysis of Moving Average Rules |
0 |
1 |
3 |
494 |
1 |
2 |
6 |
1,494 |
| A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market |
0 |
0 |
0 |
101 |
0 |
0 |
3 |
248 |
| A Dynamic Heterogeneous Beliefs CAPM |
0 |
0 |
2 |
129 |
0 |
0 |
3 |
254 |
| A Dynamical Analysis of Moving Average Rules |
0 |
0 |
0 |
9 |
2 |
3 |
8 |
1,601 |
| A Framework for CAPM with Heterogenous Beliefs |
0 |
0 |
5 |
208 |
1 |
1 |
10 |
478 |
| A Non-Stationary Asset Pricing Model under Heterogeneous Expectations |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
207 |
| Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis |
0 |
0 |
0 |
131 |
0 |
0 |
4 |
339 |
| Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis |
0 |
0 |
1 |
129 |
0 |
0 |
3 |
303 |
| Ambiguous Market Making |
1 |
1 |
7 |
36 |
1 |
1 |
20 |
82 |
| An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies |
0 |
0 |
1 |
232 |
0 |
0 |
2 |
661 |
| An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies |
0 |
0 |
0 |
0 |
1 |
3 |
8 |
344 |
| An Evolutionary CAPM Under Heterogeneous Beliefs |
0 |
0 |
0 |
89 |
1 |
2 |
9 |
179 |
| Are We Better-off for Working Hard? |
1 |
2 |
11 |
26 |
3 |
10 |
51 |
80 |
| Asset Price and Wealth Dynamics Under Heterogeneous Expectations |
0 |
0 |
1 |
215 |
0 |
1 |
7 |
476 |
| Asset Price and Wealth Dynamics under Heterogeneous Expectations |
0 |
0 |
0 |
74 |
1 |
2 |
5 |
761 |
| Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs |
0 |
0 |
0 |
29 |
4 |
4 |
6 |
93 |
| Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach |
0 |
0 |
3 |
258 |
2 |
3 |
10 |
1,151 |
| Asymmetry of technical analysis and market price volatility |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Butter Mountains, Milk Lakes and Optimal Price Limiters |
0 |
0 |
0 |
112 |
1 |
3 |
5 |
983 |
| Commodity Markets, Price Limiters and Speculative Price Dynamics |
0 |
0 |
1 |
352 |
2 |
3 |
8 |
1,049 |
| Developing actionable trading agents |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Differences in Opinion and Risk Premium |
0 |
0 |
1 |
59 |
1 |
1 |
4 |
182 |
| Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case |
0 |
0 |
0 |
45 |
2 |
2 |
4 |
216 |
| Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case |
0 |
0 |
0 |
46 |
0 |
1 |
2 |
282 |
| Dynamics of Moving Average Rules in a Continuous-time Financial Market Model |
0 |
0 |
0 |
101 |
0 |
0 |
1 |
255 |
| Estimating Behavioural Heterogeneity Under Regime Switching |
0 |
0 |
2 |
89 |
0 |
1 |
9 |
263 |
| Exchange Rate Regime and Monetary Policy: A Proposal for Small and Less Developed Economies |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
264 |
| Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers |
0 |
0 |
0 |
111 |
1 |
1 |
3 |
780 |
| Herding, Trend Chasing and Market Volatility |
0 |
0 |
2 |
94 |
2 |
4 |
8 |
208 |
| Heterogeneity, Bounded Rationality and Market Dysfunctionality |
0 |
0 |
0 |
76 |
0 |
2 |
3 |
138 |
| Heterogeneity, Market Mechanisms, and Asset Price Dynamics |
0 |
0 |
6 |
271 |
1 |
1 |
11 |
575 |
| Heterogeneity, Profitability and Autocorrelations |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
200 |
| Heterogeneity, Profitability and Autocorrelations |
0 |
0 |
1 |
141 |
0 |
0 |
2 |
353 |
| Heterogeneous Agent Models in Finance |
1 |
5 |
24 |
71 |
9 |
26 |
95 |
165 |
| Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model |
0 |
0 |
1 |
37 |
2 |
2 |
5 |
131 |
| Heterogeneous Beliefs and Prediction Market Accuracy |
0 |
0 |
0 |
26 |
0 |
1 |
8 |
42 |
| Heterogeneous Beliefs and Prediction Market Accuracy |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
35 |
| Heterogeneous Beliefs and Prediction Market Accuracy |
0 |
0 |
0 |
25 |
0 |
0 |
2 |
27 |
| Heterogeneous Beliefs and the Cross-Section of Asset Returns |
0 |
0 |
0 |
29 |
3 |
3 |
6 |
86 |
| Heterogeneous Beliefs and the Performances of Optimal Portfolios |
0 |
0 |
0 |
24 |
1 |
2 |
4 |
81 |
| Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker |
1 |
1 |
3 |
175 |
2 |
4 |
10 |
454 |
| Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model |
1 |
1 |
2 |
417 |
2 |
3 |
12 |
1,228 |
| Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model |
0 |
0 |
0 |
69 |
5 |
5 |
8 |
264 |
| Heterogeneous Expectations and Exchange Rate Dynamics |
0 |
0 |
1 |
93 |
0 |
3 |
11 |
162 |
| Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework |
0 |
0 |
0 |
112 |
1 |
3 |
7 |
324 |
| Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 |
0 |
1 |
12 |
80 |
0 |
2 |
28 |
197 |
| Learning and Evolution of Trading Strategies in Limit Order Markets |
0 |
1 |
2 |
90 |
0 |
1 |
4 |
215 |
| Learning and Information Dissemination in Limit Order Markets |
0 |
1 |
4 |
45 |
1 |
3 |
12 |
135 |
| Long Memory, Heterogeneity and Trend Chasing |
0 |
0 |
0 |
177 |
0 |
0 |
2 |
479 |
| Long Memory, Heterogeneity, and Trend Chasing |
0 |
0 |
0 |
0 |
2 |
4 |
7 |
179 |
| Market Mood, Adaptive Beliefs and Asset Price Dynamics |
1 |
1 |
3 |
96 |
1 |
1 |
7 |
315 |
| Market Sentiment and Paradigm Shifts |
0 |
1 |
5 |
78 |
2 |
7 |
26 |
234 |
| Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs |
0 |
0 |
0 |
36 |
1 |
2 |
3 |
142 |
| Momentum and index investing: implications for market efficiency |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
| Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy |
0 |
0 |
1 |
132 |
0 |
0 |
5 |
395 |
| Optimal Time Series Momentum |
2 |
5 |
17 |
188 |
3 |
9 |
48 |
349 |
| Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs |
1 |
2 |
10 |
212 |
4 |
8 |
30 |
845 |
| Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets |
0 |
0 |
1 |
49 |
7 |
7 |
9 |
114 |
| Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning |
0 |
0 |
0 |
45 |
1 |
1 |
1 |
145 |
| Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment |
0 |
0 |
0 |
143 |
0 |
1 |
5 |
423 |
| Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30 |
0 |
0 |
0 |
15 |
1 |
2 |
3 |
63 |
| The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30 |
0 |
0 |
0 |
24 |
1 |
3 |
9 |
96 |
| The Dynamics of the Cobweb when Producers are Risk Averse Learners |
0 |
0 |
0 |
29 |
0 |
1 |
2 |
120 |
| The Stochastic Dynamics of Speculative Prices |
0 |
0 |
1 |
96 |
0 |
1 |
6 |
301 |
| The case for market inefficiency: Investment style and market pricing |
0 |
0 |
1 |
3 |
0 |
0 |
4 |
7 |
| The effect of genetic algorithm learning with a classifier system in limit order markets |
0 |
2 |
5 |
14 |
2 |
6 |
26 |
28 |
| Time Series Momentum and Market Stability |
0 |
2 |
6 |
71 |
1 |
4 |
14 |
197 |
| Time-Varying Beta: A Boundedly Rational Equilibrium Approach |
0 |
0 |
1 |
99 |
0 |
0 |
5 |
251 |
| Time-Varying Economic Dominance Through Bistable Dynamics |
0 |
0 |
2 |
7 |
2 |
3 |
12 |
21 |
| Time-varying economic dominance in financial markets: A bistable dynamics approach |
0 |
0 |
2 |
3 |
0 |
1 |
5 |
6 |
| Toward a General Model of Financial Markets |
0 |
3 |
4 |
43 |
1 |
5 |
9 |
95 |
| Trading Heterogeneity Under Information Uncertainty |
0 |
0 |
1 |
24 |
1 |
3 |
11 |
68 |
| Volatility Clustering: A Nonlinear Theoretical Approach |
0 |
0 |
6 |
50 |
1 |
5 |
23 |
131 |
| Total Working Papers |
9 |
31 |
177 |
7,653 |
93 |
203 |
804 |
26,308 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET |
0 |
1 |
1 |
25 |
0 |
1 |
3 |
87 |
| A behavioural model of investor sentiment in limit order markets |
0 |
0 |
1 |
3 |
0 |
1 |
7 |
15 |
| A dynamic analysis of moving average rules |
0 |
0 |
3 |
197 |
3 |
7 |
20 |
603 |
| An analysis of the cobweb model with boundedly rational heterogeneous producers |
0 |
0 |
1 |
40 |
0 |
0 |
2 |
219 |
| An analysis of the effect of noise in a heterogeneous agent financial market model |
0 |
0 |
1 |
48 |
1 |
3 |
7 |
157 |
| An evolutionary CAPM under heterogeneous beliefs |
0 |
0 |
0 |
20 |
0 |
2 |
6 |
114 |
| Asset allocation with time series momentum and reversal |
0 |
0 |
4 |
4 |
3 |
8 |
24 |
28 |
| Asset price and wealth dynamics under heterogeneous expectations |
0 |
0 |
0 |
18 |
0 |
2 |
5 |
76 |
| Boundedly rational equilibrium and risk premium |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
80 |
| Butter mountains, milk lakes and optimal price limiters |
0 |
0 |
1 |
17 |
0 |
0 |
1 |
162 |
| Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, Dynamic Modelling and Econometrics in Economics and Finance 18 |
0 |
0 |
1 |
1 |
2 |
2 |
6 |
6 |
| Commodity markets, price limiters and speculative price dynamics |
0 |
0 |
1 |
107 |
2 |
4 |
12 |
363 |
| Disagreement in a Multi-Asset Market |
0 |
0 |
0 |
12 |
1 |
3 |
4 |
39 |
| Disagreement, correlation and asset prices |
0 |
0 |
0 |
13 |
1 |
1 |
3 |
59 |
| Do heterogeneous beliefs diversify market risk? |
0 |
0 |
1 |
20 |
0 |
0 |
2 |
101 |
| Does the market maker stabilize the market? |
0 |
0 |
2 |
19 |
0 |
2 |
6 |
87 |
| Dynamics of beliefs and learning under aL-processes -- the heterogeneous case |
0 |
0 |
0 |
42 |
0 |
1 |
4 |
213 |
| Dynamics of moving average rules in a continuous-time financial market model |
0 |
0 |
1 |
14 |
2 |
2 |
4 |
117 |
| Estimating behavioural heterogeneity under regime switching |
0 |
0 |
1 |
16 |
1 |
2 |
6 |
89 |
| Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market |
0 |
1 |
5 |
19 |
2 |
4 |
13 |
84 |
| HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER |
1 |
1 |
4 |
39 |
3 |
3 |
11 |
161 |
| Herding, trend chasing and market volatility |
0 |
0 |
2 |
16 |
0 |
1 |
7 |
58 |
| Heterogeneity, convergence, and autocorrelations |
1 |
1 |
1 |
44 |
1 |
7 |
33 |
195 |
| Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model |
0 |
1 |
3 |
143 |
5 |
6 |
15 |
479 |
| Heterogeneous agent models in financial markets: A nonlinear dynamics approach |
0 |
1 |
1 |
1 |
1 |
3 |
7 |
7 |
| Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model |
0 |
0 |
1 |
29 |
1 |
2 |
6 |
101 |
| Heterogeneous expectations and exchange rate dynamics |
0 |
0 |
1 |
21 |
0 |
0 |
5 |
72 |
| Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework |
0 |
2 |
5 |
66 |
0 |
4 |
14 |
184 |
| Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 |
0 |
2 |
3 |
14 |
1 |
3 |
10 |
55 |
| Index portfolio and welfare analysis under heterogeneous beliefs |
0 |
0 |
3 |
5 |
1 |
5 |
14 |
25 |
| Learning, information processing and order submission in limit order markets |
0 |
0 |
3 |
14 |
1 |
1 |
9 |
83 |
| Market stability switches in a continuous-time financial market with heterogeneous beliefs |
0 |
0 |
0 |
30 |
0 |
0 |
4 |
104 |
| Moving average rules as a source of market instability |
0 |
0 |
0 |
9 |
1 |
3 |
5 |
54 |
| Power-law behaviour, heterogeneity, and trend chasing |
1 |
1 |
3 |
75 |
2 |
8 |
30 |
351 |
| Prediction market prices under risk aversion and heterogeneous beliefs |
0 |
0 |
0 |
4 |
0 |
3 |
5 |
26 |
| Profitability of time series momentum |
0 |
3 |
16 |
60 |
2 |
5 |
38 |
176 |
| Rollover risk and credit risk under time-varying margin |
0 |
1 |
2 |
2 |
0 |
1 |
2 |
9 |
| Testing of a market fraction model and power-law behaviour in the DAX 30 |
0 |
0 |
0 |
8 |
2 |
3 |
6 |
57 |
| The adaptiveness in stock markets: testing the stylized facts in the DAX 30 |
0 |
0 |
0 |
1 |
1 |
5 |
11 |
25 |
| The dynamic behaviour of asset prices in disequilibrium: a survey |
0 |
0 |
1 |
43 |
1 |
1 |
6 |
137 |
| The stochastic bifurcation behaviour of speculative financial markets |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
32 |
| Time-varying beta: a boundedly rational equilibrium approach |
0 |
0 |
0 |
11 |
2 |
2 |
4 |
91 |
| Trading heterogeneity under information uncertainty |
0 |
0 |
2 |
6 |
0 |
0 |
7 |
29 |
| Volatility clustering: A nonlinear theoretical approach |
0 |
0 |
1 |
3 |
3 |
3 |
8 |
24 |
| Total Journal Articles |
3 |
15 |
77 |
1,297 |
46 |
114 |
393 |
5,234 |
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