Lei Shi
TitleCited byYear
A Behavioral Model of Investor Sentiment in Limit Order Markets
C Chiarella, X He, L Shi, L Wei
Forthcoming in Quantitative Finance, 2016
122016
On the numerical stability of simulation methods for SDEs
E Platen, L Shi
QFRC Research Paper 234, 2008
112008
Portfolio analysis and Zero-Beta CAPM with Heterogeneous beliefs
XZ He, L Shi
Quantitative Finance Research Centre, University of Technology, Sydney …, 2009
82009
Position limit for the CSI 300 stock index futures market
L Wei, W Zhang, X Xiong, L Shi
Economic Systems 39 (3), 369-389, 2015
62015
Differences in opinion and risk premium
X He, L Shi
Research Paper 271, 2010
52010
Boundedly rational equilibrium and risk premium
XZ He, L Shi
Accounting & Finance 52 (1), 71-93, 2012
42012
Diversification effect of heterogeneous beliefs
XZ He, L Shi
Computational methods in economic dynamics, 57-75, 2011
42011
Index portfolio and welfare analysis under heterogeneous beliefs
XZ He, L Shi
Journal of Banking & Finance 75, 64-79, 2017
32017
Consumption-based CAPM with belief heterogeneity
L Shi
Journal of Economic Dynamics and Control 65, 30-46, 2016
32016
Disagreement, correlation and asset prices
XZ He, L Shi
Economics Letters 116 (3), 512-515, 2012
32012
Disagreement in a Multi‐Asset Market
XZ He, L Shi
International Review of Finance 12 (3), 357-373, 2012
32012
Zero-Beta CAPM with Heterogeneous Beliefs
X He, L Shi
20th Australasian Finance & Banking Conference, 2007
32007
A binomial model of asset and option pricing with heterogeneous beliefs
XZ He, L Shi
Journal of Management Science and Engineering 1 (1), 94-113, 2016
22016
Portfolio efficiency under heterogeneous beliefs
XZ He, L Shi
Recent Advances In Financial Engineering 2009, 127-156, 2010
22010
Social Interaction, Stochastic Volatility, and Momentum
X He, K Li, L Shi
Stochastic Volatility, and Momentum (February 17, 2017), 2017
12017
Heterogeneity, bounded rationality, and market dysfunctionality
X He, L Shi
Quantitative Finance Research Centre, University of Technology, Sydney …, 2008
12008
The Social Value of Asymmetric Information Revisited
X He, L Shi, M Tolotti
Available at SSRN 3332356, 2019
2019
Asset Pricing with Heterogeneous and Constrained Investors
L Shi, Y Xiao
2018
Are We Better-off for Working Hard?
XZ He, L Shi, M Tolotti
Quantitative Finance Research Centre, University of Technology, Sydney …, 2018
2018
Disagreement, Excess Volatility and Comovement in Stock Returns
X He, L Shi
Available at SSRN 2032899, 2017
2017
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Articles 1–20