• 18 Citations
  • 3 h-Index
20122017

Research output per year

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Research Outputs

  • 18 Citations
  • 3 h-Index
  • 9 Article
2017

A behavioural model of investor sentiment in limit order markets

Chiarella, C., He, X-Z., Shi, L. & Wei, L., 2 Jan 2017, In : Quantitative Finance. 17, 1, p. 71-86 16 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Index portfolio and welfare analysis under heterogeneous beliefs

He, X. Z. & Shi, L., 1 Feb 2017, In : Journal of Banking and Finance. 75, p. 64-79 16 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)
2016

A binomial model of asset and option pricing with heterogeneous beliefs

He, X-Z. & Shi, L., Dec 2016, In : Journal of Management Science and Engineering. 1, 1, p. 94-113 20 p.

Research output: Contribution to journalArticle

Consumption-based CAPM with belief heterogeneity

Shi, L., 1 Apr 2016, In : Journal of Economic Dynamics and Control. 65, p. 30-46 17 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)
2015

Position limit for the CSI 300 stock index futures market

Wei, L., Zhang, W., Xiong, X. & Shi, L., 1 Sep 2015, In : Economic Systems. 39, 3, p. 369-389 21 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)
2013

On the numerical stability of simulation methods for SDEs under multiplicative noise in finance

Platen, E. & Shi, L., Feb 2013, In : Quantitative Finance. 13, 2, p. 183-194 12 p.

Research output: Contribution to journalArticle

2012

Boundedly rational equilibrium and risk premium

He, X. Z. & Shi, L., Mar 2012, In : Accounting and Finance. 52, 1, p. 71-93 23 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

Disagreement, correlation and asset prices

He, X. Z. & Shi, L., Sep 2012, In : Economics Letters. 116, 3, p. 512-515 4 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)

Disagreement in a multi-asset market

He, X-Z. & Shi, L., Sep 2012, In : International Review of Finance. 12, 3, p. 357-373 17 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)