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2014 Research Papers

341. Xue-Zhong He and Kai Li Time Series Momentum and Market Stability PDF 3.8 MB

342.  Carl Chiarella, Xue-Zhong He, Lei Shi and Lijian Wei A Behavioural Model of Investor Sentiment in Limit Order Markets PDF 552 KB

343.  Jan Baldeaux, Man Chung Fung, Katja Ignatieva and Eckhard Platen A Hybrid Model for Pricing and Hedging of Long Dated Bonds PDF 1.649 MB

344.  Carl Chiarella, Xue-Zhong He and Remco C.J. Zwinkels  Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500 PDF 717 KB

345.  Austin Gerig and David Michayluk Automated Liquidity Provision PDF 481 KB

346.  KiHoon Jimmy Hong and Eliza Wu Can Momentum Factors be used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements? PDF 465 KB

347.  KiHoon Jimmy Hong, Bin Peng and Xiaohui Zhang Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model PDF 512 KB

348.  Yang Chang and Erik Schlögl A Consistent Framework for Modelling Basis Spreads in Tenor Swaps PDF 3.2 MB

349. Lijian Wei, Wei Zhang, Xiong Xiong and Lei Shi Position-Limit  Design for  the CSI  300 Futures Markets PDF 1.85 MB

350. David Heath and Eckhard Platen A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model PDF 1.67 MB

351. Kevin Fergusson Eckhard Platen Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach  PDF 1.142 MB