See the complete profile on LinkedIn and discover Kai’s … This papers incorporates the adaptive behavior of agents with heterogeneous beliefs and establishes an evolutionary capital asset pricing model (ECAPM) within the mean-variance framework. Join Facebook to connect with Kai Mckenzie and others you may know. However, cell growth assays in these processes were performed in bulk at the population level, thus obscuring the dynamics of rare single cells exhibiting beneficial traits. The synthetic procedure involves an epitaxial end-on growth of upconversion nanocrystals comprising different lanthanide activators onto the NaYF4 microrods. We show that indexation lags increase the number of state variables characterizing both the bond prices and the optimal portfolio. First, fake news can break the authenticity balance of the news ecosystem. We use Cookies to give you the best possible experience on our website. Stability Switch Mathematics. Kaylesh Sivaguru. We develop a theoretical model to explain the puzzling low-beta anomaly in China. University students and faculty, institute members, and independent researchers, Technology or product developers, R&D specialists, and government or NGO employees in scientific roles, Health care professionals, including clinical researchers, Journalists, citizen scientists, or anyone interested in reading and discovering research. AU - Wu, Xian. Due to time to build, production depends not only on the current business condition as in the original CIR, but also on past conditions over the production period. Kai has 5 jobs listed on their profile. Recent external collaboration on country level. Herding Mathematics. Facebook gives people the power to share and makes the world more open and connected. View Kai Liu’s profile on LinkedIn, the world’s largest professional community. Dr Kai Liu is a University Lecturer at the Faculty of Economics, University of Cambridge. Sai Wu, Zhejiang University. Research Interests: ... Yifeng.Liu@monash.edu (0)426 996 878. Tso-Kai Liu, 76. This information is a general description of the Macquarie Group only. Lyan Lai Manager at UPS Hong Kong SAR. Kai Liu Process Engineer & Business Manager Petrochina International. We then estimate the model to the S&P 500 and demonstrate that, by takin... We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, but their impacts are different. Join ResearchGate to contact this researcher and connect with your scientific community. Yeast has been engineered for cost‐effective organic acid production through metabolic engineering and synthetic biology techniques. View Kai-Jui Liu’s profile on LinkedIn, the world's largest professional community. International Joint Conference on Natural Language Processing (IJCNLP 2017). Kai Ming Liu Transportation District Manager at UPS Hong Kong. AU - Xu, Jiajie. 王晓昌 has 1 job listed on their profile. investment strategy theoretically, and test the strategy empirically. See the complete profile on LinkedIn and discover Kai Fon’s connections and jobs at similar companies. Sorry, you need to be a researcher to join ResearchGate. Join Facebook to connect with Kai Liu and others you may know. Includes Address(7) Phone(2) Email(2) This paper documents a highly downward sloping security market line (SML) in China, which is more puzzling than the typical “flattened” SML in the US, and is difficult to be explained by existing theories of low-beta anomaly. Kai Marino is on Facebook. Kai Liu is on Facebook. This paper studies the impact of time to build on the term structure of interest rates in an otherwise standard (Cox et al., 1985a; 1985b, CIR) production economy. Kai Liu is on Facebook. His research interests are in Labor Economics, Public Economics, Applied Microeconometrics, Economics of China. University Lecturer (Assistant Professor) University of Cambridge Faculty of Economics Sidgwick Avenue, Cambridge CB3 9DD, UK Email: kai.liu@econ.cam.ac.uk Ph.D. Johns Hopkins, 2011 Curriculum Vitae (PDF). H Su, K Zheng, H Wang, J Huang, X Zhou. Join Facebook to connect with Kai Storm and others you may know. Kai Liu is on Facebook. University of California, San Diego (UCSD) - Rady School of Management. Macquarie Business School, Macquarie University. View Kai Liu’s profile on LinkedIn, the world’s largest professional community. View Kai Liu’s profile on LinkedIn, the world’s largest professional community. The lag-induced s... We assess empirically the intertemporal hedging for assets with momentum (we term it "intertemporal momentum" or IM). Geethana Paratharajan ... Kai Liu. View Kai Lin’s profile on LinkedIn, the world’s largest professional community. ×It appears you are using an ad-blocker. Dive into the research topics where Kai Li is active. This paper extends the analysis of the seminal work of Brock and Hommes (1997, 1998) on heterogeneous beliefs and rational routes to randomness in discrete-time models to a continuous-time model of asset pricing. The 30th Web Conference 2021 (TheWebConf 2021). In this paper, we have considered a prey–predator model with Beddington-DeAngelis functional response and selective harvesting of predator species. See the complete profile on LinkedIn and discover Kai’s … The optimal portfolio weight depends not only on momentum that characterizes the expected return as in Merton's framework, but also on a new state variable that is a functional of price paths, unlike in Merton. View Gareth Roberts’ profile on LinkedIn, the world's largest professional community. Date Written: October 31, 2020. Journal of Economic Dynamics and Control. Director - Macquarie Commodities and Global Markets. Kai has 4 jobs listed on their profile. Using an ad-blocker may interfere with the referral links to Chaturbate. Resides in Los Altos, CA. Geethana Paratharajan. The extensive spread of fake news can have a serious nega-tive impact on individuals and society. Together they form a unique fingerprint. Ljubljana, Slovenia, April 19-23, 2021. This paper studies the impact of time to build on the term structure of interest rates in an otherwise standard Cox, Ingersoll and Ross (1985a, 1985b, CIR) production economy. Kai Fon has 5 jobs listed on their profile. Kristina Lerman, University of Southern California. We show 91: 2015: Calibrating trajectory data for similarity-based analysis. 1 (2019) pp. By considering a simple asset pricing model with two types of boundedly rational traders, fundamentalists and trend followers, and noise traders, we provide theo... We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. (2008). By analyzing the associated charact... By considering a financial market of fundamentalists and trend followers in which the price trend of trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market model with time delay and examine the impact of time delay on market price dynamics. 链闻 ChainNews 诚邀读者共同监督，坚决杜绝各类代币发行、投资推荐及虚拟货币炒作信息。【TrustCom 2020】Jul. Guanfeng Liu Macquarie University Verified email at mq.edu.au Qing Li Chair Professor (Data Science), the Hong Kong Polytechnic University Verified email at comp.polyu.edu.hk Kai Zheng 郑凯 Professor of Computer Science, University of Electronic Science and Technology of … His research interests include graph database, trust management, and social network mining. of publications stored in Pure and citations from Scopus, Slow diffusion of information in asset pricing and risk management, Slow Diffusion of Information in Asset Pricing and Risk Management, Return Predictability under Heterogeneous Beliefs and Investor Sentiment, Study on market liquidity crash based on big-data analytics and agent-based modelling, Asset pricing with heterogeneous beliefs and social interactions, Investor overconfidence and the security market line: New evidence from China. Specifically, when momentum traders are more active in... We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. By continuing to browse this site, you give consent for Cookies to be used. View the profiles of professionals named "Liu.wei" on LinkedIn. CCFS CoE is integrating previously disparate fields - geochemistry, petrophysics, geophysics and numerical and thermodynamical modelling - to reach a new level of understanding of Earth’s dynamics and the fluid cycle(s) through time. These topic labels come from the works of this person. View Kai Fon Cheong’s profile on LinkedIn, the world’s largest professional community. 2015 IEEE 31st International Conference on Data Engineering, 423-434, 2015. We report the synthesis of luminescent crystals based on hexagonal-phase NaYF4 upconversion microrods. Report this profile Experience UPS 14 years 9 months ... Kai Ming Liu. AU - Du, Lan. Kai has 5 jobs listed on their profile. Due to our privacy policy, only current members can send messages to people on ResearchGate. London, United Kingdom. Gareth has 3 jobs listed on their profile. that, by combining market fundamentals and timing opportunity with respect to Please disable it (here is how). By developing a simple evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information uncertainty and show that social interaction leads to the existence of multiple Nash equilibria that characteriz... To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. © 2008-2021 ResearchGate GmbH. Volatility Mathematics. Guimei Liu, Institute for Infocomm Research Chuanren Liu, University of Tennessee Huan Liu, Arizona State University Sijia Liu, MIT-IBM Watson AI Lab, IBM Research Ninghao Liu, Texas A&M University Kai Liu, Colorado School Due to time to build, production depends not only on the current business condition as in the original CIR, but also on past conditions over the production period. Conditions for the stability of the fundamenta... Join ResearchGate to find the people and research you need to help your work. Extrapolation of returns has been well-documented. Heterogeneity and evolutionary behaviour of investors are two of the most important characteristics of financial markets. See the complete profile on LinkedIn and discover Gareth’s connections and jobs at similar companies. 在领英上查看“Liu Kai”的职业档案。有 9,000+ 位职场人士的姓名为“Liu Kai”，使用领英来交流信息、观点和机会。 AU - Liu, Huiwen AU - Xu, Jiajie AU - Zheng, Kai AU - Liu, Chengfei AU - Du, Lan AU - Wu, Xian PY - 2017 Y1 - 2017 N2 - Nowadays, users of social networks like tweets and … Facebook gives people the power to share and makes the world more open and connected. AU - Liu, Huiwen. Kai does research in Financial Economics, Risk Management and Insurance and Econometrics. Katie (Kai) has 4 jobs listed on their profile. ‪Macquarie University‬ - ‪‪Cited by 366‬‬ - ‪asset pricing‬ - ‪portfolio selection‬ - ‪nonlinear economic dynamics‬ - ‪time delays‬ This paper verifies the endogenous mechanism and economic intuition on volatility clustering using the coexistence of two locally stable attractors proposed by Gaunersdorfer et al. Abstract. in asset price, we develop a continuous-time asset price model, derive the optimal Kai Liu, Colorado School of Mines. Lived In Mountain View CA, Campbell CA, San Francisco CA, Saratoga CA. Its dynamics are studied in terms of local analysis and Hopf bifurcation analysis. Macquarie University business school, Department of applied finance staff Skip to content Skip to navigation Macquarie University home page Macquarie University logo Study. New path-induced state variables characterizing the delayed information are constructed, together with the original state variables, to constitute a sufficient statistic of the dynamic portfolios. We show that the market under-reacts in short-run and over-reacts in long-run when momentum traders dominate the market, which provides profit opportunity for time series momentum strate... We introduce a heterogeneous agent asset pricing model in continuoustime to show that trend chasing, switching and herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. AU - Liu, Chengfei. State variables... 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. Kaylesh Sivaguru Senior Associate at Macquarie Group. Macquarie University, +2 more Kai-Wei Liu Information Technology Intern at Nomura Asset Management Taiwan Ltd. Nomura Asset Management Taiwan Ltd., +2 more National Taiwan University Oracle, +3 more Kai … View Kai Lin’s profile on LinkedIn, the world’s largest professional community. Really well. Consistent with the dynamic portfolio theory, we show that (1) IM significantly forecasts stock returns at both market level and firm level over long horizons and complements standard myopic momentum (MM); (2) IM strategies produce... We derive the price of inflation-indexed bonds of which the payments are linked to a lagged price index, and solve for the optimal bond portfolio under both inflation and indexation lags in closed form. At Wok Mania Port Macquarie we are proud to offer you our very own online food ordering app Dive into the research topics where Kai Li is active. finance, PhD, University of Technology Sydney, mathematics, M.S., Harbin Institute of Technology, mathematics, B.S., Harbin Institute of Technology, Select a country to view shared publications and projects, Research output: Contribution to journal › Article › peer-review. 6 Similar Profiles; Continuous Time Mathematics. Only verified researchers can join ResearchGate and send messages to other members. Kai Liu, Jasmin A. Holz, Yadan Ding, Xiaomin Liu, Youlin Zhang, Langping Tu, Xianggui Kong *, Bram Priem, Annemarie Nadort, Saskia A.G. Lambrechts, Maurice C.G. Published Papers Liu, K. Wage Risk and the Value of Job Mobility in Early Employment Careers, Journal of Labor Economics vol 37 no. Kai Li currently works at the Applied Finance Centre, Macquarie University. If you made any changes in Pure these will be visible here soon. See all articles by Kai Li Kai Li. Financial Markets Mathematics. Find local businesses, view maps and get driving directions in Google Maps. N2 - Nowadays, users of social networks like tweets and weibo have generated massive geo-tagged records, and these records reveal their activities in the physical world together with spatio-temporal dynamics. All rights reserved. We show that investor overconfidence offers some promises in resolving the puzzle in China: In the time-series dimension, the sl... We derive the price of inflation-indexed bonds of which the payments are linked to a lagged price index and solve for the optimal bond portfolio under both inflation and indexation lags in closed form. See the complete profile on LinkedIn and discover Kai’s … Dive into details by clicking on the dots or, Calculated based on no. CiteScore values are based on citation counts in a range of four years (e.g. In our model... We explicitly solve for the optimal dynamic strategy between a risk-less asset and a risky asset with momentum. Chief Liu’s retirement is effective September 1, 2019 when he takes on his new appointment as Chief of Police for another police service three […] Join Facebook to connect with Kai Liu and others you may know. We show that indexation lags increase the number of state variables characterizing both the bond prices and the optimal portfolio. Haoming Liu, Gaojie Yang, Hao Yin, Zhenxing Wang, Chunyuan Chen, Zhengzhao Liu, Hui Xie, In vitro and in vivo osteogenesis up-regulated by two-dimensional nanosheets through a macrophage-mediated pathway , Biomaterials Science, 10.1039/D0BM01596B, (2020). Powered by Pure, Scopus & Elsevier Fingerprint Engine™ © 2021 Elsevier B.V. We use cookies to help provide and enhance our service and tailor content. LIU Jiachao 河野義生 2021/04/01～2023/03/31 中国愛媛大・准教授 （24か月間） PATRA Moumita 若林克法 2021/04/01～2023/03/31 インド関西学院大・教授 （24か月間） KIM Hyangpyo 塩川和夫 2021/04/01～2023/03/31 We solve for the equilibrium in closed form. We show that the performance of momentum strategy is determined by both time horizon and the market dominance of momentum traders. Kai-Wei Chang page 5 of 11 [48]K. Arnold, K.-W Chang, A. Kalai, Counterfactual Language Model Adaptation for Suggesting Phrases. Kai does research in Financial Economics, Risk Management and Insurance and Econometrics. Two delays appear in this model to describe the time that juveniles take to mature. View 王晓昌’s profile on LinkedIn, the world’s largest professional community. Kai-Jui has 2 jobs listed on their profile. Room 210, Building 70, 21 Alliance Walk, Monash U Clayton. Kai Lei, Peking University. If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday. Macquarie Research Hong Kong Property 20 December 2016 2 3.9k units available for sales in 2017 The debut launch of Kai Tak district, COLI’s One Kai Tak (I) was a great success with ~95% of units sold within 2 Their most recent publication is 'Time-varying economic dominance in financial markets: A bistable dynamics approach'. Jun Liu. Before moving to Macquarie, Michael spent 10 years at School of Computer Science, the University of Adelaide , serving ... Kai Wang, Yu Liu, Qian Ma, and Quan Z. Sheng. By studying a dynamic asset allocation problem, we derive the optimal investment strategy in closed form and show that the combined momentum and reversal strategies are optimal. His research interests are in Labor Economics, Public Economics, Applied Microeconometrics, Economics of China. Guizhou University of Finance and Economics, Birla Institute of Technology and Science Pilani, National Institute for Mathematical Science, Central University of Finance and Economics, Investor Overconfidence and the Security Market Line: New Evidence from China, Portfolio Selection with Inflation-linked Bonds and Indexation Lags, PORTFOLIO SELECTION WITH INFLATION-LINKED BONDS AND INDEXATION LAGS, Portfolio Selection under Time Delays: A Piecewise Dynamic Programming Approach, Time-varying economic dominance in financial markets: A bistable dynamics approach, Asset Allocation with Time Series Momentum and Reversal, Social Interaction, Stochastic Volatility, and Momentum, Production Delay and Belief Distributions in a Continuous-Time Cobweb Model, Volatility Clustering: A Nonlinear Theoretical Approach, Market Sentiment and Paradigm Shifts in Equity Premium Forecasting, REVERSING MOMENTUM: THE OPTIMAL DYNAMIC MOMENTUM STRATEGY, Herding, Trend Chasing and Market Volatility, Time Series Momentum and Market Stability, An Evolutionary CAPM Under Heterogeneous Beliefs, Heterogeneous beliefs and adaptive behavior in a continuous-time asset price model, Stability and Hopf bifurcation analysis of a prey–predator system with two delays, Market stability switches in a continuous-time financial market with heterogeneous beliefs. Kai has 5 jobs listed on their profile. ... Kai Zheng 郑凯 ... J Xu, J Liu, X Zhou. Guanfeng Liu Macquarie University Verified email at mq.edu.au. Whatever you want to do, we have someone who's doing it.