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Scopus Author ID: 57188713080
Scopus Author ID: 57188713080

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Employment (3)

Macquarie University: Sydney, New South Wales, AU

Employment
Source: check_circle
Macquarie University

Macquarie University: Sydney, NSW, AU

2017-12-11 to present | Senior Lecturer (Department of Applied Finance)
Employment
Source: Self-asserted source
Lei Shi

University of Technology Sydney: Broadway, NSW, AU

2016-01-01 to 2017-12-08 | Lecturer (Finance Discipline Group)
Employment
Source: Self-asserted source
Lei Shi

Education and qualifications (1)

University of Technology Sydney: Broadway, NSW, AU

2007-01-01 to 2010-11-01 | PhD in Finance (Finance Discipline Group)
Education
Source: Self-asserted source
Lei Shi

Funding (1)

(Asset pricing with social interactions, adaptive learning, and differences in opinion)

Source: Self-asserted source
Lei Shi via DimensionsWizard

Works (15)

The social value of information uncertainty

Journal of Economic Behavior and Organization
2025-01 | Journal article | Author
DOI: 10.1016/j.jebo.2024.106840
SOURCE-WORK-ID:

10e99afc-ea6a-49e8-b64b-bff4560f5994

EID:

2-s2.0-85212157610
Contributors: Xue-Zhong (Tony) He; Lei Shi; Marco Tolotti
Source: check_circle
Macquarie University

Social interaction, volatility clustering, and momentum

Journal of Economic Behavior and Organization
2022-11 | Journal article | Author
DOI: 10.1016/j.jebo.2022.05.029
SOURCE-WORK-ID:

6d6204b7-e5e8-4d7d-8837-c8a30c4911a4

EID:

2-s2.0-85138071320

WOSUID:

000871062800009
Contributors: Xue-Zhong He; KAI LI; Caterina Santi; Lei Shi
Source: check_circle
Macquarie University

Dynamic asset pricing with interactions between short-sale and borrowing constraints

Review of Asset Pricing Studies
2021-12 | Journal article | Author
DOI: 10.1093/rapstu/raab003
SOURCE-WORK-ID:

746b0527-e49e-415e-9cd1-f19958abe3ef

WOSUID:

000746043800006

EID:

2-s2.0-85115210083
Contributors: Lei Shi; Yajun Xiao
Source: check_circle
Macquarie University

Investor sentiment in an artificial limit order market

Complexity
2020-06-30 | Journal article | Author
DOI: 10.1155/2020/8581793
SOURCE-WORK-ID:

15a53e19-5cce-453d-bdd1-39367befa78b

EID:

2-s2.0-85088692929

WOSUID:

000553450600002
Contributors: Lijian Wei; Lei Shi
Source: check_circle
Macquarie University

Index portfolio and welfare analysis under heterogeneous beliefs

Journal of Banking and Finance
2017-02-01 | Journal article | Author
DOI: 10.1016/j.jbankfin.2016.11.001
SOURCE-WORK-ID:

e8802ba7-8f70-45fb-9b39-c8d21ad2bf55

EID:

2-s2.0-84997531447

WOSUID:

000393242900005
Contributors: Xue Zhong He; Lei Shi
Source: check_circle
Macquarie University

A behavioural model of investor sentiment in limit order markets

Quantitative Finance
2016 | Journal article
DOI: 10.1080/14697688.2016.1184756
EID:

2-s2.0-84979034863
Contributors: Chiarella, C.; He, X.-Z.; Shi, L.; Wei, L.
Source: Self-asserted source
Lei Shi via Scopus - Elsevier
grade
Preferred source (of 2)‎

Consumption-based CAPM with belief heterogeneity

Journal of Economic Dynamics and Control
2016 | Journal article
DOI: 10.1016/j.jedc.2016.02.002
EID:

2-s2.0-84960860960
Contributors: Shi, L.
Source: Self-asserted source
Lei Shi via Scopus - Elsevier
grade
Preferred source (of 2)‎

A binomial model of asset and option pricing with heterogeneous beliefs

Journal of Management Science and Engineering
2016-12 | Journal article | Author
DOI: 10.3724/SP.J.1383.101006
SOURCE-WORK-ID:

d02a0cd1-6cc3-4ff9-a7b8-229f626c77f1

EID:

2-s2.0-85078854033
Contributors: Xue-Zhong He; Lei Shi
Source: check_circle
Macquarie University

Position limit for the CSI 300 stock index futures market

Economic Systems
2015 | Journal article
DOI: 10.1016/j.ecosys.2015.01.003
EID:

2-s2.0-84943452662
Contributors: Wei, L.; Zhang, W.; Xiong, X.; Shi, L.
Source: Self-asserted source
Lei Shi via Scopus - Elsevier
grade
Preferred source (of 2)‎

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

Quantitative Finance
2013 | Journal article
DOI: 10.1080/14697688.2012.713981
EID:

2-s2.0-84873819492
Contributors: Platen, E.; Shi, L.
Source: Self-asserted source
Lei Shi via Scopus - Elsevier
grade
Preferred source (of 2)‎

Boundedly rational equilibrium and risk premium

Accounting and Finance
2012 | Journal article
DOI: 10.1111/j.1467-629X.2011.00421.x
EID:

2-s2.0-84855944907
Contributors: He, X.-Z.; Shi, L.
Source: Self-asserted source
Lei Shi via Scopus - Elsevier
grade
Preferred source (of 2)‎

Disagreement in a Multi-Asset Market

International Review of Finance
2012 | Journal article
DOI: 10.1111/j.1468-2443.2012.01153.x
EID:

2-s2.0-84865650827
Contributors: He, X.-Z.; Shi, L.
Source: Self-asserted source
Lei Shi via Scopus - Elsevier
grade
Preferred source (of 2)‎

Disagreement, correlation and asset prices

Economics Letters
2012 | Journal article
DOI: 10.1016/j.econlet.2012.04.064
EID:

2-s2.0-84861074526
Contributors: He, X.-Z.; Shi, L.
Source: Self-asserted source
Lei Shi via Scopus - Elsevier
grade
Preferred source (of 2)‎

Diversification effect of heterogeneous beliefs

Computational methods in economic dynamics
2011 | Book chapter | Author
DOI: 10.1007/978-3-642-16943-4_4
SOURCE-WORK-ID:

47c6f8ba-59f6-4b54-9980-e8fb5d9d9516

EID:

2-s2.0-84929027215

WOSUID:

000290069800004

Part of ISBN: 9783642169434
Part of ISBN: 9783642169427
Contributors: Xue-Zhong He; Lei Shi
Source: check_circle
Macquarie University

Portfolio efficiency under heterogeneous beliefs

Recent advances in financial engineering
2009 | Book chapter | Author
DOI: 10.1142/9789814304078_0005
SOURCE-WORK-ID:

8242e6ee-bd98-426a-810e-0fd597fe1f7a

Part of ISBN: 9789814273466
Contributors: Xue-Zhong He; Lei Shi
Source: check_circle
Macquarie University

Peer review (3 reviews for 3 publications/grants)

Review activity for Decisions in economics and finance. (1)
Review activity for International review of financial analysis. (1)
Review activity for Mathematics and financial economics. (1)
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