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Implementing statistical criteria to select return forecasting models: what do we learn?

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P Bossaerts… - Review of Financial Studies, 1999 - Soc Financial Studies
Abstract Statisticl model selection criteria provide an informed choice of the model with best
external (ie, out-of-sample) validity. Therefore they guard against overfitting ('data
snooping'). We implement several model selection criteria in order to verify recent ...
Cited by 326 - Related articles - BL Direct - All 20 versions

An optimal IPO mechanism

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B Biais, P Bossaerts… - The Review of …, 2002 - restud.oxfordjournals.org
Abstract We analyse the optimal Initial Public Offering (IPO) mechanism in a
multidimensional adverse selection setting where institutional investors have private
information about the market valuation of the shares, the intermediary has private ...
Cited by 138 - Related articles - BL Direct - All 17 versions

Common nonstationary components of asset prices

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P Bossaerts - Journal of Economic Dynamics and Control, 1988 - Elsevier
Abstract Portfolio separation in a multi-period general equilibrium context implies that asset
prices are collinear. In economies that do not exhibit separation, but that move close to
separation,'approximate collinearity'or cointegration emerges as a statistical model of ...
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Neural correlates of mentalizing-related computations during strategic interactions in humans

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AN Hampton, P Bossaerts… - Proceedings of the …, 2008 - National Acad Sciences
Abstract Competing successfully against an intelligent adversary requires the ability to
mentalize an opponent's state of mind to anticipate his/her future behavior. Although much is
known about what brain regions are activated during mentalizing, the question of how this ...
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[BOOK] The paradox of asset pricing

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PL Bossaerts - 2002 - Citeseer
Page 1. The Paradox Of Asset Pricing Peter Bossaerts California Institute of Technology,
Pasadena, CA Centre for Economic Policy Research, London, UK Pasadena, 6 May 2001
Forthcoming, Princeton University Press 0 Page 2. v “It is a very beautiful line of reasoning. ...
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Neural antecedents of financial decisions

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B Knutson… - The Journal of neuroscience, 2007 - Soc Neuroscience
Abstract To explain investing decisions, financial theorists invoke two opposing metrics:
expected reward and risk. Recent advances in the spatial and temporal resolution of brain
imaging techniques enable investigators to visualize changes in neural activation before ...
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Market microstructure effects of government intervention in the foreign exchange market

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P Bossaerts… - Review of Financial Studies, 1991 - Soc Financial Studies
Abstract As asymmetric information model of the bid-ask spread is developed for a foreign
exchange market subject to occasional government interventions. Traditional tests of the
unbiasedness of the forward rate as a predictor of the future spot rate are shown to be ...
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[CITATION] Simulation estimators of optimal early exercise

P Bossaerts - Unpublished manuscript, Graduate School of Industrial …, 1989
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Asset prices and trading volume in a beauty contest

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B Biais… - The Review of Economic Studies, 1998 - restud.oxfordjournals.org
Abstract Speculators buy an asset hoping to sell it later to investors with higher private
valuations. If agents are uncertain about the distribution of private valuations and about the
beliefs of others about this distribution, a beauty contest with an infinite hierarchy of beliefs ...
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Basic principles of asset pricing theory: Evidence from large-scale experimental financial markets

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P Bossaerts… - Review of Finance, 2004 - rof.oxfordjournals.org
Abstract We report on two sets of large-scale financial markets experiments that were
designed to test the central proposition of modern asset pricing theory, namely, that risk
premia are solely determined by covariance with aggregate risk. We analyze the pricing ...
Cited by 57 - Related articles - BL Direct - All 11 versions

Equilibrium asset pricing under heterogeneous information

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B Biais, P Bossaerts… - 2004 - papers.ssrn.com
Abstract: We analyze theoretically and empirically the implications of heterogeneous
information for equilibrium asset pricing and portfolio choice. Our theoretical framework,
directly inspired by Admati (1985), implies that with partial information aggregation, ...
Cited by 53 - Related articles - All 37 versions

A general equilibrium model of changing risk premia: Theory and tests

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P Bossaerts, RC Green - Review of Financial Studies, 1989 - Soc Financial Studies
Abstract We derive and test a dynamic discrete-time model of asset returns. Both the risks of
individual securities and equilibrium risk premia change predictably in the model, but these
changes can be attributed to movements in the returns and prices of only two well- ...
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Ambiguity in asset markets: theory and experiment

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P Bossaerts, P Ghirardato… - Review of Financial …, 2010 - Soc Financial Studies
Abstract This paper studies the impact of ambiguity and ambiguity aversion on equilibrium
asset prices and portfolio holdings in competitive financial markets. It argues that attitudes
toward ambiguity are heterogeneous across the population, just as attitudes toward risk ...
Cited by 47 - Related articles - All 30 versions

Neural correlates of value, risk, and risk aversion contributing to decision making under risk

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GI Christopoulos, PN Tobler… - The Journal of …, 2009 - Soc Neuroscience
Abstract Decision making under risk is central to human behavior. Economic decision theory
suggests that value, risk, and risk aversion influence choice behavior. Although previous
studies identified neural correlates of decision parameters, the contribution of these ...
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Adding prediction risk to the theory of reward learning

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K Preuschoff… - Annals of the New York Academy …, 2007 - Wiley Online Library
Abstract: This article analyzesthe simple Rescorla–Wagner learning rule from the vantage
point of least squares learning theory. In particular, it suggests how measures of risk, such
as prediction risk, can be used to adjust the learning constant in reinforcement learning. It ...
Cited by 44 - Related articles - BL Direct - All 15 versions

Inducing liquidity in thin financial markets through combined-value trading mechanisms

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P Bossaerts, L Fine… - European Economic Review, 2002 - Elsevier
Asset pricing theory hypothesizes that investors are only interested in portfolios; individual
securities are evaluated only in terms of their contribution to portfolio risk and return. Yet,
standard financial market design is that of parallel, unconnected markets, whereby ...
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IPO post-issue markets: questionable predilections but diligent learners?

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P Bossaerts… - Review of Economics and Statistics, 2001 - MIT Press
There appear to be no anomalies in the aftermarket of a sample of 4,848 US IPOs over the
period 1975 to 1995, except issues offered below $6. Risk is priced in the aftermarket in
accordance with Rubin-stein's asset-pricing model. Unlike under the efficient markets ...
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Excess demand and equilibration in multi-security financial markets: The empirical evidence

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E Asparouhova, P Bossaerts… - Journal of Financial Markets, 2003 - Elsevier
Price dynamics are studied in a dataset of more than 11,000 transactions from large-scale
financial markets experiments with multiple risky securities. The aim is to determine whether
a few simple principles govern equilibration. We first ask whether price changes are ...
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Prices and portfolio choices in financial markets: Theory, econometrics, experiments

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P Bossaerts, C Plott… - Econometrica, 2007 - Wiley Online Library
Many tests of asset-pricing models address only the pricing predictions, but these pricing
predictions rest on portfolio choice predictions that seem obviously wrong. This paper
suggests a new approach to asset pricing and portfolio choices based on unobserved ...
Cited by 33 - Related articles - BL Direct - All 15 versions

Equilibrium asset pricing and portfolio choice under asymmetric information

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B Biais, P Bossaerts… - Review of Financial Studies, 2010 - Soc Financial Studies
Abstract We analyze theoretically and empirically the implications of information asymmetry
for equilibrium asset pricing and portfolio choice. In our partially revealing dynamic rational
expectations equilibrium, portfolio separation fails, and indexing is not optimal. We show ...
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The CAPM in thin experimental financial markets

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P Bossaerts… - Journal of Economic Dynamics and Control, 2002 - Elsevier
We report on small-scale experiments of simple, repeated asset markets in two risky
securities and one risk-free security. As in large-scale experiments, steady convergence
towards the CAPM is discovered, but the process is slower and convergence halts before ...
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Basic principles of asset pricing theory: evidence from large-scale experimental financial markets

[PDF] from caltech.edu
P Bossaerts… - 2000 - papers.ssrn.com
Abstract: We report on six large-scale financial markets experiments that were designed to
test two of the most basic propositions of modern asset pricing theory, namely, that the
interaction between risk averse agents in a competitive market leads to equilibration, and ...
Cited by 29 - Related articles - BL Direct - All 19 versions

Expectations and learning in Iowa

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O Bondarenko… - Journal of banking & finance, 2000 - Elsevier
We study the rationality of learning and the biases in expectations in the Iowa Experimental
Markets. Using novel tests developed in (Bossaerts, P., 1996. Martingale restrictions on
equilibrium security prices under rational expectations and consistent beliefs. Caltech ...
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The econometrics of learning in financial markets

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P Bossaerts - Econometric Theory, 1995 - Cambridge Univ Press
The asymptotic behavior of the sample paths of two popular statistics that test market
efficiency are investigated when markets learn to have rational expectations. Two cases are
investigated, where, should markets start out at a rational expectations equilibrium, both ...
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Local parametric analysis of hedging in discrete time

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P Bossaerts… - Journal of Econometrics, 1997 - Elsevier
When continuous-time portfolio weights are applied to a discrete-time hedging problem,
errors are likely to occur. This paper evaluates the overall importance of the discretization-
induced tracking error. It does so by comparing the performance of Black-Scholes hedge ...
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Tax-induced intertemporal restrictions on security returns

P Bossaerts… - Journal of Finance, 1994 - JSTOR
This article derives testable restrictions on equilibrium asset prices when investors have the
option to time the realization of their capital gains and losses for tax purposes. The tax-timing
option alters both the magnitude and timing of equity returns relative to those in a tax-free ...
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An Exploration of Neo‐Austrian Theory Applied to Financial Markets

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H Benink, P Bossaerts - The Journal of Finance, 2001 - Wiley Online Library
We attempt to translate Neo-Austrian ideas about the workings of financial markets, as
originally advanced by FA Hayek, into the standard probabilistic language of modern
finance. We focus on an apparent paradox, namely the insistence of Neo-Austrians on ...
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[BOOK] Lectures on corporate finance

PL Bossaerts… - 2001 - books.google.com
Page 1. LECTURES ON CORPORATE Peter L. Bossaerts Bernt Arne 0degaa A A
w Page 2. Page 3. LECTURES ON CORPORATE FINANCE This One 4TTL-1S7-W3XF
Page 4. Page 5. LECTURES ON CORPORATE FINANCE ...
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Foreign exchange rates have surprising volatility

P Bossaerts, C Hafner… - In: Athens Conference on Applied …, 1996 - Citeseer
Abstract Local Polynomial Estimation (LPE) is implemented on a dataset of high-frequency
foreign exchange (FX) quotes. This nonparametric technique is meant to provide a flexible
background against which to evaluate parametric time series models. Assuming a ...
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[PDF] Prices and portfolio choices in financial markets: Theory and experiment

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P Bossaerts, C Plott… - Caltech/UCLA working paper, 2003 - Citeseer
Abstract Most tests of asset pricing models address only the pricing predictions—perhaps
because the portfolio choice predictions are obviously wrong. But how can pricing theory be
right if the portfolio choice theory on which it rests is wrong? This paper suggests an ...
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Toward a Mechanistic Understanding of Human Decision Making Contributions of Functional Neuroimaging

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JP O'Doherty… - Current Directions in Psychological …, 2008 - cdp.sagepub.com
Abstract This article considers the contribution of functional neuroimaging toward
understanding the computational underpinnings of human decision making. We outline the
main processes likely underlying the capacity to make simple choices and describe their ...
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[PDF] Ambiguity and asset prices: an experimental perspective

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P Bossaerts, S Guarnaschelli, P Ghirardato… - 2006 - skinance.com
Abstract Most of the economics and finance literature assumes that individual agents obey
the Savage axioms; that is, they maximize expected utility according to subjective priors.
However, Knight, Ellsberg and others argue that individual agents distinguish between ...
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[BOOK] The neurobiological foundations of valuation in human decision making under uncertainty

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P Bossaerts, K Preuschoff… - 2008 - books.google.com
The goal of this chapter is to review recent neurobiological evidence to improve our
understanding of human valuation under uncertainty. Although ultimately interested in
human behavior, we will borrow from studies of animals with related brain structures, ...
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Promoting intellectual discovery: patents versus markets

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D Meloso, J Copic… - Science, 2009 - sciencemag.org
Abstract Because they provide exclusive property rights, patents are generally considered to
be an effective way to promote intellectual discovery. Here, we propose a different
compensation scheme, in which everyone holds shares in the components of potential ...
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A test of a general equilibrium stock option pricing model

P Bossaerts… - Mathematical Finance, 1993 - Wiley Online Library
1. This paper combines and extends results reported in several earlier working papers of
ours. Comments from several colleagues, including the editor (S. Pliska), two anonymous
associate editors, and three referees, are gratefully acknowledged. David Bates's ...
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Experiments with financial markets: Implications for asset pricing theory

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P Bossaerts - The American Economist, 2001 - JSTOR
This article surveys financial markets experiments from a particular vantage point, namely,
asset pricing theory. The goal is to assess to what extent these experiments have (and
could) shed light on the validity of the basic principles of asset pricing theory, namely (i) ...
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[PDF] Prices and allocations in asset markets with heterogeneous attitudes towards ambiguity

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P Bossaerts, P Ghirardato, S Guarnaschelli… - Review of Financial …, 2007 - csef.it
Abstract This paper studies the impact of ambiguity aversion on equilibrium asset prices and
portfolio holdings in competitive financial markets. It argues that attitude toward ambiguity is
heterogeneous in the population, just as attitude toward risk is heterogeneous in the ...
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Neurobiological studies of risk assessment: a comparison of expected utility and mean-variance approaches

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M d'Acremont, P Bossaerts - Cognitive, Affective, & Behavioral …, 2008 - Springer
Abstract When modeling valuation under uncertainty, economists generally prefer expected
utility because it has an axiomatic foundation, meaning that the resulting choices will satisfy
a number of rationality requirements. In expected utility theory, values are computed by ...
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Filtering returns for unspecified biases in priors when testing asset pricing theory

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P Bossaerts - Review of Economic Studies, 2004 - Wiley Online Library
Procedures are presented that allow the empiricist to estimate and test asset pricing models
on limited-liability securities without the assumption that the historical payoff distribution
provides a consistent estimate of the market's prior beliefs. The procedures effectively filter ...
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Has the cross-section of average returns always been the same? Evidence from Germany, 1881-1913

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P Bossaerts… - 2001 - papers.ssrn.com
Abstract: The cross-section of average annual returns on German common stock in the
period of 1881-1913 exhibits several of the patterns that have been observed in more recent
US data. Market beta is hardly important, and its explanatory power is swamped by size ...
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Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment

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P Bossaerts… - Finance Research Letters, 2006 - Elsevier
In a recent paper, Judd et al.[2003. Journal of Finance 58, 2203–2217] study asset trading in
a version of the standard Lucas infinite horizon economy with heterogeneous agents. They
report the surprising finding that (for generic economies in their class), in equilibrium, ...
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[PDF] Prices and allocations in financial markets: Theory and evidence

[PDF] from psu.edu
P Bossaerts, C Plott… - Cal Tech Working Paper, 2000 - Citeseer
Abstract: The prices and allocations in two sets of asset markets experiments are studied.
One set is the certainty equivalent of the other. In both sets, markets evidently price risk
correctly (expected excess returns are proportional to covariance with aggregate risk) ...
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[PDF] Learning-induced securities price volatility

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P Bossaerts - 2001 - Citeseer
Abstract This paper tests whether the high average returns on the S&P 500 index in recent
history can be attributed to mistaken expectations (the ex-ante risk premium–taken to be
constant–is systematically less than the ex-post measured risk premium), or, alternatively, ...
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[PDF] Prices and portfolio choices in financial markets: Theory and experimental evidence

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P Bossaerts, C Plott… - 2002 - bbs.cenet.org.cn
Most asset-pricing models make strong predictions about portfolio choices as well as about
asset prices. The static and intertemporal versions of the Capital Asset Pricing Model (CAPM
and ICAPM) and (equilibrium versions of) Arbitrage Pricing Theory (APT), for example, ...
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What decision neuroscience teaches us about financial decision making

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P Bossaerts - Annu. Rev. Financ. Econ., 2009 - annualreviews.org
Financial decision making is the outcome of complex neurophysiological processes
involving, among others, constant re-evaluation of the statistics of the problem at hand,
balancing of the various emotional aspects, and computation of the very value signals that ...
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[CITATION] Transaction prices when insiders trade portfolios

P Bossaerts - Working Papers, 1993 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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Price discovery in financial markets: The case of the CAPM

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P Bossaerts, D Kleiman… - Social Science Working Paper …, 2000 - papers.ssrn.com
Abstract: We report on experiments of simple, repeated asset markets in two risky securities
and one risk-free security, set up to test the Capital Asset Pricing Model (CAPM), which
embeds the two most essential principles of modern asset pricing theory, namely,(i) ...
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[PDF] Testing CAPM in real markets: Implications from experiments

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P Bossaerts - 2003 - nccr-finrisk.uzh.ch
Abstract Tests of the CAPM, the prototype model of equilibrium in financial markets, are
usually based on returns computed from end-of-month closing prices. It is reasonable to
doubt that these prices always reflect markets that are at equilibrium, thus raising the ...
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Exploring the Nature of “Trader Intuition”

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AJ Bruguier, SR Quartz… - The Journal of Finance, 2010 - Wiley Online Library
Experimental evidence has consistently confirmed the ability of uninformed traders, even
novices, to infer information from the trading process. After contrasting brain activation in
subjects watching markets with and without insiders, we hypothesize that Theory of Mind ( ...
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[CITATION] Martingale Restrictions On Securities Prices Under Rational Expectations And Consistent Beliefs

P Bossaerts - (Caltech Working Paper), 1996
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MAOA-L carriers are better at making optimal financial decisions under risk

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C Frydman, C Camerer… - … of the Royal …, 2011 - rspb.royalsocietypublishing.org
Abstract Genes can affect behaviour towards risks through at least two distinct
neurocomputational mechanisms: they may affect the value assigned to different risky
options, or they may affect the way in which the brain adjudicates between options based ...
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[PDF] The dynamics of equity prices in fallible markets

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P Bossaerts - Working Papers, 1997 - Citeseer
Abstract In an e cient securities market, prices correctly re ect news about future payo s. This
paper argues that there are two aspects to correctness: i correct updating of beliefs from
news, ii correct prior beliefs. Traditionally, empirical research has implicitly insisted on ...
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[PDF] Cognitive biases, ambiguity aversion and asset pricing in financial markets

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E Asparouhova, P Bossaerts… - Online: http://papers. …, 2009 - business.utah.edu
Do cognitive biases (directly) affect asset prices? Evidence abound that people are subject
to cognitive biases. In the psychology literature, biases have been documented in
experiments where subjects have no choice but to directly reveal them. In financial ...
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Arbitrage-based pricing when volatility is stochastic

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P Bossaerts, E Ghysels… - 1996 - papers.ssrn.com
Abstract: In one of the early attempts to model stochastic volatility, Clark [1973] conjectured
that the size of asset price movements is tied to the rate at which transactions occur. To
formally analyze the econometric implications, he distinguished between transaction time ...
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[BOOK] Martingale restrictions on equilibrium prices of arrow-debreu securities under rational expectations and consistent beliefs

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P Bossaerts… - 1996 - Citeseer
Abstract Consider the Rational Expectations price history of an Arrow-Debreu security that
matures in the money: p1; p2;:::; pT. Past information can be used to predict the return pt+ 1,
pt= pt. Now consider a simple alternative performance measure: pt+ 1, pt= pt+ 1. It di ers ...
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A new method for volatility estimation with applications in foreign exchange rate series

P Bossaerts, W Härdle… - … Rate Series, " Proceedings of the …, 1995 - Citeseer
Abstract The statistical properties of three foreign exchange rate series are analyzed using a
redefinition of the time scale to cope with the inherent seasonal heteroskedasticity. A
conditional heteroskedastic autoregressive nonlinear (CHARN) model is estimated by ...
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[CITATION] Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental

P Bossaerts… - 2003
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[CITATION] The Dynamics Of Limited-Liability Securities Prices In Fallible Markets

P Bossaerts - 1999 - Caltech working paper
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[CITATION] Risk, estimation uncertainty, and unexpected uncertainty: Bayesian learning in unstable settings

E Payzan-LeNestour… - PLoS Computational Biology, forthcoming, 2010
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Local parametric analysis of derivatives pricing and hedging

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P Bossaerts… - Journal of Financial Markets, 2003 - Elsevier
A novel methodology for the analysis of derivatives pricing in incomplete markets is tested
empirically. The methodology generates hedge ratios and derivatives prices. They are
estimated from the correlation structure between the local co-movements of securities ...
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[CITATION] The impact of ambiguity on prices and allocations in competitive financial markets

P Bossaerts, P Ghirardato… - 2003 - en.scientificcommons.org
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[BOOK] An optimal IPO mechanism

B Biais, P Bossaerts… - 1996 - en.scientificcommons.org
Abstract We analyse the optimal Initial Public Offering (IPO) mechanism in a
multidimensional adverse selection setting where institutional investors have private
information about the market valuation of the shares, the intermediary has private ...
Cited by 5 - Related articles - Cached - Get it from MIT Libraries - All 5 versions

Testing the mean-variance efficiency of well-diversified portfolios in very large cross-sections

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P Bossaerts… - Annales d'Economie et de Statistique, 1995 - JSTOR
We propose a new way of testing the mean-variance efficiency of well-diversified portfolios
on large cross-sections of extremely short return histories. The methodology consists of a
sequence of simple tests, the results of which are aggregated in a statistic. This statistic is ...
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The experimental study of asset pricing theory

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P Bossaerts - 2010 - papers.ssrn.com
Abstract: This article sets the stage for experiments by first examining a sample data set that
looks very much like the typical historical data one gathers from the field, only it was actually
generated in the laboratory so that we know what really went on. The example ...
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[CITATION] Generalized method of moments tests of contingent claims asset pricing models

P Bossaerts… - Unpublished paper, Carnegie Mellon University, July, 1989
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Modelling price pressure in financial markets

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E Asparouhova… - Journal of Economic Behavior & …, 2009 - Elsevier
We present experimental evidence that, unlike traditional assumptions in economic theory,
security prices do not respond to pressure from their own excess demand. Instead, prices
respond to excess demand of all securities, despite the absence of a direct link between ...
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[CITATION] Asset Prices in a Speculative Market

P Bossaerts - Working Papers, 1992 - econpapers.repec.org
By Peter. Bossaerts; Asset Prices in a Speculative Market.
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[HTML] Risk, unexpected uncertainty, and estimation uncertainty: Bayesian learning in unstable settings

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E Payzan-LeNestour… - PLoS Computational Biology, 2011 - dx.plos.org
Recently, evidence has emerged that humans approach learning using Bayesian updating
rather than (model-free) reinforcement algorithms in a six-arm restless bandit problem. Here,
we investigate what this implies for human appreciation of uncertainty. In our task, a ...
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[CITATION] The Role of Excess Demand in Determining Marginal Price Changes in the Equilibration of Competitor Markets

PL Bossaerts, CR Plott… - California Institute of Technology, Pasadena, …, 2001
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[CITATION] An optimal IPO mechanism, forthcoming

B Biais, P Bossaerts… - Review of Economic Studies, 1998
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[CITATION] Has the cross-section of average returns always been the same? Evidence from germany, 1881-1913

C Fohlin… - 2001 - Caltech Social Sciences Working …
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[CITATION] Method of Moments Tests of Contingent Claims Asset Pricing Models

P Bossaerts - 1988 - INSEAD
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[CITATION] Prices and allocations in financial markets: Theory and experiment

P Bossaerts, C Plott… - 2006 - working paper
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Equilibration under competition in smalls: Theory and experimental evidence

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P Bossaerts - EFA 2006 Zurich Meetings, 2006 - papers.ssrn.com
Abstract: Many real-world markets are competitive only in smalls, taken to mean that price
taking applies only to small orders. Starting from this observation, a theory of equilibration is
derived where orders are optimal merely in a local sense. Prices are assumed to adjust in ...
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[CITATION] Has the cross-section of average returns always been the same? evidence from Germany

P Bossaerts… - 1881
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[PDF] Prices and portfolio choices in financial markets: Econometric evidence

[PDF] from cenet.org.cn
P Bossaerts, C Plott… - 2002 - bbs.cenet.org.cn
Abstract Structural econometrics is developed to test an extension of standard general
equilibrium theory that was suggested in [2] as explanation for why securities prices in
experimental financial markets tend to the predictions of general equilibrium theory but ...
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[CITATION] Asset Prices and Volume in a Beauty Contest

B Biais… - Working Papers, 1993 - ideas.repec.org
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view it first. Information about this may be contained in the File-Format links below. In case of
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[PDF] Neurophysiological evidence on perception of reward and risk: Implications for trading under time pressure

[PDF] from uzh.ch
A Bollard, R Lui, AD Nursimulu, A Rangel… - 2007 - ufsp.uzh.ch
Abstract Recent neurophysiological studies reveal that risk and reward are separately
encoded in the human brain, and that the encodings display different timing patterns.
Therefore, we hypothesized that sensitivity of trading decisions to risk and reward ...
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Testing theories of investor behavior using neural data

[PDF] from stanford.edu
C Frydman, N Barberis, C Camerer, P Bossaerts… - 2011 - papers.ssrn.com
Abstract: We show that measures of neural activity provided by functional magnetic
resonance imaging (fMRI) can be used to test between theories of investor behavior that are
difficult to distinguish using behavioral data alone. Subjects traded stocks in an ...
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[PDF] Equilibrium asset pricing and portfolio choice under asymmetric information

[PDF] from utoronto.ca
B Biais, P Bossaerts… - 2005 - rotman.utoronto.ca
Abstract We analyze theoretically and empirically the implications of information asymmetry
for equilibrium asset pricing and portfolio choice. In our partially revealing dynamic rational
expectations equilibrium, portfolio separation fails and indexing is not optimal. We show ...
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[CITATION] Markets

F ALLEN, L GLOSTEN, L HARRIS, J HASBROUCK… - … and Intergenerational Risk …, 1994
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[PDF] Dynamically complete experimental asset markets

[PDF] from dauphine.fr
P Bossaerts, D Meloso… - Available from author's webpage, 2008 - ifd.dauphine.fr
Abstract We compare prices and portfolio choices in complete and incomplete experimental
financial markets. The incomplete-markets treatment differs from the complete-markets one
in that we shut down one market, and that we announce, halfway through trading, which of ...
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Predicting risk in a multiple stimulus-reward environment

M d'Acremont, M Gilli… - Handbook of reward and …, 2009 - books.google.com
The simplest strategy for decision making under uncertainty is to select the option with the
highest expected reward. However, a multitude of behavioral data documents that humans
and animals are sensitive to risk as well [1, 2]. Usually, subjects forego expected return ...
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[PDF] The Pricing of Sovereign Risk: An Application of Option Theory

[PDF] from escholarship.org
P Bossaerts - 1985 - escholarship.org
Abstract: Option theory is used here to determine the variables that should explain the price
of bank loans to foreign governments. As usual, the key explanatory variable is the variance
of the underlying state variable (in casu, government income). It is also shown that these ...
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[CITATION] 199.“The Econometrics of Learning in Financial Markets.”

Full text - MIT Libraries
P Bossaerts - Econometric Theory
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[CITATION] Selecting models to forecast financial returns

P Bossaerts… - 1993 - Working paper, INSEAD
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Filtering Returns For Unspecified Biases In Priors When Testing Asset Pricing Theory

P Bossaerts - 2000 - Citeseer
Abstract Procedures are presented that allow the empiricist to estimate and test asset pricing
models on limited-liability securities without the assumption that the historical payoff
distribution provides a consistent estimate of the market's prior beliefs. The procedures ...
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[CITATION] The physiological foundations for the theory of financial decision making

P Bossaerts - Unpublished manuscript, 2003
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[PDF] Price discovery in financial markets: Analysis of two systems of differential equations

[PDF] from psu.edu
E Asparouhova… - 2002 - Citeseer
Abstract: We present two systems of differential equations implied by two different models of
price discovery. One is the basic Walrasian model, where prices adjust to a security's own
excess demand. The basic Walrasian model does not feature cross-security effects (the ...
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[PDF] Structural econometric tests of general equilibrium theory on data from large-scale experimental financial markets

[PDF] from cepr.org
P Bossaerts, C Plott… - 2001 - cepr.org
Abstract: We develop structural econometric tests of asset pricing theory for application to
data from experimental financial markets. The tests differ from those used in the analysis of
field data because they verify the consistency between prices and allocations, as opposed ...
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[HTML] The affective impact of financial skewness on neural activity and choice

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Full text - MIT Libraries
CC Wu, P Bossaerts… - PLos One, 2011 - dx.plos.org
Few finance theories consider the influence of “skewness”(or large and asymmetric but
unlikely outcomes) on financial choice. We investigated the impact of skewed gambles on
subjects' neural activity, self-reported affective responses, and subsequent preferences ...
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[PDF] Promoting intellectual discovery: Patents vs. markets

[PDF] from caltech.edu
Full text - MIT Libraries
D Meloso, J Copic… - Science, 2008 - hss.caltech.edu
Abstract Because they provide exclusive property rights, patents are generally considered to
be a superior way to promote intellectual discovery. Here we propose a new compensation
scheme, where everyone holds shares in the components of potential discoveries and can ...
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[CITATION] Noisy Signalling in Financial Markets

P Bossaerts… - Working Papers, 1991 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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Executing Complex Cognitive Tasks: Prizes vs. Markets

P Bossaerts, J Copic… - 2006 - papers.ssrn.com
Abstract: Execution of complex cognitive tasks is often analyzed as an exercise of
information acquisition and belief updating. We challenge this view in the context of a non-
incremental task, namely, the knapsack problem. First, we provide a theoretical argument ...
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[CITATION] Three essays on spot and forward foreign exchange rates: the theory of their determination, the estimation of a Markovian model and an investigation of …

PL Bossaerts - 1986 - University of California, Los Angeles
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Time series analysis of inefficient financial markets

P Bossaerts - 1999 - papers.ssrn.com
Abstract: An alternative explanation is suggested for the erratic behavior of otherwise
significant z-statistics in tests of the profitability of simple trading strategies. It is not attributed
to time-varying risk premia, but, instead, to a failure of the distributional theory in inefficient ...
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[PDF] The NYSE opening mechanism and portfolio trading

[PDF] from psu.edu
P Bossaerts - 1999 - Citeseer
Abstract In principle, implementation of portfolio investment strategies through market orders
at the NYSE open would be problematic because of execution price uncertainty. This paper
measures the impact, by comparing the actual value at the end of the trading day against ...
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Hedging Your Bets by Learning Reward Correlations in the Human Brain

[HTML] from nih.gov
Full text - MIT Libraries
K Wunderlich, M Symmonds, P Bossaerts… - Neuron, 2011 - Elsevier
Human subjects are proficient at tracking the mean and variance of rewards and updating
these via prediction errors. Here, we addressed whether humans can also learn about
higher-order relationships between distinct environmental outcomes, a defining ecological ...
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From Market Jaws to the Newton Method: The Geometry of How a Market Can Solve Systems of Equations

P Bossaerts, CR Plott - Handbook of Experimental Economics Results, 2008 - Elsevier
Since market equilibrium can be interpreted as a solution to a system of equations,“price
discovery,” as it called in the language of market makers, can be viewed as having “found”
the solution. Of course the information needed to even formulate the equations does not ...
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[CITATION] Rational Price Discovery in Experimental and Field Data

P Bossaerts - Working Papers, 1995 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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