Philip Protter

Columbia University

Professor of Statistics

Mail Code 4403

New York, NY 10027

United States

http://www.stat.columbia.edu/~protter/

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 13,838

SSRN RANKINGS

Top 13,838

in Total Papers Downloads

3,657

SSRN CITATIONS
Rank 30,232

SSRN RANKINGS

Top 30,232

in Total Papers Citations

6

CROSSREF CITATIONS

17

Scholarly Papers (12)

1.

A Mathematical Theory of Financial Bubbles

Number of pages: 115 Posted: 24 Jul 2012 Last Revised: 04 Nov 2012
Philip Protter
Columbia University
Downloads 1,652 (10,676)
Citation 2

Abstract:

Loading...

strict local martingale, bubble, stochastic differential equation, detection, foreign exchange

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Mathematical Finance, Vol. 23, Issue 1, pp. 39-56, 2013
Number of pages: 18 Posted: 10 Jan 2013
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 1 (716,513)
Citation 1
  • Add to Cart

Abstract:

Loading...

Jensen’s alpha, betas, excess expected return, state price density, arbitrage opportunities, martingale measures, local martingale measures, systematic risk, performance evaluation, asset pricing model, CAPM, ICAPM, CCAPM, APT

3.

Change of Numeraires and Relative Asset Price Bubbles

Number of pages: 29 Posted: 16 May 2013 Last Revised: 14 May 2015
Statistics Department, Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 409 (75,045)
Citation 1

Abstract:

Loading...

Bubble, No Free Lunch with Vanishing Risk, Arbitrage, Risk Neutral Measure, Girsanov's Theorem, Bond Bubbles, Change of Numéraire

4.

Liquidity Suppliers and High Frequency Trading

Number of pages: 13 Posted: 15 Dec 2013
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 380 (81,643)
Citation 1

Abstract:

Loading...

High frequency trading, liquidity costs, front running, martingale measures, trading strategies

5.

The Lifetime of a Financial Bubble

Number of pages: 25 Posted: 16 Jun 2015 Last Revised: 08 Apr 2016
Yoshiki Obayashi, Philip Protter and Shihao Yang
Applied Academics LLC, Columbia University and Harvard University, Department of Statistics, Students
Downloads 371 (83,964)
Citation 1

Abstract:

Loading...

Financial Bubbles, Bubble Lifetimes, Strict Local Martingales, Generalized Gamma Distributions

6.

A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory

Number of pages: 15 Posted: 20 Mar 2017
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 241 (133,866)
Citation 1

Abstract:

Loading...

closed-end funds, ETFs, asset price bubbles, no arbitrage

7.

Positive Alphas and a Generalized Multiple-Factor Asset Pricing Model

Number of pages: 23 Posted: 19 Dec 2013 Last Revised: 02 Oct 2015
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 201 (159,236)
Citation 6

Abstract:

Loading...

beta model, multiple-factor model, arbitrage pricing, stock alpha

8.

Modeling Credit Risk with Partial Information

Annals of Applied Probability, Forthcoming, Johnson School Research Paper Series No. 4-2013
Number of pages: 14 Posted: 14 Nov 2012 Last Revised: 07 Feb 2013
Cornell University - Cornell Theory Center (CTC), Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 183 (173,525)

Abstract:

Loading...

Default risk, Azema martinglae, Brownian excursion

9.

Credit Risk, Liquidity, and Bubbles

Number of pages: 12 Posted: 21 Jun 2018
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 110 (260,896)

Abstract:

Loading...

10.

Testing for Asset Price Bubbles: An Invariance Theorem

Number of pages: 35 Posted: 31 Mar 2019
Robert A. Jarrow, Philip Protter and Jaime San Martin
Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and University of Chile
Downloads 59 (377,843)

Abstract:

Loading...

11.

Fair Microfinance Loan Rates

Number of pages: 13 Posted: 01 Mar 2018
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 50 (407,728)

Abstract:

Loading...

12.

The Effect of Trading Futures on Short Sale Constraints

Mathematical Finance, Vol. 25, Issue 2, pp. 311-338, 2015
Number of pages: 28 Posted: 04 Mar 2015
Robert A. Jarrow, Philip Protter and Sergio Pulido
Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 0 (700,513)
  • Add to Cart

Abstract:

Loading...

short sale constraints, futures contracts, futures prices, complete markets, martingale representation, supermartingale measures, overpricing hypothesis, bubbles