Philip Protter

Columbia University

Professor of Statistics

Mail Code 4403

New York, NY 10027

United States

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

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 14,402

SSRN RANKINGS

Top 14,402

in Total Papers Downloads

2,650

CITATIONS
Rank 13,186

SSRN RANKINGS

Top 13,186

in Total Papers Citations

29

Scholarly Papers (9)

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 943 (11,811)
Citation 2

Abstract:

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 (564,400)
Citation 4

Abstract:

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 320 (61,803)

Abstract:

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 270 (73,581)

Abstract:

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 177 (78,935)

Abstract:

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

6.

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 117 (150,089)

Abstract:

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

7.

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 CUNY Baruch College - Zicklin School of Business
Downloads 102 (154,126)
Citation 22

Abstract:

Default risk, Azema martinglae, Brownian excursion

8.

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 0 (308,402)

Abstract:

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

9.

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, UMR CNRS 8071
Downloads 0 (548,832)
Citation 1

Abstract:

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