Mark Salmon

University of Cambridge - Faculty of Economics and Politics

Austin Robinson Building

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

14

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CITATIONS
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45

Scholarly Papers (14)

1.

Overconfidence, Sentiment and Beta Herding

Number of pages: 61 Posted: 11 Feb 2002 Last Revised: 27 Feb 2017
Soosung Hwang and Mark Salmon
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 1,194 (10,912)
Citation 1

Abstract:

Beta, Herding, Overconfidence, Sentiment, Market Crises, Cross-sectional asset returns

2.

Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets

Number of pages: 43 Posted: 21 May 2008
Mark Salmon and Eric Bouyé
University of Cambridge - Faculty of Economics and Politics and World Bank
Downloads 427 (48,132)
Citation 3

Abstract:

FX market, Efficiency, Copula, Quantile Regression

3.

The Information Content of a Limit Order Book: The Case of an FX Market

Number of pages: 44 Posted: 18 Jan 2011
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 371 (56,813)
Citation 2

Abstract:

limit order book, profitability, high-frequency data

4.

Sentiment and Price Formation: The Impact of Non-Linearity

Number of pages: 33 Posted: 05 Mar 2007
Nektaria Karakatsani and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 351 (64,680)

Abstract:

Investor sentiment, Noise trading, Regime switching, Smooth transitions

5.

Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation

Number of pages: 23 Posted: 03 Mar 2007
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 319 (75,285)
Citation 1

Abstract:

uncertainty aversion, exchange rate formation, agent-based modeling

6.

Sentiment and Price Formation: Interactions and Regime Shifts

Number of pages: 36 Posted: 06 Mar 2008
Nektaria Karakatsani and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 303 (77,439)

Abstract:

Investor sentiment, Asset pricing, Regime-switching, Noise trading

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Bank of England Working Paper No. 334
Number of pages: 39 Posted: 12 Aug 2005
Bank of England - Monetary Analysis, University of Cambridge - Faculty of Economics and Politics and Bank of England
Downloads 263 (93,404)
Citation 7

Abstract:

Option-implied distributions, effective exchange rate indices, copula functions, option pricing

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

CEPR Discussion Paper No. 5114
Number of pages: 35 Posted: 10 Aug 2005
Bank of England - Monetary Analysis, University of Cambridge - Faculty of Economics and Politics and Bank of England
Downloads 26 (419,268)
Citation 7
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Abstract:

Exchange rates, copulae, option implied pdfs, triangular arbitrage

8.

Measuring the Dependence between Non-Gaussian Financial Assets Using Copulae: Risk Management, Option Pricing and Default Risk

Number of pages: 38 Posted: 23 Sep 2008
Eric Bouyé and Mark Salmon
World Bank and University of Cambridge - Faculty of Economics and Politics
Downloads 279 (86,347)

Abstract:

Finance

9.

On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates

Number of pages: 46 Posted: 23 May 2008
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 223 (106,576)

Abstract:

Knightian uncertainty, market timing, predictability, high-frequency data

10.

Time Deformation and Term Structure of Interest Rates

Number of pages: 34 Posted: 10 Mar 2008
Wing Wah Tham and Mark Salmon
Erasmus School of Economics - Econometric Institute and University of Cambridge - Faculty of Economics and Politics
Downloads 199 (116,993)

Abstract:

Term structure, Interest rates, Multivariate modeling, Hawkes process, Time deformation.

11.

Investing Dynamic Dependence Using Copulae

Number of pages: 31 Posted: 23 Sep 2008
Eric Bouyé, Mark Salmon and Nicolas Gaussel
World Bank, University of Cambridge - Faculty of Economics and Politics and Lyxor Asset Management
Downloads 195 (116,993)
Citation 6

Abstract:

Finance, Financial Econumetrics, Copula, Time Series, Non Linear

12.
Downloads 186 (132,353)
Citation 2

Performance Measurement with Loss Aversion

Cass Business School Research Paper
Number of pages: 47 Posted: 12 Mar 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 158 (153,254)
Citation 2

Abstract:

Behavioral Finance, Mutual Funds

Performance Measurement with Loss-Aversion

CEPR Discussion Paper No. 5173
Number of pages: 42 Posted: 25 Aug 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 28 (409,159)
Citation 2
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Abstract:

Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle

13.

Testing Distributional Assumptions: A L-Moment Approach

Number of pages: 39 Posted: 04 Sep 2008
Ba M. Chu and Mark Salmon
Carleton University and University of Cambridge - Faculty of Economics and Politics
Downloads 97 (211,071)
Citation 2

Abstract:

L-moment, Stein Equation, GMM, Bahadur Effciency, Likelihood Ratio

14.

Market Stress and Herding

CEPR Discussion Paper No. 4340
Number of pages: 53 Posted: 13 May 2004
Soosung Hwang and Mark Salmon
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 39 (356,167)
Citation 21
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Abstract:

Herding, heterogenous beliefs, cross-sectional volatility