Mihály Ormos

Budapest University of Technology and Economics - Department of Finance

Professor of Finance

Magyar Tudósok krt. 2.

Budapest, 1111

Hungary

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 37,517

SSRN RANKINGS

Top 37,517

in Total Papers Downloads

1,395

SSRN CITATIONS
Rank 35,811

SSRN RANKINGS

Top 35,811

in Total Papers Citations

4

CROSSREF CITATIONS

17

Scholarly Papers (14)

1.

Random Walk Theory and the Weak-Form Efficiency of the US Art Auction Prices

Journal of Banking and Finance, Vol. 34, No. 5, 2010
Number of pages: 41 Posted: 26 Feb 2020
Péter Erdos and Mihály Ormos
Budapest University of Technology and Economics and Budapest University of Technology and Economics - Department of Finance
Downloads 264 (133,277)

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Art prices, Random walk, Asset pricing, Spectral density, Variance ratio

2.

Performance Analysis of Log-Optimal Portfolio Strategies with Transaction Costs

Number of pages: 21 Posted: 15 Aug 2011
Mihály Ormos and András Urbán
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics
Downloads 252 (139,767)

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Agent based modeling, Portfolio optimization, Transaction costs, Multi-factor models, Learning in financial models, Performance evaluation

3.

Capital Structure and Its Choice in Central and Eastern Europe

Acta Oeconomica, Vol. 62 (2) (2012) pp. 229–263
Number of pages: 35 Posted: 15 Jan 2013
Péter Hernádi and Mihály Ormos
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 186 (186,102)

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capital structure, emerging European countries, static trade-off theory, pecking order theory

4.

What Managers Think of Capital Structure and How They Act: Evidence from Central and Eastern Europe

Baltic Journal of Economics 12 (2) (2012), pp. 47-71
Number of pages: 37 Posted: 16 Jan 2013
Péter Hernádi and Mihály Ormos
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 122 (262,947)

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Capital structure, Emerging European countries, Static tradeoff theory, Pecking order theory

5.

Non-Parametric and Semi-Parametric Asset Pricing

Economic Modeling, Vol. 28, No. 3, pp. 1150-1162, 2011
Number of pages: 37 Posted: 27 Mar 2011
Péter Erdos, Mihály Ormos and Dávid Zibriczky
Budapest University of Technology and Economics, Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 109 (284,857)

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Asset pricing, Kernel regression, Risk measures, Semi-parametric models, Non- parametric models

6.

Microfoundations of Heteroscedasticity in Asset Prices: A Loss-Aversion-Based Explanation of Asymmetric GARCH Models

Number of pages: 43 Posted: 23 Feb 2016 Last Revised: 22 Mar 2016
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 63 (395,643)
Citation 1

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Asymmetric volatility, Risk seeking, Prospect theory, TGARCH, EGARCH, Volatility dynamics, Market microstructure, Heuristic-driven trader

7.

Expected Downside Risk and Asset Prices: Characteristics of Emerging and Developed European Markets

Empirica, Journal of European Economics (2016) Forthcoming, DOI: 10.1007/s10663-016-9329-3
Number of pages: 29 Posted: 21 Jul 2016
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 61 (402,117)

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Expected Downside Risk, EDR, asset pricing, emerging markets, dollar denominated return

8.

Generalized Asset Pricing: Expected Downside Risk-Based Equilibrium Modelling

Economic Modelling, Vol. 52, (PB), 2016
Number of pages: 55 Posted: 21 Jul 2016
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 61 (402,117)
Citation 1

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Behavioural Finance, Asset Pricing, Prospect Theory, Anchoring, Conditional Value-at-Risk, Downside Risk

9.

Entropy-Based Financial Asset Pricing

Ormos M, Zibriczky D (2014) Entropy-Based Financial Asset Pricing. PLoS ONE 9(12): e115742. doi:10.1371/journal.pone.0115742
Number of pages: 21 Posted: 13 Jan 2015
Mihály Ormos and Dávid Zibriczky
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 57 (415,608)
Citation 2

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asset pricing, entropy, risk measure, systematic risk, explanatory power

10.

Pricing of Collectibles: Baedeker Guidebooks

Economic Modelling, 29 (2012) 1968–1978
Number of pages: 33 Posted: 15 Jan 2013
Péter Erdos and Mihály Ormos
Budapest University of Technology and Economics and Budapest University of Technology and Economics - Department of Finance
Downloads 53 (429,701)

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Baedeker, repeat sales regression, collectibles, asset pricing

11.

Market Microstructure During Financial Crisis Dynamics of Informed and Heuristic-Driven Trading

Forthcoming in Finance Research Letters (2016), DOI: 10.1016/j.frl.2016.06.003
Number of pages: 15 Posted: 21 Jul 2016
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 51 (436,920)
Citation 1

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market microstructure, heuristic-driven trader, probability of informed trading, probability of heuristic-driven trading, contrarian trader, size effect, volume effect

12.

Optimal Spectral Density Estimation: Evidence from the US Art Market

International Research Journal of Finance and Economics, No. 61, pp. 129-135, 2011
Number of pages: 7 Posted: 26 Feb 2020
Péter Erdos and Mihály Ormos
Budapest University of Technology and Economics and Budapest University of Technology and Economics - Department of Finance
Downloads 46 (456,336)

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Spectral Density, Random Walk Component, Art Prices

13.

Requisites for Long-Term Growth in Financial Markets

International Research Journal of Finance and Economics, No. 59, pp. 127-133, 2010
Number of pages: 7 Posted: 22 Dec 2010
Mihály Ormos and András Urbán
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics
Downloads 43 (468,774)

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Long-Term Growth, Multi-Period Investment, Growth Optimality

14.

Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring

Economic Systems, Volume 40, Issue 3, Pages 345-354, September 2016 DOI: 10.1016/j.ecosys.2015.09.008
Number of pages: 26 Posted: 10 Aug 2017
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Downloads 27 (547,258)

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Anchoring, Implied volatility, Realized volatility, Asymmetric volatility, VIX, VXST