Mihály Ormos

Budapest University of Technology and Economics - Department of Finance

Professor of Finance

Magyar Tudósok krt. 2.

Budapest, 1111

Hungary

  • Budapest University of Technology and Economics - Department of Finance

SCHOLARLY PAPERS

14

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4

CROSSREF CITATIONS

17

Scholarly Papers (14)

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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