Peter Bossaerts

University of Melbourne - Department of Finance

Professor

Faculty of Economics and Commerce

Department of Finance

Carlton, Victoria 3010

Australia

http://bmmlab.org

SCHOLARLY PAPERS

34

DOWNLOADS
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9,156

CITATIONS
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Top 7,745

in Total Papers Citations

72

Scholarly Papers (34)

1.

Arbitrage-Based Pricing When Volatility is Stochastic

Caltech Social Science Working Paper 977
Number of pages: 41 Posted: 05 Sep 1996
Peter Bossaerts, Eric Ghysels and Christian Gourieroux
University of Melbourne - Department of Finance, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,694 (9,386)
Citation 2

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2.

Price Discovery in Financial Markets: The Case of the CAPM

Social Science Working Paper No. 1032
Number of pages: 45 Posted: 07 Apr 2000
Peter Bossaerts, D. Kleiman and Charles R. Plott
University of Melbourne - Department of Finance, Lehman Brothers, New York and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 1,421 (12,435)
Citation 6

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Capital Asset Pricing Model (CAPM), Experimental Economics, Financial Markets, Equilibrium, Equilibration.

3.

Exploring the Nature of 'Trader Intuition'

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 10-02
Number of pages: 102 Posted: 02 Jan 2010 Last Revised: 17 Jan 2010
California Institute of Technology, California Institute of Technology and University of Melbourne - Department of Finance
Downloads 999 (21,341)
Citation 5

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4.

Equilibrium Asset Pricing Under Heterogeneous Information

EFA 2004 Maastricht Meetings Paper No. 5083; 13th Annual Utah Winter Finance Conference; AFA 2003 Washington, DC Meetings
Number of pages: 36 Posted: 09 Jun 2004
Bruno Biais, Peter Bossaerts and Chester S. Spatt
Centre for Economic Policy Research (CEPR), University of Melbourne - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads 846 (27,141)
Citation 24

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Using Neural Data to Test A Theory of Investor Behavior: An Application to Realization Utility

Journal of Finance, Forthcoming
Number of pages: 70 Posted: 23 Jul 2011 Last Revised: 22 May 2013
University of Southern California - Marshall School of Business, Yale School of Management, California Institute of Technology - Division of the Humanities and Social Sciences, University of Melbourne - Department of Finance and California Institute of Technology
Downloads 595 (43,164)
Citation 13

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neuroeconomics, trading, disposition effect, realization utility

Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility

NBER Working Paper No. w18562
Number of pages: 61 Posted: 22 Nov 2012 Last Revised: 25 Jan 2015
University of Southern California - Marshall School of Business, Yale School of Management, California Institute of Technology - Division of the Humanities and Social Sciences, University of Melbourne - Department of Finance and California Institute of Technology
Downloads 57 (366,392)
Citation 30

Abstract:

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6.

Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets

Caltech HSS Working Paper
Number of pages: 48 Posted: 03 Oct 2000
Peter Bossaerts and Charles R. Plott
University of Melbourne - Department of Finance and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 640 (39,681)
Citation 28

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7.

Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments

Swiss Finance Institute Research Paper No. 07-05
Number of pages: 64 Posted: 08 May 2007
Peter Bossaerts, Charles R. Plott and William R. Zame
University of Melbourne - Department of Finance, California Institute of Technology - Division of the Humanities and Social Sciences and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 522 (51,741)
Citation 48

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experimental finance, experimental asset markets, risk aversion

8.

Asset Pricing and Asymmetric Reasoning

Swiss Finance Institute Research Paper No. 09-20
Number of pages: 64 Posted: 17 May 2009 Last Revised: 28 Nov 2014
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance, Michigan State University - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 434 (65,065)
Citation 11

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asset pricing, ambiguity aversion, cognitive

9.

Has the Cross-Section of Average Returns Always Been the Same? Evidence from Germany, 1881-1913

Caltech Social Science Working Paper No. 1084
Number of pages: 29 Posted: 05 Apr 2001
Peter Bossaerts and Caroline Fohlin
University of Melbourne - Department of Finance and Emory University
Downloads 333 (88,726)
Citation 4

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Common stock returns, beta, momentum portfolio, selection bias

10.

The Efficient Markets Hypothesis Does Not Hold When Securities Valuation Is Computationally Hard

Number of pages: 48 Posted: 02 Mar 2017
University of Melbourne - Department of Finance, University of Melbourne - Department of Finance, University of Melbourne - Department of Finance, University of Melbourne - Department of Finance, University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
Downloads 307 (97,047)

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Efficient Markets Hypothesis, Computational Complexity, Financial Markets, Grossman-Stiglitz Paradox, Hirshleifer Effect, Intellectual Discovery, Patents, Prediction Markets

11.

Competition in Portfolio Management: Theory and Experiment

Number of pages: 47 Posted: 18 Mar 2010 Last Revised: 03 Dec 2012
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance, Yale University - Cowles Foundation, California Institute of Technology, California Institute of Technology - Division of the Humanities and Social Sciences and Toulouse Business School
Downloads 244 (123,628)
Citation 6

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asset pricing, CAPM, delegated portfolio management, mutual fund flows, experimental finance

12.

Learning About Unstable, Publicly Unobservable Payoffs

Review of Financial Studies, Forthcoming
Number of pages: 66 Posted: 14 May 2012 Last Revised: 22 Oct 2014
Elise Payzan-LeNestour and Peter Bossaerts
University of New South Wales and University of Melbourne - Department of Finance
Downloads 171 (172,687)
Citation 10

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Instability, Payoff observability, Complexity, Learning, Multi-armed bandit problem, Neurofinance

13.

Modelling Price Pressure in Financial Markets

EFA 2004 Maastricht Meetings Paper No. 3458; EFMA 2004 Basel Meetings Paper
Number of pages: 26 Posted: 03 Jun 2004
Peter Bossaerts and Elena N. Asparouhova
University of Melbourne - Department of Finance and University of Utah - David Eccles School of Business
Downloads 132 (214,019)
Citation 2

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14.

A Minute with Peter Bossaerts

Algorithmic Finance (2015), 4:1-2, 1-3
Number of pages: 4 Posted: 28 Jul 2015
Peter Bossaerts
University of Melbourne - Department of Finance
Downloads 106 (251,488)

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15.

Is Academic Finance Really that Wrong?

Number of pages: 11 Posted: 12 Feb 2018
Peter Bossaerts
University of Melbourne - Department of Finance
Downloads 105 (254,897)

Abstract:

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Finance theory, financial econometrics, financial markets, experimental finance

16.

Executing Complex Cognitive Tasks: Prizes vs. Markets

Number of pages: 40 Posted: 05 Mar 2007
Peter Bossaerts, Debrah Meloso and Jernej Copic
University of Melbourne - Department of Finance, Toulouse Business School and Yale University - Cowles Foundation
Downloads 103 (256,608)

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Intellectual Discovery, Markets, Computation, non-Bayesian Learning

17.

The Speed of Information Revelation and Eventual Price Quality in Markets with Insiders: Comparing Two Theories

Review of Finance, Forthcoming
Number of pages: 34 Posted: 28 Nov 2012
Peter Bossaerts, Cary Frydman and John O. Ledyard
University of Melbourne - Department of Finance, University of Southern California - Marshall School of Business and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 87 (286,223)
Citation 7

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market microstruture, noisy rational expectations, experimental finance, Bayesian Nash equilibrium

18.

The Affective Impact of Financial Skewness on Neural Activity and Choice

PLoS ONE, Vol. 6, No. 2, February 2011
Number of pages: 7 Posted: 17 Feb 2011 Last Revised: 22 Feb 2011
Charlene C. Wu, Peter Bossaerts and Brian Knutson
Stanford University - Psychology, University of Melbourne - Department of Finance and Stanford University - Psychology
Downloads 78 (305,747)
Citation 4

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neuroeconomics, fmri, nucleus accumbens, insula, decision-making, affect, finance, gain, loss, reward, punishment, human

19.

Equilibration Under Competition in Smalls: Theory and Experimental Evidence

EFA 2006 Zurich Meetings
Number of pages: 46 Posted: 12 Aug 2006
Peter Bossaerts
University of Melbourne - Department of Finance
Downloads 74 (315,263)
Citation 1

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Asset pricing, experimental economics, equilibration, walrasian equilibrium, portfolio allocation

20.

Arbitrage Opportunities: Anatomy and Remediation

Number of pages: 42 Posted: 25 Jun 2018
Peter Bossaerts, Jason Shachat and Kuangli Xie
University of Melbourne - Department of Finance, Durham University and Southern Methodist University (SMU) - Department of Economics
Downloads 59 (354,975)

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Limits of arbitrage, Experimental asset markets, Market capitilization

21.

Costly Information Acquisition in Decentralized Markets: An Experiment

Number of pages: 45 Posted: 01 Dec 2017 Last Revised: 20 Apr 2019
Elena N. Asparouhova, Peter Bossaerts and Wenhao Yang
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance and University of South Carolina - Darla Moore School of Business
Downloads 42 (411,427)
Citation 2

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Decentralized Markets, Experiment, Experimental Finance, Information Acquisition

22.

Competitive Off-Equilibrium: Theory and Experiment

Number of pages: 39 Posted: 04 May 2016
Elena N. Asparouhova, Peter Bossaerts and John O. Ledyard
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 32 (451,863)

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Asset Pricing Theory, Experimental Finance, Walrasian Equilibrium, Local Marshallian Equilibrium, Price Discovery

23.

Spatiotemporal Brain Signatures of Risk and Reward

Number of pages: 35 Posted: 29 Aug 2016 Last Revised: 31 Aug 2016
Ecole Polytechnique Fédérale de Lausanne, Independent, University of Melbourne - Department of Finance and University Hospital Center and University of Lausanne
Downloads 31 (456,546)

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Decision-making under risk, Mean-risk theory, Electroencephalography, Event-related potential, PARAFAC

24.

The Experimental Study of Asset Pricing Theory

Foundations and Trends in Finance, Vol. 3, No. 4, pp. 289-361, 2009
Number of pages: 75 Posted: 15 Jun 2010
Peter Bossaerts
University of Melbourne - Department of Finance
Downloads 20 (514,815)
Citation 3
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asset pricing theory, experimental economics, competitive equilibrium, risk aversion

25.

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

CEPR Discussion Paper No. 4673
Number of pages: 30 Posted: 14 Dec 2004
Peter Bossaerts
University of Melbourne - Department of Finance
Downloads 13 (555,697)
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Financial markets, equilibration, CAPM, portfolio separation, optimal portfolios, experimental finance

26.

'Lucas' in the Laboratory

NBER Working Paper No. w19068
Number of pages: 52 Posted: 25 May 2013
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance, California Institute of Technology and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 10 (574,046)
Citation 4

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27.

Experiments on Percolation of Information in Dark Markets

The Economic Journal, Vol. 127, Issue 605, pp. F518-F544, 2017
Number of pages: 27 Posted: 25 Oct 2017
Elena N. Asparouhova and Peter Bossaerts
University of Utah - David Eccles School of Business and University of Melbourne - Department of Finance
Downloads 1 (643,078)
Citation 3
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28.

Excessive Volatility Is Also a Feature of Individual Level Forecasts

Journal of Behavioral Finance doi: 10.1080/15427560.2014.877016
Posted: 29 Aug 2016 Last Revised: 01 Mar 2017
Anjali Nursimulu and Peter Bossaerts
Ecole Polytechnique Fédérale de Lausanne and University of Melbourne - Department of Finance

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Excess volatility, Financial prediction, Reinforcement Learning, Least-squares learning, Learning biases

29.

Risk and Reward Preferences Under Time Pressure

Review of Finance doi:10.1093/rof/rft013
Posted: 29 Aug 2016 Last Revised: 01 Mar 2017
Anjali Nursimulu and Peter Bossaerts
Ecole Polytechnique Fédérale de Lausanne and University of Melbourne - Department of Finance

Abstract:

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30.

What Decision Neuroscience Teaches Us About Financial Decision Making

Annual Review of Financial Economics, Vol. 1, pp. 383-404, 2009
Posted: 04 Jun 2010
Peter Bossaerts
University of Melbourne - Department of Finance

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31.

'Preface to' Lectures on Corporate Finance (Second Edition)

Lectures on Corporate Finance
Posted: 02 Oct 2009
Peter Bossaerts and Bernt Arne Ødegaard
University of Melbourne - Department of Finance and University of Stavanger

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Introductory Finance, Corporate Finance, Valuation, State-Price Probabilities, Equivalent Martingale Measure, Risk Neutral Measure, Net Present Value, Discounted Cash Flows, Capital Structure, Dividends

32.

Time Series Analysis of Inefficient Financial Markets

Posted: 24 Oct 1999
Peter Bossaerts
University of Melbourne - Department of Finance

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33.

Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?

Review of Financial Studies, Vol. 12, No. 2
Posted: 26 Dec 1998
Peter Bossaerts and Pierre Hillion
University of Melbourne - Department of Finance and INSEAD - Finance

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34.

Martingale Restrictions on Equilibrium Prices of Arrow-Debreu Securities Under Rational Expectations and Consistent Beliefs

Caltech Social Science Working Paper #958
Posted: 05 Jul 1998
Peter Bossaerts
University of Melbourne - Department of Finance

Abstract:

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Other Papers (1)

Total Downloads: 8
1.

Dynamically Complete Experimental Asset Markets

EFA 2008 Athens Meetings Paper
Number of pages: 43 Posted: 09 Mar 2008
Peter Bossaerts, Debrah Meloso and William R. Zame
University of Melbourne - Department of Finance, Toulouse Business School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 8

Abstract:

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Dynamic completeness, state-price probabilities, market experiment