Peter Bossaerts

University of Cambridge

Faculty of Economics

Cambridge, CB3 9DD

United Kingdom

  • University of Cambridge

SCHOLARLY PAPERS

43

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159

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131

Scholarly Papers (43)

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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 Cambridge, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,738 (16,939)
Citation 1

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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 Cambridge, Lehman Brothers, New York and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 1,526 (20,661)
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
Antoine Jean Bruguier, Steven R. Quartz and Peter Bossaerts
California Institute of Technology, California Institute of Technology and University of Cambridge
Downloads 1,172 (30,627)
Citation 21

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4.

Equilibrium Asset Pricing Under Heterogeneous Information

Number of pages: 36 Posted: 09 Jun 2004
Bruno Biais, Peter Bossaerts and Chester S. Spatt
Centre for Economic Policy Research (CEPR), University of Cambridge and Carnegie Mellon University - David A. Tepper School of Business
Downloads 913 (43,529)
Citation 24

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5.

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

Downloads 852 (47,867)
Citation 71

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
Cary Frydman, Nicholas Barberis, Nicholas Barberis, Colin Camerer, Peter Bossaerts and Antonio Rangel
University of Southern California - Marshall School of Business, National Bureau of Economic Research (NBER)Yale School of Management, California Institute of Technology - Division of the Humanities and Social Sciences, University of Cambridge and California Institute of Technology
Downloads 735 (57,624)
Citation 16

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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: 22 Mar 2023
Cary Frydman, Nicholas Barberis, Nicholas Barberis, Colin Camerer, Peter Bossaerts and Antonio Rangel
University of Southern California - Marshall School of Business, National Bureau of Economic Research (NBER)Yale School of Management, California Institute of Technology - Division of the Humanities and Social Sciences, University of Cambridge and California Institute of Technology
Downloads 117 (391,744)
Citation 10

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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 Cambridge and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 694 (63,048)
Citation 18

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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 Cambridge, California Institute of Technology - Division of the Humanities and Social Sciences and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 569 (81,024)
Citation 30

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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
Elena N. Asparouhova, Peter Bossaerts, Jon X. Eguia and William R. Zame
University of Utah - David Eccles School of Business, University of Cambridge, Michigan State University - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 467 (103,200)
Citation 10

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asset pricing, ambiguity aversion, cognitive

9.

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

Number of pages: 48 Posted: 02 Mar 2017
Shireen Tang, Shijie Huang, Elizabeth Bowman, Nitin Yadav, Carsten Murawski and Peter Bossaerts
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 Cambridge
Downloads 399 (124,029)

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

10.

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 Cambridge and Emory University
Downloads 360 (139,279)
Citation 1

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Common stock returns, beta, momentum portfolio, selection bias

11.

Emotional Engagement and Trading Performance

Management Science, in press.
Number of pages: 47 Posted: 04 Sep 2020 Last Revised: 16 Jan 2023
Peter Bossaerts, Felix Fattinger, Kristian Rotaru and Katherine Xu
University of Cambridge, WU Vienna University of Economics and Business, Department of Accounting, Monash Business School and University of Melbourne
Downloads 299 (169,764)

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Financial Markets, Emotions, Decision-Making, Asset Pricing, SCR, ECG

12.

Competition in Portfolio Management: Theory and Experiment

Number of pages: 47 Posted: 18 Mar 2010 Last Revised: 03 Dec 2012
Elena N. Asparouhova, Peter Bossaerts, Jernej Copic, Bradford Cornell, Jaksa Cvitanic and Debrah Meloso
University of Utah - David Eccles School of Business, University of Cambridge, Centre National de la Recherche Scientifique, Anderson Graduate School of Management, UCLA, California Institute of Technology - Division of the Humanities and Social Sciences and Toulouse Business School - TBS Education
Downloads 295 (172,160)
Citation 4

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

13.

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 Cambridge
Downloads 221 (229,294)
Citation 7

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

14.

Humans in Charge of Trading Robots: The First Experiment

Number of pages: 43 Posted: 28 Apr 2020 Last Revised: 26 Jun 2023
Elena N. Asparouhova, Peter Bossaerts, Xiaoqin Cai, Kristian Rotaru, Nitin Yadav and Wenhao Yang
University of Utah - David Eccles School of Business, University of Cambridge, University of Illinois Urbana-Champaign, Department of Accounting, Monash Business School, University of Melbourne - Department of Finance and Chinese University of Hong Kong, Shenzhen
Downloads 205 (245,780)
Citation 2

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Algorithmic Trading, Experimental Finance, Bubbles, Crashes, Human Robot Interaction

15.

Is Academic Finance Really that Wrong?

Number of pages: 11 Posted: 12 Feb 2018
Peter Bossaerts
University of Cambridge
Downloads 199 (252,641)

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Finance theory, financial econometrics, financial markets, experimental finance

16.

Asset Pricing In a World of Imperfect Foresight

Number of pages: 53 Posted: 18 Jun 2020 Last Revised: 30 Nov 2022
Peter Bossaerts, Felix Fattinger, Frans van den Bogaerde and Wenhao Yang
University of Cambridge, WU Vienna University of Economics and Business, affiliation not provided to SSRN and Chinese University of Hong Kong, Shenzhen
Downloads 179 (278,900)

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Rational Expectations, Perfect Foresight, Narrow Framing, Dynamic Asset Pricing

17.

Computational Complexity and Asset Pricing

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 47 Posted: 29 Oct 2019 Last Revised: 08 Apr 2020
Peter Bossaerts, Elizabeth Bowman, Felix Fattinger, Harvey Huang, Carsten Murawski, Anirudh Suthakar, Shireen Tang and Nitin Yadav
University of Cambridge, University of Melbourne - Department of Finance, WU Vienna University of Economics and Business, University of Melbourne, 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 166 (296,088)
Citation 4

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Computational Complexity, Financial Markets, Market Design, Dissemination of Knowledge, Oracles

18.

Modelling Price Pressure in Financial Markets

Number of pages: 26 Posted: 03 Jun 2004
Peter Bossaerts and Elena N. Asparouhova
University of Cambridge and University of Utah - David Eccles School of Business
Downloads 151 (320,708)
Citation 1

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19.

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 Cambridge and Chinese University of Hong Kong, Shenzhen
Downloads 142 (336,894)
Citation 4

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Decentralized Markets, Experiment, Experimental Finance, Information Acquisition

20.

Surveying the Use of Pharmaceutical Cognitive Enhancers in the Australian Financial Services Industry

Number of pages: 24 Posted: 23 Sep 2020
Elizabeth Bowman, Bosco Feng, Carsten Murawski and Peter Bossaerts
University of Melbourne - Department of Finance, University of Melbourne, Department of Finance, Students, University of Melbourne - Department of Finance and University of Cambridge
Downloads 141 (338,778)
Citation 1

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Nootropics, Workplace, Cognitive Enhancers, Survey, Finance

21.

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 Cambridge, University of Southern California - Marshall School of Business and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 138 (344,518)
Citation 4

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

22.

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 Cambridge
Downloads 132 (356,496)

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23.

Executing Complex Cognitive Tasks: Prizes vs. Markets

Number of pages: 40 Posted: 05 Mar 2007
Peter Bossaerts, Debrah Meloso and Jernej Copic
University of Cambridge, Toulouse Business School - TBS Education and Centre National de la Recherche Scientifique
Downloads 128 (364,825)

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Intellectual Discovery, Markets, Computation, non-Bayesian Learning

24.

Modelling Asset Prices under Heterogeneous Beliefs

Number of pages: 28 Posted: 16 Oct 2019 Last Revised: 27 Jul 2020
Ryan Anderson and Peter Bossaerts
University of Melbourne - Department of Finance and University of Cambridge
Downloads 125 (371,362)

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Perfect Foresight, Rational Expectations Equilibrium, Heterogeneous Beliefs, Higher-Order Beliefs

25.

How Information Structure Impacts Aggregation of Information in Markets

Number of pages: 71 Posted: 29 Jun 2020
Ryan Anderson, Peter Bossaerts and Felix Fattinger
University of Melbourne - Department of Finance, University of Cambridge and WU Vienna University of Economics and Business
Downloads 106 (418,527)

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26.

Price Formation in Multiple, Simultaneous Continuous Double Auctions, with Implications for Asset Pricing

Number of pages: 64 Posted: 04 May 2016 Last Revised: 27 Jul 2020
Elena N. Asparouhova, Peter Bossaerts and John O. Ledyard
University of Utah - David Eccles School of Business, University of Cambridge and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 100 (436,045)
Citation 1

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Continuous Double Auction, Walrasian Equilibrium, Marshallian Equilibration, Experimental Economics, Asset Pricing Theory.

27.

Arbitrage Opportunities: Anatomy and Remediation

Number of pages: 42 Posted: 25 Jun 2018
Peter Bossaerts, Jason Shachat and Kuangli Xie
University of Cambridge, Durham University and Southern Methodist University (SMU) - Department of Economics
Downloads 96 (447,934)

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Limits of arbitrage, Experimental asset markets, Market capitilization

28.

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 - Department of Psychology, University of Cambridge and Stanford University - Department of Psychology
Downloads 96 (447,934)
Citation 1

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

29.

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 Cambridge
Downloads 93 (457,323)

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

30.

Pairing Multi-Market Theory with Experiments

Forthcoming, Handbook of Experimental Finance, Sascha Füllbrunn and Ernan Haruvy (eds), Edward Elgar Publishing
Number of pages: 22 Posted: 27 Dec 2021 Last Revised: 10 Jan 2022
Elena N. Asparouhova, Peter Bossaerts and Sean Crockett
University of Utah - David Eccles School of Business, University of Cambridge and Chapman University
Downloads 59 (589,810)
Citation 1

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asset pricing, general equilibrium, laboratory experiment, markets, Pareto efficiency, classroom experiment

31.

Spatiotemporal Brain Signatures of Risk and Reward

Number of pages: 35 Posted: 29 Aug 2016 Last Revised: 31 Aug 2016
Anjali Nursimulu, Ulrike Toepel, Peter Bossaerts and Micah Murray
Ecole Polytechnique Fédérale de Lausanne, Independent, University of Cambridge and University of Lausanne - The LINE (Laboratory for Investigative Neurophysiology)
Downloads 54 (615,057)

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

32.

The Role of Financial Markets in Mitigating Credit Market Bubbles

Number of pages: 87 Posted: 18 Oct 2022
Elena N. Asparouhova, Peter Bossaerts, Dan Lu and Anh Tran
University of Utah - David Eccles School of Business, University of Cambridge, University of Melbourne and University of Connecticut
Downloads 47 (653,414)

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Market Bubbles, Social Rationality, Asset Pricing, Experimental Finance

33.

'Lucas' in the Laboratory

NBER Working Paper No. w19068
Number of pages: 52 Posted: 25 May 2013 Last Revised: 06 Feb 2023
Elena N. Asparouhova, Peter Bossaerts, Nilanjan Roy and William R. Zame
University of Utah - David Eccles School of Business, University of Cambridge, California Institute of Technology and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 30 (767,028)
Citation 12

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34.

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 Cambridge
Downloads 20 (850,479)
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asset pricing theory, experimental economics, competitive equilibrium, risk aversion

35.

Price Formation in Field Prediction Markets: The Wisdom in the Crowd

Number of pages: 16 Posted: 17 Dec 2022
Frederik Bossaerts, Nitin Yadav, Peter Bossaerts, Chad Nash, Torquil Todd, Torsten Rudolf, Rowena Hutchins, Anne-Louise Ponsonby and Karl Mattingly
affiliation not provided to SSRN, University of Melbourne - Department of Finance, University of Cambridge, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 17 (878,272)

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Price FormationInformed TradersMarket Microstructure

36.

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Number of pages: 30 Posted: 14 Dec 2004
Peter Bossaerts
University of Cambridge
Downloads 13 (917,015)
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Financial markets, equilibration, CAPM, portfolio separation, optimal portfolios, experimental finance

37.

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 Cambridge

Abstract:

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

38.

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 Cambridge

Abstract:

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39.

What Decision Neuroscience Teaches Us About Financial Decision Making

Posted: 04 Jun 2010
Peter Bossaerts
University of Cambridge

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40.

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

Lectures on Corporate Finance
Posted: 02 Oct 2009
Peter Bossaerts and Bernt Arne Ødegaard
University of Cambridge 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

41.

Time Series Analysis of Inefficient Financial Markets

Posted: 24 Oct 1999
Peter Bossaerts
University of Cambridge

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42.

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

Posted: 26 Dec 1998
Peter Bossaerts and Pierre Hillion
University of Cambridge and INSEAD - Finance

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43.

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 Cambridge

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Other Papers (1)

Total Downloads: 30
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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 Cambridge, Toulouse Business School - TBS Education and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 30

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Dynamic completeness, state-price probabilities, market experiment