Peter Bossaerts

University of Melbourne - Department of Finance

Professor

Faculty of Economics and Commerce

Department of Finance

Carlton, Victoria 3010

Australia

http://bmmlab.org

University of Cambridge

Trinity Ln

Cambridge, CB2 1TN

United Kingdom

  • University of Melbourne - Department of Finance

  • University of Cambridge

SCHOLARLY PAPERS

40

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95

CROSSREF CITATIONS

131

Scholarly Papers (40)

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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 Melbourne - Department of Finance, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,717 (12,602)
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 Melbourne - Department of Finance, Lehman Brothers, New York and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 1,460 (16,299)
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 Melbourne - Department of Finance
Downloads 1,072 (25,794)
Citation 19

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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 Melbourne - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads 876 (34,331)
Citation 25

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5.

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

Downloads 721 ( 44,791)
Citation 51

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 Melbourne - Department of Finance and California Institute of Technology
Downloads 648 (50,967)
Citation 15

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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: 20 Sep 2021
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 Melbourne - Department of Finance and California Institute of Technology
Downloads 73 (403,401)
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 Melbourne - Department of Finance and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 658 (50,569)
Citation 14

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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 531 (66,408)
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 Melbourne - Department of Finance, Michigan State University - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 447 (81,944)
Citation 8

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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 Melbourne - Department of Finance
Downloads 351 (108,212)

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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 Melbourne - Department of Finance and Emory University
Downloads 341 (111,783)
Citation 1

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Common stock returns, beta, momentum portfolio, selection bias

11.

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 Melbourne - Department of Finance, Yale University - Cowles Foundation, Anderson Graduate School of Management, UCLA, California Institute of Technology - Division of the Humanities and Social Sciences and Toulouse Business School
Downloads 267 (144,933)
Citation 4

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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 183 (207,040)
Citation 3

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

13.

Is Academic Finance Really that Wrong?

Number of pages: 11 Posted: 12 Feb 2018
Peter Bossaerts
University of Melbourne - Department of Finance
Downloads 159 (233,475)

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Finance theory, financial econometrics, financial markets, experimental finance

14.

Modelling Price Pressure in Financial Markets

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 139 (260,358)
Citation 1

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15.

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 116 (297,779)

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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 108 (313,116)

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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 105 (319,264)
Citation 3

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

18.

Emotional Engagement and Trading Performance

Number of pages: 32 Posted: 04 Sep 2020
Peter Bossaerts, Felix Fattinger, Kristian Rotaru and Katherine Xu
University of Melbourne - Department of Finance, WU Vienna University of Economics and Business, Department of Accounting, Monash Business School and University of Melbourne
Downloads 98 (333,988)

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Financial Markets, Trading, Emotions, Bubbles and Crashes, Experimental Economics

19.

Humans in Charge of Trading Robots: The First Experiment

Number of pages: 37 Posted: 28 Apr 2020
Elena N. Asparouhova, Peter Bossaerts, Kristian Rotaru, Tingxuan Wang, Nitin Yadav and Wenhao Yang
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance, Department of Accounting, Monash Business School, University of Melbourne, University of Melbourne - Department of Finance and Chinese University of Hong Kong, Shenzhen
Downloads 85 (365,227)
Citation 2

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

20.

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 Melbourne - Department of Finance, 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 85 (365,227)
Citation 4

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

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 Chinese University of Hong Kong, Shenzhen
Downloads 83 (370,428)
Citation 4

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Decentralized Markets, Experiment, Experimental Finance, Information Acquisition

22.

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 82 (373,188)
Citation 1

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

23.

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 79 (381,341)

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

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 Melbourne - Department of Finance
Downloads 76 (389,943)

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

25.

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 71 (404,996)

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Limits of arbitrage, Experimental asset markets, Market capitilization

26.

Asset Pricing In a World of Imperfect Foresight

Number of pages: 37 Posted: 18 Jun 2020
Peter Bossaerts, Felix Fattinger, Frans van den Bogaerde and Wenhao Yang
University of Melbourne - Department of Finance, WU Vienna University of Economics and Business, affiliation not provided to SSRN and Chinese University of Hong Kong, Shenzhen
Downloads 69 (411,214)

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Rational Expectations, Perfect Foresight, Myopia, Experimental Finance

27.

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 Melbourne - Department of Finance and WU Vienna University of Economics and Business
Downloads 65 (424,352)

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28.

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 Melbourne - Department of Finance
Downloads 58 (448,956)

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Nootropics, Workplace, Cognitive Enhancers, Survey, Finance

29.

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 Melbourne - Department of Finance and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 51 (475,782)
Citation 1

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

30.

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 Melbourne - Department of Finance and University Hospital Center and University of Lausanne
Downloads 37 (538,972)

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

31.

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 (642,886)
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asset pricing theory, experimental economics, competitive equilibrium, risk aversion

32.

&Apos;Lucas&Apos; in the Laboratory

NBER Working Paper No. w19068
Number of pages: 52 Posted: 25 May 2013 Last Revised: 07 Feb 2021
Elena N. Asparouhova, Peter Bossaerts, Nilanjan Roy and William R. Zame
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 13 (694,640)
Citation 4

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33.

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Number of pages: 30 Posted: 14 Dec 2004
Peter Bossaerts
University of Melbourne - Department of Finance
Downloads 13 (694,640)
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Financial markets, equilibration, CAPM, portfolio separation, optimal portfolios, experimental finance

34.

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

35.

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

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36.

What Decision Neuroscience Teaches Us About Financial Decision Making

Posted: 04 Jun 2010
Peter Bossaerts
University of Melbourne - Department of Finance

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37.

'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

38.

Time Series Analysis of Inefficient Financial Markets

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

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39.

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

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

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40.

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

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Other Papers (1)

Total Downloads: 13
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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 Melbourne - Department of Finance, Toulouse Business School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 13

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Dynamic completeness, state-price probabilities, market experiment