Peter Bossaerts

University of Cambridge

Faculty of Economics

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

46

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13,210

SSRN CITATIONS
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Top 6,525

in Total Papers Citations

146

CROSSREF CITATIONS

133

Scholarly Papers (46)

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 1,763 (19,351)
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 (Caltech) - Division of the Humanities and Social Sciences
Downloads 1,544 (23,755)
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 (Caltech), California Institute of Technology (Caltech) and University of Cambridge
Downloads 1,235 (32,998)
Citation 24

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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 931 (49,303)
Citation 23

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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, National Bureau of Economic Research (NBER)Yale School of Management, California Institute of Technology (Caltech) - Division of the Humanities and Social Sciences, University of Cambridge and California Institute of Technology (Caltech)
Downloads 771 (62,767)
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
University of Southern California - Marshall School of Business, National Bureau of Economic Research (NBER)Yale School of Management, California Institute of Technology (Caltech) - Division of the Humanities and Social Sciences, University of Cambridge and California Institute of Technology (Caltech)
Downloads 137 (402,102)
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 (Caltech) - Division of the Humanities and Social Sciences
Downloads 712 (70,684)
Citation 22

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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 (Caltech) - Division of the Humanities and Social Sciences and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 581 (91,391)
Citation 34

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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 Cambridge, Michigan State University - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 482 (115,003)
Citation 11

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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
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 421 (134,848)

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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 370 (156,119)
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
University of Cambridge, WU Vienna University of Economics and Business, Department of Accounting, Monash Business School and University of Melbourne
Downloads 363 (159,469)

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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
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 311 (188,132)
Citation 4

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

13.

Humans in Charge of Trading Robots: The First Experiment

Number of pages: 50 Posted: 28 Apr 2020 Last Revised: 26 Feb 2024
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 University of North Carolina (UNC) at Charlotte - Finance
Downloads 277 (212,388)
Citation 3

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

14.

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 264 (222,920)
Citation 8

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

15.

Asset Pricing In a World of Imperfect Foresight

Number of pages: 59 Posted: 18 Jun 2020 Last Revised: 20 Mar 2024
University of Cambridge, WU Vienna University of Economics and Business, affiliation not provided to SSRN and University of North Carolina (UNC) at Charlotte - Finance
Downloads 253 (232,503)

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

16.

Is Academic Finance Really that Wrong?

Number of pages: 11 Posted: 12 Feb 2018
Peter Bossaerts
University of Cambridge
Downloads 225 (260,563)

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Finance theory, financial econometrics, financial markets, experimental finance

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
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 194 (298,792)
Citation 7

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

18.

ETF Indexing Strategies and Asset Prices: Experimental Evidence

Number of pages: 43 Posted: 16 Apr 2024 Last Revised: 09 Sep 2024
University of Cambridge, University of California, Irvine, University of Stavanger, University of Stavanger and University of Melbourne - Department of Finance
Downloads 192 (303,028)

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asset pricing, ETFs, experimental finance

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 University of North Carolina (UNC) at Charlotte - Finance
Downloads 182 (316,405)
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
University of Melbourne - Department of Finance, University of Melbourne, Department of Finance, Students, University of Melbourne - Department of Finance and University of Cambridge
Downloads 179 (321,128)
Citation 1

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Nootropics, Workplace, Cognitive Enhancers, Survey, Finance

21.

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 159 (355,888)
Citation 1

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22.

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 (Caltech) - Division of the Humanities and Social Sciences
Downloads 146 (381,709)
Citation 10

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

23.

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 142 (390,176)

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

24.

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 141 (392,414)

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25.

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 134 (408,343)

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Intellectual Discovery, Markets, Computation, non-Bayesian Learning

26.

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

Number of pages: 111 Posted: 04 May 2016 Last Revised: 08 Apr 2024
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 (Caltech) - Division of the Humanities and Social Sciences
Downloads 132 (413,188)
Citation 1

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

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 Cambridge and WU Vienna University of Economics and Business
Downloads 127 (425,527)

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28.

Investments and Asset Pricing in a World of Satisficing Agents

Swiss Finance Institute Research Paper No. 24-05
Number of pages: 29 Posted: 01 Feb 2024 Last Revised: 10 May 2024
Tony Berrada, Peter Bossaerts and Giuseppe Ugazio
University of Geneva - Geneva Finance Research Institute (GFRI), University of Cambridge and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 119 (447,111)

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29.

The Role of Financial Markets in Mitigating Credit Market Bubbles

Number of pages: 97 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 117 (452,829)

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Market Bubbles, Social Rationality, Asset Pricing, Experimental Finance

30.

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 109 (477,265)

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Limits of arbitrage, Experimental asset markets, Market capitilization

31.

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 108 (480,432)
Citation 1

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

32.

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 99 (510,710)

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

33.

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 74 (609,147)
Citation 1

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

34.

Spatiotemporal Brain Signatures of Risk and Reward

Number of pages: 35 Posted: 29 Aug 2016 Last Revised: 31 Aug 2016
École Polytechnique Fédérale de Lausanne, Independent, University of Cambridge and University of Lausanne - The LINE (Laboratory for Investigative Neurophysiology)
Downloads 71 (623,181)

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

35.

Resource Allocation, Computational Complexity, and Market Design

Number of pages: 62 Posted: 02 Nov 2023
University of Cambridge, University of Melbourne - Department of Finance, WU Vienna University of Economics and Business, University of Melbourne, The University of Melbourne, University of Melbourne - Department of Finance, The University of Melbourne, University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
Downloads 39 (812,725)

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Computational Complexity, Knapsack Problem, Resource Allocation, Market Design, Securities Design, Oracles, Complete Markets, Noisy Rational Expectations

36.

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

Number of pages: 16 Posted: 17 Dec 2022
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 37 (828,093)

Abstract:

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Price FormationInformed TradersMarket Microstructure

37.

'Lucas' in the Laboratory

NBER Working Paper No. w19068
Number of pages: 52 Posted: 25 May 2013 Last Revised: 06 Feb 2023
University of Utah - David Eccles School of Business, University of Cambridge, California Institute of Technology (Caltech) and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 36 (836,034)
Citation 14

Abstract:

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38.

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 (983,650)
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asset pricing theory, experimental economics, competitive equilibrium, risk aversion

39.

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Number of pages: 30 Posted: 14 Dec 2004
Peter Bossaerts
University of Cambridge
Downloads 13 (1,059,314)
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Financial markets, equilibration, CAPM, portfolio separation, optimal portfolios, experimental finance

40.

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
École Polytechnique Fédérale de Lausanne and University of Cambridge

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

41.

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
École Polytechnique Fédérale de Lausanne and University of Cambridge

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42.

What Decision Neuroscience Teaches Us About Financial Decision Making

Posted: 04 Jun 2010
Peter Bossaerts
University of Cambridge

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43.

'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

44.

Time Series Analysis of Inefficient Financial Markets

Posted: 24 Oct 1999
Peter Bossaerts
University of Cambridge

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45.

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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46.

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: 38
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 38

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Dynamic completeness, state-price probabilities, market experiment