Peter Bossaerts

Brain, Mind and Markets Laboratory

Professor

Faculty of Economics and Commerce

Parkville, Victoria 3010 3010

Australia

http://bmmlab.org

SCHOLARLY PAPERS

30

DOWNLOADS
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SSRN RANKINGS

Top 3,844

in Total Papers Downloads

8,498

CITATIONS
Rank 6,847

SSRN RANKINGS

Top 6,847

in Total Papers Citations

71

Scholarly Papers (30)

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
Brain, Mind and Markets Laboratory, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,649 (7,659)
Citation 1

Abstract:

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
Brain, Mind and Markets Laboratory, Lehman Brothers, New York and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 1,370 (10,363)
Citation 2

Abstract:

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

3.

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), Brain, Mind and Markets Laboratory and Carnegie Mellon University - David A. Tepper School of Business
Downloads 800 (23,119)
Citation 20

Abstract:

4.

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 Brain, Mind and Markets Laboratory
Downloads 714 (19,237)
Citation 3

Abstract:

5.

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
Brain, Mind and Markets Laboratory and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 620 (33,670)
Citation 16

Abstract:

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, Brain, Mind and Markets Laboratory and California Institute of Technology
Downloads 550 (39,817)

Abstract:

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, Brain, Mind and Markets Laboratory and California Institute of Technology
Downloads 34 (393,471)

Abstract:

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
Brain, Mind and Markets Laboratory, California Institute of Technology - Division of the Humanities and Social Sciences and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 491 (43,997)
Citation 18

Abstract:

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, Brain, Mind and Markets Laboratory, Michigan State University - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 400 (57,267)

Abstract:

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
Brain, Mind and Markets Laboratory and Emory University
Downloads 312 (76,540)
Citation 6

Abstract:

Common stock returns, beta, momentum portfolio, selection bias

10.

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, Brain, Mind and Markets Laboratory, Yale University - Cowles Foundation, California Institute of Technology, California Institute of Technology - Division of the Humanities and Social Sciences and Toulouse Business School
Downloads 194 (111,703)

Abstract:

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

11.

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 Brain, Mind and Markets Laboratory
Downloads 135 (160,184)

Abstract:

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

12.

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
Brain, Mind and Markets Laboratory and University of Utah - David Eccles School of Business
Downloads 124 (187,333)
Citation 2

Abstract:

13.

Executing Complex Cognitive Tasks: Prizes vs. Markets

Number of pages: 40 Posted: 05 Mar 2007
Peter Bossaerts, Debrah Meloso and Jernej Copic
Brain, Mind and Markets Laboratory, Toulouse Business School and Yale University - Cowles Foundation
Downloads 89 (229,267)

Abstract:

Intellectual Discovery, Markets, Computation, non-Bayesian Learning

14.

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, Brain, Mind and Markets Laboratory and Stanford University - Psychology
Downloads 65 (275,635)
Citation 2

Abstract:

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

15.

Equilibration Under Competition in Smalls: Theory and Experimental Evidence

EFA 2006 Zurich Meetings
Number of pages: 46 Posted: 12 Aug 2006
Peter Bossaerts
Brain, Mind and Markets Laboratory
Downloads 64 (277,789)
Citation 1

Abstract:

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

16.

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
Brain, Mind and Markets Laboratory, University of Southern California - Marshall School of Business and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 62 (269,379)
Citation 1

Abstract:

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

17.

A Minute with Peter Bossaerts

Algorithmic Finance (2015), 4:1-2, 1-3
Number of pages: 4 Posted: 28 Jul 2015
Peter Bossaerts
Brain, Mind and Markets Laboratory
Downloads 50 (229,267)

Abstract:

18.

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
Brain, Mind and Markets Laboratory
Downloads 18 (454,755)
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Abstract:

asset pricing theory, experimental economics, competitive equilibrium, risk aversion

19.

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

CEPR Discussion Paper No. 4673
Number of pages: 30 Posted: 14 Dec 2004
Peter Bossaerts
Brain, Mind and Markets Laboratory
Downloads 13 (485,895)
  • Add to Cart

Abstract:

Financial markets, equilibration, CAPM, portfolio separation, optimal portfolios, experimental finance

20.

'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, Brain, Mind and Markets Laboratory, California Institute of Technology and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 1 (506,230)

Abstract:

21.

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 Brain, Mind and Markets Laboratory
Downloads 0 (137,728)

Abstract:

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

22.

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, Brain, Mind and Markets Laboratory and University Hospital Center and University of Lausanne
Downloads 0 (439,073)

Abstract:

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

23.

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 Brain, Mind and Markets Laboratory

Abstract:

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

24.

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 Brain, Mind and Markets Laboratory

Abstract:

25.

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, Brain, Mind and Markets Laboratory and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 0 (433,882)

Abstract:

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

26.

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
Brain, Mind and Markets Laboratory

Abstract:

27.

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

Lectures on Corporate Finance
Posted: 02 Oct 2009
Peter Bossaerts and Bernt Arne Ødegaard
Brain, Mind and Markets Laboratory and University of Stavanger

Abstract:

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

28.

Time Series Analysis of Inefficient Financial Markets

Posted: 24 Oct 1999
Peter Bossaerts
Brain, Mind and Markets Laboratory

Abstract:

29.

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
Brain, Mind and Markets Laboratory and INSEAD - Finance

Abstract:

30.

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
Brain, Mind and Markets Laboratory

Abstract:

Other Papers (1)

Total Downloads: 4    Citations: 1
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
Brain, Mind and Markets Laboratory, Toulouse Business School and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 0
Citation 1

Abstract:

Dynamic completeness, state-price probabilities, market experiment