Mark Salmon

University of Cambridge - Faculty of Economics and Politics

Austin Robinson Building

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

15

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5,795

SSRN CITATIONS
Rank 12,131

SSRN RANKINGS

Top 12,131

in Total Papers Citations

16

CROSSREF CITATIONS

82

Scholarly Papers (15)

1.

Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly

Number of pages: 62 Posted: 11 Feb 2002 Last Revised: 19 Nov 2020
Soosung Hwang, Alexandre Rubesam and Mark Salmon
Sungkyunkwan University - Department of Economics, IESEG School of Management and University of Cambridge - Faculty of Economics and Politics
Downloads 1,522 (14,294)
Citation 15

Abstract:

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Beta, Herding, Overconfidence, Low-beta Anomaly

2.

Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets

Number of pages: 43 Posted: 21 May 2008
Mark Salmon and Eric Bouyé
University of Cambridge - Faculty of Economics and Politics and World Bank
Downloads 520 (64,719)
Citation 3

Abstract:

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FX market, Efficiency, Copula, Quantile Regression

3.

The Information Content of a Limit Order Book: The Case of an FX Market

WBS Finance Group Research Paper No. 150
Number of pages: 44 Posted: 18 Jan 2011
Roman Kozhan and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 490 (69,725)
Citation 4

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limit order book, profitability, high-frequency data

4.

Overconfidence, Sentiment and Beta Herding: A Behavioral Explanation of the Low-Beta Anomaly

Number of pages: 53 Posted: 15 Aug 2018
Soosung Hwang, Alexandre Rubesam and Mark Salmon
Sungkyunkwan University - Department of Economics, IESEG School of Management and University of Cambridge - Faculty of Economics and Politics
Downloads 462 (74,940)
Citation 6

Abstract:

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Beta, Herding, Overconfidence, Sentiment, Low-beta Anomaly

5.

Sentiment and Price Formation: The Impact of Non-Linearity

Number of pages: 33 Posted: 05 Mar 2007
Nektaria Karakatsani and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 403 (88,021)

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Investor sentiment, Noise trading, Regime switching, Smooth transitions

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Bank of England Working Paper No. 334
Number of pages: 39 Posted: 12 Aug 2005
Bank of England - Monetary Analysis, University of Cambridge - Faculty of Economics and Politics and Bank of England
Downloads 317 (114,676)
Citation 13

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Option-implied distributions, effective exchange rate indices, copula functions, option pricing

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

CEPR Discussion Paper No. 5114
Number of pages: 35 Posted: 10 Aug 2005
Bank of England - Monetary Analysis, University of Cambridge - Faculty of Economics and Politics and Bank of England
Downloads 26 (593,035)
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Exchange rates, copulae, option implied pdfs, triangular arbitrage

7.

Sentiment and Price Formation: Interactions and Regime Shifts

Number of pages: 36 Posted: 06 Mar 2008
Nektaria Karakatsani and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 334 (109,008)
Citation 2

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Investor sentiment, Asset pricing, Regime-switching, Noise trading

8.

Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation

WBS Finance Group Research Paper No. 74
Number of pages: 23 Posted: 03 Mar 2007
Roman Kozhan and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 330 (110,448)
Citation 1

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uncertainty aversion, exchange rate formation, agent-based modeling

9.

Measuring the Dependence between Non-Gaussian Financial Assets Using Copulae: Risk Management, Option Pricing and Default Risk

Number of pages: 38 Posted: 23 Sep 2008
Eric Bouyé and Mark Salmon
World Bank and University of Cambridge - Faculty of Economics and Politics
Downloads 296 (124,079)
Citation 1

Abstract:

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Finance

10.

On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates

WBS Finance Group Research Paper No. 101
Number of pages: 46 Posted: 23 May 2008
Roman Kozhan and Mark Salmon
University of Warwick - Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 252 (146,433)
Citation 1

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Knightian uncertainty, market timing, predictability, high-frequency data

11.

Investing Dynamic Dependence Using Copulae

Number of pages: 31 Posted: 23 Sep 2008
Eric Bouyé, Mark Salmon and Nicolas Gaussel
World Bank, University of Cambridge - Faculty of Economics and Politics and Metori Capital Management
Downloads 242 (152,381)
Citation 6

Abstract:

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Finance, Financial Econumetrics, Copula, Time Series, Non Linear

12.

Time Deformation and Term Structure of Interest Rates

Number of pages: 34 Posted: 10 Mar 2008
Wing Wah Tham and Mark Salmon
University of New South Wales (UNSW) and University of Cambridge - Faculty of Economics and Politics
Downloads 226 (162,759)
Citation 3

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Term structure, Interest rates, Multivariate modeling, Hawkes process, Time deformation.

13.
Downloads 214 (171,329)
Citation 5

Performance Measurement with Loss Aversion

Cass Business School Research Paper
Number of pages: 47 Posted: 12 Mar 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 186 (194,807)
Citation 2

Abstract:

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Behavioral Finance, Mutual Funds

Performance Measurement with Loss-Aversion

CEPR Discussion Paper No. 5173
Number of pages: 42 Posted: 25 Aug 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 28 (579,661)
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Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle

14.

Testing Distributional Assumptions: A L-Moment Approach

Number of pages: 39 Posted: 04 Sep 2008
Ba M. Chu and Mark Salmon
Carleton University and University of Cambridge - Faculty of Economics and Politics
Downloads 121 (276,527)

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L-moment, Stein Equation, GMM, Bahadur Effciency, Likelihood Ratio

15.

Market Stress and Herding

Number of pages: 53 Posted: 13 May 2004
Soosung Hwang and Mark Salmon
Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 40 (502,303)
Citation 11
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Herding, heterogenous beliefs, cross-sectional volatility