Peter Bossaerts

University of Melbourne - Department of Finance

Professor

Faculty of Economics and Commerce

Department of Finance

Carlton, Victoria 3010

Australia

http://bmmlab.org

SCHOLARLY PAPERS

40

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9,971

SSRN CITATIONS
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SSRN RANKINGS

Top 6,037

in Total Papers Citations

82

CROSSREF CITATIONS

132

Scholarly Papers (40)

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 1,713 (11,678)
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 1,455 (15,109)
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, California Institute of Technology and University of Melbourne - Department of Finance
Downloads 1,053 (24,616)
Citation 18

Abstract:

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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 868 (32,464)
Citation 24

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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, 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 628 (49,573)
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: 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, University of Melbourne - Department of Finance and California Institute of Technology
Downloads 69 (394,445)
Citation 10

Abstract:

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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 651 (47,970)
Citation 15

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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 527 (62,807)
Citation 26

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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 Melbourne - Department of Finance, Michigan State University - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 444 (77,516)
Citation 7

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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 Melbourne - Department of Finance
Downloads 340 (105,474)

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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 339 (105,864)
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
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 261 (139,758)
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 178 (200,262)
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 154 (226,452)

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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 138 (247,563)
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 115 (283,740)

Abstract:

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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 (296,500)

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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 99 (316,356)
Citation 1

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

18.

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 81 (356,044)
Citation 1

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

19.

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 (361,270)

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

20.

Emotional Engagement and Trading Performance

Number of pages: 32 Posted: 04 Sep 2020
University of Melbourne - Department of Finance, WU Vienna University of Economics and Business, Department of Accounting, Monash Business School and University of Melbourne
Downloads 77 (366,636)

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

21.

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 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 73 (377,859)
Citation 4

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

22.

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 70 (386,638)

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Limits of arbitrage, Experimental asset markets, Market capitilization

23.

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 66 (398,958)
Citation 3

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Decentralized Markets, Experiment, Experimental Finance, Information Acquisition

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 62 (411,989)

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

25.

Asset Pricing In a World of Imperfect Foresight

Number of pages: 37 Posted: 18 Jun 2020
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 54 (439,929)

Abstract:

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Rational Expectations, Perfect Foresight, Myopia, Experimental Finance

26.

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 51 (451,048)

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27.

Humans in Charge of Trading Robots: The First Experiment

Number of pages: 37 Posted: 28 Apr 2020
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 51 (451,048)
Citation 2

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

28.

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 Melbourne - Department of Finance
Downloads 43 (484,017)

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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 41 (492,813)
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
Ecole Polytechnique Fédérale de Lausanne, Independent, University of Melbourne - Department of Finance and University Hospital Center and University of Lausanne
Downloads 37 (511,154)

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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 (609,482)
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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
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 (658,466)
Citation 6

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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 (658,466)
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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

Abstract:

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Other Papers (1)

Total Downloads: 9
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 9

Abstract:

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Dynamic completeness, state-price probabilities, market experiment