Peter L. Bossaerts : Citation Profile

California Institute of Technology (50% share)
Centre for Economic Policy Research (CEPR) (50% share)

12

H index

13

i10 index

789

Citations

RESEARCH PRODUCTION:

13

Articles

11

Papers

RESEARCH ACTIVITY:

   38 years (1988 - 2026). See details.
   Cites by year: 20
   Journals where Peter L. Bossaerts has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 4 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo132
   Updated: 2026-06-27    RAS profile: 2026-05-09    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Biais, Bruno (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter L. Bossaerts.

Is cited by:

Guidolin, Massimo (16)

Corgnet, Brice (16)

Zame, William (14)

Duffy, John (13)

Noussair, Charles (9)

Timmermann, Allan (9)

Porter, David (9)

Pettenuzzo, Davide (9)

Bekaert, Geert (7)

Pierdzioch, Christian (7)

Menkhoff, Lukas (7)

Cites to:

Plott, Charles (16)

Fama, Eugene (7)

Zame, William (6)

Lucas, Robert (6)

Lo, Andrew (6)

gourieroux, christian (6)

Schmedders, Karl (5)

Campbell, John (5)

Ghysels, Eric (5)

Stambaugh, Robert (4)

Levine, David (4)

Main data

Where Peter L. Bossaerts has published?

Journals with more than one article published# docs
Journal of Financial Markets2
The Review of Financial Studies2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
IDEI Working Papers / Institut d'Économie Industrielle (IDEI), Toulouse2
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Peter L. Bossaerts (2026 and 2025)

YearTitle of citing document
2024Investment strategies based on forecasts are (almost) useless. (2024). Weba, Michael. In: Papers. RePEc:arx:papers:2408.01772.

Full description at Econpapers || Download paper

2025TLOB: A Novel Transformer Model with Dual Attention for Stock Price Trend Prediction with Limit Order Book Data. (2025). Berti, Leonardo ; Kasneci, Gjergji. In: Papers. RePEc:arx:papers:2502.15757.

Full description at Econpapers || Download paper

2026Realized range-based estimation of integrated variance. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.20463.

Full description at Econpapers || Download paper

2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

Full description at Econpapers || Download paper

2025Beyond Performance: Exploring trade-offs in the design of financial algorithms. (2025). Giannetti, Caterina ; Gaudeul, Alexia. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:48:y:2025:i:c:s2214635025001005.

Full description at Econpapers || Download paper

2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

Full description at Econpapers || Download paper

2025The AH premium: A tale of “siamese twin” stocks. (2025). Zhang, Tongbin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000210.

Full description at Econpapers || Download paper

2025Does ambiguity drive the disposition effect?. (2025). Yoshikawa, Daisuke ; Iwaki, Hideki. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008196.

Full description at Econpapers || Download paper

2026Pricing skewed assets in multi-asset experimental markets. (2026). Zhao, Shuchen. In: Games and Economic Behavior. RePEc:eee:gamebe:v:155:y:2026:i:c:p:107-148.

Full description at Econpapers || Download paper

2025Fear propagation and return dynamics. (2025). Wang, Kai ; Sun, Yulong ; Zhou, Zhiping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000305.

Full description at Econpapers || Download paper

2025Motivated beliefs about stock returns. (2025). Iturbe-Ormaetxe, Inigo ; Cueva, Carlos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s037842662500130x.

Full description at Econpapers || Download paper

2026ETF indexing strategies and asset prices: Experimental evidence. (2026). Duffy, John ; Bossaerts, Peter ; Rud, Olga A ; Yadav, Nitin ; Rabanal, Jean Paul. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:241:y:2026:i:c:s0167268125004597.

Full description at Econpapers || Download paper

2025Out-of-Sample Predictability of the Equity Risk Premium. (2025). Hotta, Luiz ; Fuertes, Ana-Maria ; de Almeida, Daniel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:257-:d:1566698.

Full description at Econpapers || Download paper

2026Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications. (2004). Biais, Bruno ; Glosten, Larry ; Spatt, Chester. In: IDEI Working Papers. RePEc:ide:wpaper:825.

Full description at Econpapers || Download paper

2025The Impact of Exchange-Traded Fund Index Inclusion on Stock Prices. (2025). Friedman, Daniel ; Duffy, John ; Rud, Olga A ; Rabanal, Jean Paul. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:1:p:21-34.

Full description at Econpapers || Download paper

2025Investor Logins and the Disposition Effect. (2025). Quispe-Torreblanca, Edika ; Gathergood, John ; Stewart, Neil ; Loewenstein, George. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:1:p:219-239.

Full description at Econpapers || Download paper

2026Trading Gamification and Investor Behavior. (2026). Zoican, Marius ; Khapko, Mariana ; Chapkovski, Philipp. In: Management Science. RePEc:inm:ormnsc:v:72:y:2026:i:1:p:32-56.

Full description at Econpapers || Download paper

2026The Case for Mindful Customer Protection. (2026). Galotto, Ludovica ; Affinito, Massimiliano ; Privitera, Francesco. In: Journal of Consumer Policy. RePEc:kap:jcopol:v:49:y:2026:i:1:d:10.1007_s10603-026-09611-x.

Full description at Econpapers || Download paper

2025The Information Cliff. (2025). Wang, Chen ; Li, YE. In: SocArXiv. RePEc:osf:socarx:bf8cx_v1.

Full description at Econpapers || Download paper

2025Understanding price momentum, market fluctuations, and crashes: insights from the extended Samuelson model. (2025). Han, Qingyuan. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00743-y.

Full description at Econpapers || Download paper

2026Asset Pricing and Risk Sharing in Complete Markets: An Experimental Investigation. (2024). Moinas, Sophie ; Biais, Bruno ; Mariotti, Thomas ; Pouget, Sebastien. In: TSE Working Papers. RePEc:tse:wpaper:28546.

Full description at Econpapers || Download paper

2026The Present Value Relation Over Six Centuries: The Case of the Bazacle Company. (2017). Goetzmann, William ; Pouget, Sebastien ; le Bris, David. In: TSE Working Papers. RePEc:tse:wpaper:31621.

Full description at Econpapers || Download paper

2026Silent News in Chinas Monetary Policy Announcements: Dual-Shock Identification with Ordered Heteroskedasticity. (2026). Niu, Linlin ; Hong, Zhiwu. In: Working Papers. RePEc:wyi:wpaper:002615.

Full description at Econpapers || Download paper

Works by Peter L. Bossaerts:

YearTitleTypeCited
1994 Tax-Induced Intertemporal Restrictions on Security Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article7
1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper20
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2005Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment In: UCLA Economics Working Papers.
[Full Text][Citation analysis]		paper12
2006Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment.(2006) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
Equilibrium Asset Pricing Under Heterogeneous Information In: GSIA Working Papers.
[Full Text][Citation analysis]		paper9
2026Equilibrium Asset Pricing Under Heterogenous Information.(2026) In: IDEI Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2000Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper73
2004Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets.(2004) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		article
1988Common nonstationary components of asset prices In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article37
2002The CAPM in thin experimental financial markets In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article18
1997Local parametric analysis of hedging in discrete time In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2002Inducing liquidity in thin financial markets through combined-value trading mechanisms In: European Economic Review.
[Full Text][Citation analysis]		article16
2003Excess demand and equilibration in multi-security financial markets: the empirical evidence In: Journal of Financial Markets.
[Full Text][Citation analysis]		article28
2003Local parametric analysis of derivatives pricing and hedging In: Journal of Financial Markets.
[Full Text][Citation analysis]		article4
2000Expectations and learning in Iowa In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2026An optimal IPO mechanism In: IDEI Working Papers.
[Citation analysis]		paper66
2012Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility In: NBER Working Papers.
[Full Text][Citation analysis]		paper103
2013Lucas In The Laboratory In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
1999Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? In: The Review of Financial Studies.
[Citation analysis]		article295
1991Market Microstructure Effects of Government Intervention in the Foreign Exchange Market. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article53
2000LEARNING-INDUCED SECURITIES PRICE VOLATILITY In: Computing in Economics and Finance 2000.
[Citation analysis]		paper5
2001Ipo Post-Issue Markets: Questionable Predilections But Diligent Learners? In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article6

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated June, 12 2026. Contact: CitEc Team