7 citations · 7 across the 1 of their papers we have counts for
3 papers
q-fin.PR2017★ 7 cited
Non-parametric and semi-parametric asset pricing
Peter Erdos, Mihaly Ormos, David Zibriczky
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furth…
q-fin.PR2016
Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring
Mihaly Ormos, Dusan Timotity
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent pric…
q-fin.TR2016
Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading
Mihaly Ormos, Dusan Timotity
We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We s…