Felix Fattinger

Asset Pricing In a World of Imperfect Foresight

Peter Bossaerts, Felix Fattinger, Frans van den Bogaerde, Wenhao Yang

Report  |  2020

We consider a canonical asset pricing model, where agents with quadratic preferences are allowed to retrade a limited set of secur..

Emotional Engagement and Trading Performance

Peter Bossaerts, Felix Fattinger, Kristian Rotaru, Katherine Xu

Report  |  2020

Extensive research in neuroscience proves that rational decision-making depends on accurate anticipative emotions. We test this pr..

How Information Structure Impacts Aggregation of Information in Markets

Felix Fattinger, Peter Bossaerts, Ryan Anderson

Report  |  2020

We study information aggregation in financial markets. We introduce two new stability concepts: absolute stability (sensitivity of..

Low Interest Rates, Bounded Rationality, and Product Complexity: Demand and Supply Effects for Retail Financial Markets

Marc Chesney, Felix Fattinger, Nils Jonathan Krakow

Report  |  2019

This paper studies the market for yield enhancement products (YEPs). We document a substantial increase in volumes, followed by a ..

Computational Complexity and Asset Pricing

Peter Bossaerts, Elizabeth Bowman, Felix Fattinger, Harvey Huang, Carsten Murawski, Anirudh Suthakar, Shireen Tang, Nitin Yadav

Conference Proceedings  |  2019  |  SSRN Electronic Journal

We study how markets help spread knowledge about solutions to the standard but computationally hard problem of maximizing value ov..

Trading Complex Risks

F Fattinger

Report  |  2017

Complex risks differ from simple risks in that agents facing them only possess imperfect information about the underlying objectiv..

Indebtedness, Interests, and Incentives: State-contingent Sovereign Debt Revisited

F Fattinger

Report  |  2017

This paper studies state-contingent debt as an alternative refinancing instrument for advanced economies. In times of high soverei..

Risk and Return Around the Clock

F Fattinger, A Ziegler

Report  |  2015

We investigate price discovery over the 24-hour trading day for equities, currencies, bonds, and commodities. Sizable price discov..