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Journal of Financial Markets, ISSN 1386-4181, 09/2019, Volume 45, pp. 1 - 18
The make-take preferences of investors depend on high-frequency trading (HFT) competition, under which HFT firms endogenously acquire speed and informational... 
Make-take decisions | High-frequency trading competition | Market quality | Welfare | Limit order market | ORDER | BUSINESS, FINANCE | MARKOV PERFECT EQUILIBRIUM | Financial management | Business schools | Financial markets | Analysis
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 01/2017, Volume 40, pp. 139 - 161
We examine unexplored factors that affect the ex-post adoption rates of newly listed stock options. We show that a variety of measures of information... 
Asymmetric information | Adoption rates | Option volume | Stock options | Option listings | G10 | G14 | O31 | Open interest | D82 | LIQUIDITY | ANNOUNCEMENTS | INFORMATION-CONTENT | BEHAVIOR | EXECUTION | INNOVATION | INFORMED TRADERS | STOCK-PRICES | BUSINESS, FINANCE | MARKET QUALITY | SECURITY | ECONOMICS
Journal Article
Journal of banking and finance, ISSN 0378-4266, 09/2014, Volume 46, pp. 326 - 342
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in... 
Journal Article
Journal of Banking & Finance, ISSN 0378-4266, 09/2014, Volume 46, p. 326
  We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability... 
Studies | Volatility | Options trading | Abnormal returns | Transaction costs | Options markets | Agency theory
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 01/2015, p. 104899
We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996... 
Herding | Options | Cross-sectional dispersion
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 09/2014, Volume 46, Issue 1, pp. 326 - 342
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in... 
Index options | Implied volatility surface | Equity options | Predictability | Trading strategies | PRICES | MARKET VOLATILITY | RETURNS | FOREIGN-EXCHANGE | PRICING-MODELS | STOCK | BUSINESS, FINANCE | TERM STRUCTURE | REALIZED VOLATILITY | ECONOMICS | BOND MARKETS
Journal Article
Journal of Business and Economic Statistics, ISSN 0735-0015, 2018, pp. 1 - 13
Journal Article
Journal of Futures Markets, ISSN 0270-7314, 10/2019
Journal Article
Energy economics, ISSN 0140-9883, 09/2016, Volume 59, pp. 104 - 104
Integration of renewable generation can lead to both diversification of energy sources (which can improve the overall economic performance of the power sector)... 
Studies | Demand side management | Chile
Journal Article
Journal of Financial Markets, ISSN 1386-4181, 11/2015, Volume 26, pp. 1 - 37
We develop a general equilibrium asset pricing model under incomplete information and rational learning in order to understand the unexplained predictability... 
Bayesian updating | Rational learning | Implied volatility | Option pricing | Predictability | INFORMATION | RETURNS | EQUITY OPTIONS | RISK | ASSET PRICES | STOCK-PRICES | BUSINESS, FINANCE | EXCESS VOLATILITY | EQUILIBRIUM-MODEL | INDEX OPTIONS | STRUCTURAL BREAKS
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 09/2017, Volume 82, pp. 312 - 330
We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium ( ) for option returns. In the model, a... 
Volatility risk premium | Predictability | Dynamic equilibrium model | Option returns | Bayesian learning | PRICES | DYNAMICS | ECONOMICS | STOCK
Journal Article
Estudios de Economia, ISSN 0304-2758, 06/2014, Volume 41, Issue 1, pp. 5 - 48
  Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with... 
Studies | Portfolio performance | Securities trading | Risk management | Fixed incomes
Journal Article
Finance Research Letters, ISSN 1544-6123, 06/2018, Volume 25, pp. 96 - 102
We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using... 
Stock options | Option listings | Informed trading | STOCK-PRICES | TESTS | BUSINESS, FINANCE | QUALITY | SECURITIES | INFORMATION | EQUILIBRIUM | VOLUME | TRADE SIZE | Options (Finance) | Stock markets
Journal Article
Estudios de economía, ISSN 0304-2758, 06/2014, Volume 41, Issue 1, pp. 5 - 48
// ABSTRACT IN SPANISH: Los activos financieros con baja frecuencia de transacciones existen tanto en mercados emergentes como desarrollados. Sin embargo, no... 
Kalman filter
Journal Article
Estudios de Economia, ISSN 0304-2758, 06/2014, Volume 41, Issue 1, p. 5
Los activos financieros con baja frecuencia de transacciones existen tanto en mercados emergentes como desarrollados. Sin embargo, no han sido exploradas en la... 
Tecnica | Administracion de riesgos | Inversiones de capital | Bolsa de valores | Informes | Modelos | Valoracion | Indices | Analisis de riesgo | Negociacion de valores | Investigacion economica | Analisis
Journal Article
Estudios de Economía, ISSN 0304-2758, 01/2014, Volume 41, Issue 1, pp. 5 - 48
Los activos financieros con baja frecuencia de transacciones existen tanto en mercados emergentes como desarrollados. Sin embargo, no han sido exploradas en la... 
Journal Article
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