Details about Alejandro Bernales

Access statistics for papers by Alejandro Bernales.

Last updated 2019-03-14. Update your information in the RePEc Author Service.

Short-id: pbe583

Working Papers

2020

1. Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)

2016

2. The Information Contained in Money Market Interactions: Unsecured vs. Collateralized Lending
   Working papers, Banque de France

2015

3. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (8)
   See also Journal Article in Journal of Financial Markets (2015)

2014

4. The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings
   Working papers, Banque de France

2013

5. Risk Management with Thinly Traded Securities: Methodology and Implementation
   IDB Publications (Working Papers), Inter-American Development Bank
6. The Effects of Information Asymmetries on the Success of Stock Option Listings
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
7. The effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Futures and Credit Default Swaps
   Post-Print, HAL

2012

8. Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
   See also Journal Article in Journal of Banking & Finance (2014)

Journal Articles

2018

1. Bid–ask spread and liquidity searching behaviour of informed investors in option markets
   Finance Research Letters, 2018, 25, (C), 96-102 View citations (1)

2017

2. Learning and forecasts about option returns through the volatility risk premium
   Journal of Economic Dynamics and Control, 2017, 82, (C), 312-330 View citations (1)
3. The success of option listings
   Journal of Empirical Finance, 2017, 40, (C), 139-161 View citations (2)

2016

4. CVaR constrained planning of renewable generation with consideration of system inertial response, reserve services and demand participation
   Energy Economics, 2016, 59, (C), 104-117 View citations (8)

2015

5. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
   Journal of Financial Markets, 2015, 26, (C), 1-37 View citations (7)
   See also Working Paper (2015)

2014

6. Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
   Journal of Banking & Finance, 2014, 46, (C), 326-342 View citations (12)
   See also Working Paper (2012)
7. International workshop on algorithmic and high-frequency trading:a brief summary
   Quarterly selection of articles - Bulletin de la Banque de France, 2014, (33), 39-42
8. Thinly traded securities and risk management
   Estudios de Economia, 2014, 41, (1 Year 2014), 5-48
9. Trading algorithmique et trading haute fréquence - Compte rendu de l’atelier de recherche organisé par la Banque de France le 8 novembre 2013
   Bulletin de la Banque de France, 2014, (195), 45-47

Books

2013

1. 50 Years of Money and Finance: Lessons and Challenges
   SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum View citations (11)

Chapters

2013

1. The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps
   SUERF - The European Money and Finance Forum