Papers/publications
ResearchID: K-6105-2012 (not all published paper are listed here)
On Information
Signal Orderings based on Dispersion and the Supply of Private Information in Auctions, with Juanjo Ganuza [2010] Econometrica, 78 (3)
Information disclosure in optimal auctions, with Juanjo Ganuza [2019] International Journal of Industrial Organization 63: 460-479.
On Algorithmic Learning and Collusion
¿Sueña la inteligencia artificial con cárteles virtuales? [2023] Capítulo VIII en Análisis financiero y big data, Carbó Valverde, Santiago; Ganuza, Juan José; Peña, Daniel; Poncela, Pilar (editores), FUNCAS 2023
Algorithmic Collusion in Electronic Markets: The Impact of Tick Size with Álvaro Cartea, and P. Chang [2022]. Available at SSRN: http://dx.doi.org/10.2139/ssrn.4105954
A Folk Theorem from Learning in Games with Álvaro Cartea, P. Chang, and Waldon, H. [2022]. Available at SSRN: http://dx.doi.org/10.2139/ssrn.4293831
The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games with Álvaro Cartea, P. Chang, and Waldon, H. [2022]. Available at SSRN: http://dx.doi.org/10.2139/ssrn.4175239
On High Frequency Trading and Market Microstructure
Algorithmic and High-Frequency Trading, with Alvaro Cartea and Sebastian Jaimungal [2015] Cambridge University Press ISBN-10: 1107091144 ISBN-13: 978-1107091146
Where is the value in High Frequency Trading? with Alvaro Cartea [2012] Quarterly Journal of Finance, Volume 02, Issue 03, September 2012
Ultra-fast activity and intraday market quality. with Alvaro Cartea, R Payne and M Tapia [2019] Journal of Banking & Finance 99 (2019): 157-181.
Heterogeneity and competition in fragmented markets: fees vs speed, with Mikel Tapia [2022] Applied Mathematical Finance, 28:2: 143-177
Operate, not Amputate: Rule 201 as an Example of a Surgical Approach to Dealing with Toxic Short Selling with Oscar H. Florindo, and M. Tapia. [2023] Available at SSRN: http://dx.doi.org/10.2139/ssrn.4096575 Won the CNMV Award for Best Paper on Securities Markets and their Regulation or Supervision at the XXX Foro de Finanzas.
Revisiting Tick Size: Implications from the SEC Tick Size Pilot, SSRN [2017]
A non-technical overview of High Frequency Trading (July 2011) (divulgación)
Post en nadaesgratis sobre HFTs "HFTs: ¿El Principio de una Larga Enemistad?" (Abril 2014) (divulgación)
On Law and Economics
Quality of Evidence and Legal Decision-Making with Fernando Gómez, and Juan José Ganuza [2022] American Law and Economics Review, 24(1), 327-368. (awarded the Best Theory Paper 2023 price)
Product liability should reward firm transparency, with Fernando Gómez and Juanjo Ganuza [2018]
Problemas de concepto, valoración y cuantificación del daño moral, con Fernando Gómez [2015] en "El daño moral y su cuantificación", Gómez Pomar, F. y Marín García, I., Editorial: Wolters Kluwer ISBN: 978-84-9090-020-8
On Insurance
Tort Reform and the Theory of Coordinating Tort and Insurance, with Fernando Gómez [2015] International Review of Law and Economics, vol. 43
A Study of the Interaction of Insurance and Financial Markets: Efficiency and Full Insurance Coverage [2008] Journal of Risk and Insurance, 75(2)
Insurance and Tort: Coordination Systems And Imperfect Liability Rules, with Fernando Gómez [2008] chapter in Internationalization of the Law and its Economic Analysis, Eger T. et al (ed), Editorial: Gabler Edition Wissenschaft ISBN 978-3-8350-5582-7
Insuring California Earthquakes and the Role for Catastrophe Bonds [2002] Journal of Risk Finance, 3(4)
Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets [2001] Review of Economic Dynamics, 4
Intertemporal Insurance, with Bryan Ellickson [1997] Journal of Risk and Insurance 64(4)
On Game Theory
Empirical Implications of Information Structure in Finite Extensive Form Games, with Michael D. Ryall [2008] The B.E. Journal of Theoretical Economics, 8(1)
On Industrial Organization
Aspectos económicos de la liberalización del ferrocarril: mecanismos de subastas y medición de la eficiencia, con Javier Asensio, Juan José Ganuza Fernández, Francesc Trillas [2006] Estudios de Construcción y Transportes, 104
On Experimental Finance
Chapter: Experimental Finance, with Debrah Meloso, in Experimental Economics: Economic Applications Volume II (Pablo Brañas-Garza and Antonio Cabrales, editors). Publisher Palgrave MacMillan
On Asset Prices
Cointegration, Information Transmission, and the Lead‐Lag Effect between Industry Portfolios and the Stock Market with V Troster, A Taamouti and D Wied [2021] Journal of Forecasting, February (2021)
On Financial Intermediation
The governance of perpetual financial intermediaries with Jos Van Bommel [2013] SSRN