Oleg Bondarenko

University of Illinois at Chicago - Department of Finance

2431 University Hall (UH)

601 S. Morgan Street

Chicago, IL 60607-7124

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 1,332

SSRN RANKINGS

Top 1,332

in Total Papers Downloads

20,768

CITATIONS
Rank 2,934

SSRN RANKINGS

Top 2,934

in Total Papers Citations

189

Scholarly Papers (21)

1.

Why are Put Options so Expensive?

Quarterly Journal of Finance, Vol. 4, 1450015 [50 pages], 2014
Number of pages: 40 Posted: 29 Apr 2003 Last Revised: 06 Apr 2015
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 4,988 (1,447)
Citation 48

Abstract:

Loading...

Market Market Efficiency Hypothesis, Rational Learning, Option Valuation, Risk-Neutral Density, Peso Problem

2.

Market Price of Variance Risk and Performance of Hedge Funds

AFA 2006 Boston Meetings Paper
Number of pages: 50 Posted: 08 Nov 2005
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 2,371 (5,234)
Citation 37

Abstract:

Loading...

Variance risk, option valuation, risk-neutral density, stochastic volatility, hedge funds

3.

VPIN and the Flash Crash

Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44 Posted: 09 Jul 2011 Last Revised: 18 Feb 2014
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 2,009 (6,925)
Citation 3

Abstract:

Loading...

VPIN, PIN, High-Frequency Trading, Order Flow Toxicity, Order Imbalance, Flash Crash, VIX, Volatility Forecasting

4.

Statistical Arbitrage and Securities Prices

Review of Financial Studies, Vol. 16, p. 875-919, 2003
Number of pages: 44 Posted: 19 Aug 2002 Last Revised: 03 Nov 2014
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 1,992 (7,019)
Citation 19

Abstract:

Loading...

Arbitrage, Pricing Kernel, Market Efficiency Hypothesis, Rational Learning, Option Valuation, Risk-Neutral Density, Peso problem

5.

Recovering Risk-Neutral Densities: A New Nonparametric Approach

EFA 2000
Number of pages: 61 Posted: 19 Oct 2000
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 1,957 (7,265)
Citation 9

Abstract:

Loading...

option valuation, nonparametric estimation, risk neutral density

6.

Competing Market Makers, Liquidity Provision, and Bid-Ask Spread

Journal of Financial Markets, Vol. 4, pp. 269-308, 2001
Number of pages: 41 Posted: 20 Dec 2000 Last Revised: 10 Oct 2014
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 1,207 (15,859)
Citation 5

Abstract:

Loading...

dealers market, imperfect competition, asymmetric information, dynamic equilibrium, components of the bid-ask spread

7.

Variance Trading and Market Price of Variance Risk

Journal of Econometrics, Vol. 180, p. 81-97
Number of pages: 34 Posted: 14 Oct 2011 Last Revised: 04 Aug 2014
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 966 (22,138)
Citation 35

Abstract:

Loading...

Variance Risk, Option Valuation, Risk-Neutral Density, Stochastic Volatility

8.

An Analysis of Index Option Writing with Monthly and Weekly Rollover

Number of pages: 10 Posted: 20 Mar 2016
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 941 (22,972)

Abstract:

Loading...

put writing indexes, weekly options, implied and realized volatilities

9.

Exploring Return Dynamics via Corridor Implied Volatility

Review of Financial Studies, Vol. 28 (10), pp. 2902-2945, 2015
Number of pages: 37 Posted: 21 Mar 2011 Last Revised: 10 Oct 2015
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance and Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 736 (32,504)
Citation 1

Abstract:

Loading...

VIX, Model-Free Implied Volatility, Corridor Implied Volatility, Time Series Coherence

10.

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Review of Finance, Vol. 19, pp. 1-54, 2015
Number of pages: 43 Posted: 12 Jul 2013 Last Revised: 06 Apr 2015
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 617 (41,210)
Citation 1

Abstract:

Loading...

VPIN, Order Flow Toxicity, Order Imbalance, Accuracy of Trade Classification, Volatility Forecasting

11.

Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

Number of pages: 50 Posted: 22 Nov 2015 Last Revised: 08 Aug 2018
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, University of Maryland and New Economic School (NES)
Downloads 581 (44,634)

Abstract:

Loading...

market microstructure, invariance, high-frequency trading, liquidity, volatility, volume, time series, intraday patterns

12.

Reflecting on the VPIN Dispute

Journal of Financial Markets, Vol. 17, pp. 53-64, 2014
Number of pages: 12 Posted: 05 Aug 2013 Last Revised: 18 Feb 2014
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 560 (46,805)

Abstract:

Loading...

VPIN, PIN, High-Frequency Trading, Order Flow Toxicity, Order Imbalance, Flash Crash, VIX, Volatility Forecasting

Construction and Interpretation of Model-Free Implied Volatility

Number of pages: 37 Posted: 23 Jun 2008 Last Revised: 12 Oct 2011
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 475 (57,050)
Citation 8

Abstract:

Loading...

Model-Free Implied Volatility, Corridor Implied Volatility, Realized Volatility, VIX, Volatility Forecasting, Risk-Neutral Density

Construction and Interpretation of Model-Free Implied Volatility

NBER Working Paper No. w13449
Number of pages: 35 Posted: 28 Sep 2007 Last Revised: 26 Nov 2007
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 56 (366,169)
Citation 8

Abstract:

Loading...

14.

Specialist Participation and Limit Orders

Number of pages: 40 Posted: 20 Dec 2000
Jaeyoung Sung and Oleg Bondarenko
Ajou University and University of Illinois at Chicago - Department of Finance
Downloads 458 (60,324)
Citation 5

Abstract:

Loading...

Dealer market, asymmetric information, specialist participation, limit order book

15.

The Fine Structure of Equity-Index Option Dynamics

Journal of Econometrics, Vol. 187, pp. 532-546, 2015
Number of pages: 33 Posted: 08 Nov 2013 Last Revised: 10 Oct 2015
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, Northwestern University and Duke University - Economics Group
Downloads 252 (118,488)
Citation 1

Abstract:

Loading...

high-frequency data, implied volatility, jump activity, Kolmogorov-Smirnov test, stable process, stochastic volatility, VIX index

16.

Comments on 'Testing VPIN on Big Data - Response to Reflecting on the VPIN Dispute'

Number of pages: 6 Posted: 27 Sep 2013 Last Revised: 01 Oct 2013
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 243 (122,906)

Abstract:

Loading...

VPIN, High-Frequency Trading, Order Flow Toxicity, Flash Crash, Volatility Forecasting

17.

Rearrangement Algorithm and Maximum Entropy

Number of pages: 39 Posted: 23 Dec 2015 Last Revised: 17 Aug 2017
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 192 (154,152)

Abstract:

Loading...

Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant

18.

A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Models

Review of Derivatives Research, Vol. 12, pp. 81-107, 2009
Number of pages: 29 Posted: 14 Oct 2011 Last Revised: 06 Apr 2015
Oleg Bondarenko and Iñaki Rodríguez-Longarela
University of Illinois at Chicago - Department of Finance and Stockholm University - Stockholm Business School
Downloads 69 (324,594)
Citation 1

Abstract:

Loading...

Option Pricing, Incomplete Markets, Good-Deal Bounds, Benchmark Stochastic Discount Factor, Stochastic Volatility Model, Continuous Time

19.

Estimation of Risk-Neutral Densities Using Positive Convolution Approximation

Journal of Econometrics, Vol. 116, pp. 85-112, 2003
Number of pages: 27 Posted: 17 Feb 2003 Last Revised: 14 Oct 2014
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 60 (348,812)
Citation 16

Abstract:

Loading...

20.

Option Implied Dependence

Number of pages: 39 Posted: 24 Mar 2019
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 37 (426,818)

Abstract:

Loading...

Model-Free Dependence, Implied Correlations, Forward-Looking Dependence, Down and Up Correlation

21.

Historical Performance of Put-Writing Strategies

Number of pages: 17
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 1

Abstract:

Loading...

put writing indexes, weekly options, implied and realized volatility, variance risk premium