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

22

DOWNLOADS
Rank 1,340

SSRN RANKINGS

Top 1,340

in Total Papers Downloads

25,951

SSRN CITATIONS
Rank 4,721

SSRN RANKINGS

Top 4,721

in Total Papers Citations

137

CROSSREF CITATIONS

153

Scholarly Papers (22)

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 5,562 (1,671)
Citation 120

Abstract:

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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 2,653 (6,016)
Citation 59

Abstract:

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

3.

Market Return Around the Clock: A Puzzle

Number of pages: 78 Posted: 27 May 2020 Last Revised: 13 Jun 2021
Oleg Bondarenko and Dmitriy Muravyev
University of Illinois at Chicago - Department of Finance and Michigan State University - Department of Finance
Downloads 2,602 (6,205)
Citation 2

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Market return, intraday data, uncertainty resolution, index futures

4.

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 2,277 (7,727)
Citation 13

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

5.

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 2,046 (9,181)
Citation 29

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

6.

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 2,006 (9,483)
Citation 15

Abstract:

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option valuation, nonparametric estimation, risk neutral density

7.

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 1,231 (20,377)
Citation 1

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

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 1,156 (22,416)
Citation 1

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put writing indexes, weekly options, implied and realized volatilities

9.

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 1,074 (24,945)
Citation 29

Abstract:

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

10.

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 946 (29,952)
Citation 25

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

11.

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 Bank of Spain
Downloads 829 (35,976)
Citation 33

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

12.

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 702 (45,137)
Citation 11

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

13.

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 616 (53,677)
Citation 6

Abstract:

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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 496 (69,602)
Citation 1

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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: 02 Apr 2021
Torben G. Andersen and Oleg Bondarenko
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 78 (379,026)
Citation 5

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15.

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 463 (76,537)
Citation 1

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

16.

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 270 (139,572)
Citation 7

Abstract:

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

17.

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 260 (145,070)

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

18.

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 227 (165,540)
Citation 1

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Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant

19.

Option-Implied Dependence and Correlation Risk Premium

Number of pages: 49 Posted: 19 Jun 2020 Last Revised: 01 Jul 2021
Oleg Bondarenko and Carole Bernard
University of Illinois at Chicago - Department of Finance and Grenoble Ecole de Management
Downloads 204 (183,052)

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Model-Free Dependence, Implied Correlations, Forward-Looking Dependence, Down and up Correlation, Correlation Risk Premium

20.

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 103 (315,701)
Citation 14

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21.

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 76 (380,660)
Citation 1

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

22.

A Model-Free Approach to Multivariate Option Pricing

Number of pages: 28 Posted: 13 Nov 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 74 (386,455)

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Multivariate Option Pricing, Rearrangement Algorithm, Risk-Neutral Joint Distribution, Option-Implied Dependence, Entropy, Model Uncertainty

Other Papers (1)

Total Downloads: 13
1.

Historical Performance of Put-Writing Strategies

Number of pages: 17 Posted: 20 Jul 2019
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Downloads 13

Abstract:

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