José Penalva

Universidad Carlos III, Madrid - Department of Business Administration

Associate Professor

Calle Madrid 126

Getafe, 28903

Spain

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 11,505

SSRN RANKINGS

Top 11,505

in Total Papers Downloads

7,567

SSRN CITATIONS
Rank 12,685

SSRN RANKINGS

Top 12,685

in Total Papers Citations

66

CROSSREF CITATIONS

49

Scholarly Papers (11)

1.
Downloads 3,758 ( 5,350)
Citation 29

Where is the Value in High Frequency Trading?

Number of pages: 54 Posted: 21 Nov 2010 Last Revised: 17 Feb 2012
Álvaro Cartea and José Penalva
University of Oxford and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 2,986 (7,600)
Citation 14

Abstract:

Loading...

High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure, microstructure volatility, execution costs, market quality

Where is the Value in High Frequency Trading?

Quarterly Journal of Finance, Volume 2 (3), 2012, 1-46
Number of pages: 54 Posted: 01 Jun 2011 Last Revised: 11 Mar 2013
Álvaro Cartea and José Penalva
University of Oxford and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 686 (67,672)
Citation 20

Abstract:

Loading...

High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure, microstructure volatility, execution costs, market quality

Where is the Value in High Frequency Trading?

Banco de Espana Working Paper No. 1111
Number of pages: 52 Posted: 31 Aug 2023
Álvaro Cartea and José Penalva
University of Oxford and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 86 (521,080)
Citation 1

Abstract:

Loading...

High frequency traders, high frequency trading, flash trading, liquidity traders, institutional investors, market microstructure

2.

Algorithmic Collusion in Electronic Markets: The Impact of Tick Size

Number of pages: 66 Posted: 11 May 2022 Last Revised: 03 Oct 2022
Álvaro Cartea, Patrick Chang and José Penalva
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 1,185 (32,357)
Citation 4

Abstract:

Loading...

Artificial Intelligence, Tacit Collusion, Evolutionary Game Theory, Market Making, Limit Order Books, Tick Size

3.

The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games

Number of pages: 48 Posted: 04 Aug 2022 Last Revised: 24 Oct 2022
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Universidad Carlos III, Madrid - Department of Business Administration and University of Texas at Austin
Downloads 753 (60,825)
Citation 2

Abstract:

Loading...

Stochastic Approximation, Learning in Games, Reinforcement Learning, Dynamic Games, Tacit Collusion, Artificial Intelligence

4.

Ultra-Fast Activity and Intraday Market Quality

Journal of Banking & Finance 99 (2019): 157-181.
Number of pages: 61 Posted: 11 Jun 2015 Last Revised: 21 Jul 2021
University of Oxford, City University London - The Business School, Universidad Carlos III, Madrid - Department of Business Administration and Charles III University of Madrid - Department of Business Administration
Downloads 696 (67,364)
Citation 5

Abstract:

Loading...

High Frequency Trading, HFT, Algorithmic Trading, Market Quality, Low Latency

5.

Algorithms can Learn to Collude: A Folk Theorem from Learning with Bounded Rationality

Number of pages: 44 Posted: 13 Dec 2022 Last Revised: 10 Nov 2023
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Universidad Carlos III, Madrid - Department of Business Administration and University of Texas at Austin
Downloads 520 (97,180)
Citation 1

Abstract:

Loading...

Folk Theorem, Tacit Collusion, Stochastic Approximation, Smooth Fictitious Play

6.

Revisiting Tick Size: Implications from the SEC Tick Size Pilot

Paper published as: Heterogeneity and Competition in Fragmented Markets: Fees vs Speed, in Applied Mathematical Finance, https://doi.org/10.1080/1350486X.2021.1960574
Number of pages: 40 Posted: 20 Jul 2017 Last Revised: 10 Jan 2022
José Penalva and Mikel Tapia
Universidad Carlos III, Madrid - Department of Business Administration and Charles III University of Madrid - Department of Business Administration
Downloads 210 (257,432)
Citation 7

Abstract:

Loading...

Market Quality, Tick Size, Tick Pilot, Quoted Spread, Depth, Volume

7.

On Information and Competition in Private Value Auctions

Number of pages: 36 Posted: 20 Jul 2007
Juan-José Ganuza and José Penalva
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 164 (320,625)
Citation 13

Abstract:

Loading...

Auctions, Competition, Private Values, Informativeness Criteria

8.
Downloads 151 (343,613)
Citation 2

The Governance of Perpetual Financial Intermediaries

Number of pages: 28 Posted: 16 Mar 2011
José Penalva and Jos van Bommel
Universidad Carlos III, Madrid - Department of Business Administration and affiliation not provided to SSRN
Downloads 77 (557,866)
Citation 3

Abstract:

Loading...

Financial Intermediation, Overlapping Generations

The Governance of Perpetual Financial Intermediaries

Number of pages: 33 Posted: 29 Dec 2013
José Penalva and Jos van Bommel
Universidad Carlos III, Madrid - Department of Business Administration and Universite du Luxembourg - Department of Economics
Downloads 74 (571,092)
Citation 1

Abstract:

Loading...

Financial Intermediation, Overlapping Generations, Pension Plans

9.

Operate, Not Amputate: Rule 201 as an Example of a Surgical Approach to Dealing with Toxic Short Selling

Number of pages: 70 Posted: 05 May 2022 Last Revised: 22 Jun 2023
Oscar H. Florindo, José Penalva and Mikel Tapia
Universidad CEU San Pablo, Universidad Carlos III, Madrid - Department of Business Administration and Charles III University of Madrid - Department of Business Administration
Downloads 105 (452,683)

Abstract:

Loading...

Short sale bans, Rule 201, overpricing, price efficiency, price discovery

10.

Two-Sided Platform Governance: Are Founders Manipulating the Crowd in Crowdfunding?

Number of pages: 41 Posted: 09 Jan 2024
Thomas B. Astebro and José Penalva
HEC Paris - Economics and Decision Sciences and Universidad Carlos III, Madrid - Department of Business Administration
Downloads 25 (865,481)

Abstract:

Loading...

non-price strategies, platform governance, two-sided platforms, wisdom of the crowd, information manipulation

11.

¿Sueña la inteligencia artificial con cárteles virtuales?

Análisis financiero y big data
Number of pages: 22
José Penalva and Funcas
Universidad Carlos III, Madrid - Department of Business Administration and Fundación de los bancos y cajas de CECA
Downloads 0

Abstract:

Loading...

inteligencia artificial, competencia, teoría de juegos, política de precios