José Penalva

Universidad Carlos III, Madrid - Department of Business Administration

Associate Professor

Calle Madrid 126

Getafe, 28903

Spain

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 12,291

SSRN RANKINGS

Top 12,291

in Total Papers Downloads

6,135

SSRN CITATIONS
Rank 15,182

SSRN RANKINGS

Top 15,182

in Total Papers Citations

26

CROSSREF CITATIONS

48

Scholarly Papers (9)

1.
Downloads 3,543 ( 4,867)
Citation 26

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 2,927 (6,581)
Citation 11

Abstract:

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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 616 (65,992)
Citation 20

Abstract:

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

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 776 (49,857)

Abstract:

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

3.

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 Universidad Carlos III de Madrid - Department of Business Administration
Downloads 664 (60,657)
Citation 4

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

4.

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 The University of Texas at Austin
Downloads 489 (89,046)

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

5.

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 Universidad Carlos III de Madrid - Department of Business Administration
Downloads 176 (256,845)
Citation 7

Abstract:

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

6.

Learning to Collude: A Folk Theorem for Algorithms

Number of pages: 42 Posted: 13 Dec 2022 Last Revised: 30 Jan 2023
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Universidad Carlos III, Madrid - Department of Business Administration and The University of Texas at Austin
Downloads 155 (290,637)

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

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 155 (285,978)
Citation 13

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Auctions, Competition, Private Values, Informativeness Criteria

8.
Downloads 115 (359,336)
Citation 2

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 64 (520,434)
Citation 1

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Financial Intermediation, Overlapping Generations, Pension Plans

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 51 (581,327)
Citation 3

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Financial Intermediation, Overlapping Generations

9.

Operate, Not Amputate: A Surgical Approach to Dealing with Toxic Short Selling

Number of pages: 55 Posted: 05 May 2022 Last Revised: 05 Jul 2022
Oscar H. Florindo, José Penalva and Mikel Tapia
Universidad CEU San Pablo, Universidad Carlos III, Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 62 (521,390)

Abstract:

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