Alejandro Bernales

Universidad de Chile

Assistant Professor

República 701

Santiago

Chile

http://www.alejandrobernales.com

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 24,553

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1,964

SSRN CITATIONS
Rank 22,744

SSRN RANKINGS

Top 22,744

in Total Papers Citations

13

CROSSREF CITATIONS

20

Scholarly Papers (18)

1.

Algorithmic and High Frequency Trading in Dynamic Limit Order Markets

Number of pages: 54 Posted: 11 Nov 2013 Last Revised: 13 Mar 2019
Alejandro Bernales
Universidad de Chile
Downloads 577 (47,435)
Citation 8

Abstract:

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Informational advantage; trading speed advantage; limit order market; market quality; welfare.

2.

Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Number of pages: 40 Posted: 07 Nov 2013
Alejandro Bernales and Massimo Guidolin
Universidad de Chile and Bocconi University - Department of Finance
Downloads 399 (74,919)
Citation 3

Abstract:

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Equity options, Index options, Implied volatility surface, Predictability, Trading strategies

3.

Learning How to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface?

Number of pages: 57 Posted: 07 Nov 2013
Alejandro Bernales and Massimo Guidolin
Universidad de Chile and Bocconi University - Department of Finance
Downloads 149 (201,279)
Citation 1

Abstract:

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option pricing, rational learning, Bayesian updating, implied volatility, predictability.

4.

Implied Correlation and Market Returns

Number of pages: 45 Posted: 29 Feb 2016
Alejandro Bernales and Marcela Valenzuela
Universidad de Chile and Pontificia Universidad Católica de Chile
Downloads 140 (211,823)
Citation 2

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5.

What Do We Know About Individual Equity Options?

Number of pages: 54 Posted: 27 Feb 2019 Last Revised: 11 Aug 2019
Universidad de Chile, Essex Business School, University of Kent and University of Newcastle
Downloads 132 (222,083)

Abstract:

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equity options, empirical studies, literature survey

6.

The Success of Option Listings

Number of pages: 59 Posted: 07 Nov 2013 Last Revised: 20 Feb 2019
Alejandro Bernales
Universidad de Chile
Downloads 112 (250,931)
Citation 15

Abstract:

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stock options, option listings, asymmetric information, adoption rates, option volume, open interest

7.

Make-Take Decisions under High-Frequency Trading Competition

Number of pages: 60 Posted: 27 Feb 2019 Last Revised: 29 Apr 2019
Alejandro Bernales
Universidad de Chile
Downloads 97 (276,914)
Citation 1

Abstract:

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make-take decisions, high-frequency trading competition, limit order market, market quality, welfare

8.

Thinly Traded Securities and Risk Management

Number of pages: 50 Posted: 07 Nov 2013 Last Revised: 10 Nov 2013
Alejandro Bernales, Diether W. Beuermann and Gonzalo Cortazar
Universidad de Chile, University of Maryland - College Park and Pontificia Universidad Catolica de Chile
Downloads 86 (299,046)

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Incomplete Panels, Kalman Filter, Market Risk, Risk Management, Thin Trading, Value-at-Risk

9.

A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition

SAFE Working Paper No. 234
Number of pages: 57 Posted: 05 Nov 2018 Last Revised: 16 Apr 2019
Universidad de Chile, University of Chile, Goethe University Frankfurt - Department of Finance, Pontificia Universidad Católica de Chile and University of Vienna - Department of Finance
Downloads 61 (362,336)
Citation 2

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Fragmentation, Competition, Liquidity, Price Efficiency

10.

Blue-Collar Crime and Finance

Number of pages: 45 Posted: 02 Mar 2018 Last Revised: 11 Aug 2019
Universidad de Chile, University of Maryland - College Park, Florida Atlantic University and University of Chile
Downloads 46 (411,622)

Abstract:

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Blue-Collar Crime, Finance, Loans, Interest Rates

11.

Art Market Bubbles, Limited Art Supply and Collectors' Wealth

Number of pages: 41 Posted: 27 Feb 2019
Alejandro Bernales, Lorenzo Reus and Víctor Valdenegro
Universidad de Chile, Universidad Adolfo Ibanez and University of Chile
Downloads 35 (455,470)

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Art Markets, Speculative Bubbles, Background Risk, Limited Supply, Risk Aversion

12.
Downloads 34 (459,842)

Learning and Index Option Returns

Number of pages: 53 Posted: 09 Aug 2018
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and Queen Mary, University of London, School of Economics and Finance
Downloads 34 (470,952)
Citation 1

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

Learning and Index Option Returns

Journal of Business and Economic Statistics, Forthcoming
Posted: 12 Nov 2018
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and Queen Mary, University of London, School of Economics and Finance

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

13.

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Number of pages: 37 Posted: 27 Feb 2019
Alejandro Bernales, Louisa Chen and Marcela Valenzuela
Universidad de Chile, University of Sussex and Pontificia Universidad Católica de Chile
Downloads 27 (494,018)
Citation 1

Abstract:

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Option Returns, Volatility Risk Premium, Bayesian Learning, Predictability, Dynamic Equilibrium Model

14.

Collateralized-Uncollateralized Funding Decision in Money Markets

Number of pages: 79 Posted: 27 Feb 2019 Last Revised: 24 Sep 2019
Alejandro Bernales, Carlos Cañón and Nicolás Garrido
Universidad de Chile, Banco de México and University of Chile
Downloads 19 (540,260)

Abstract:

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money markets, collateralized funding, uncollateralized funding, systemic risk

15.

Do Investors Follow the Herd in Option Markets?

Number of pages: 44 Posted: 27 Feb 2019
Alejandro Bernales, Thanos Verousis and Nikolaos Voukelatos
Universidad de Chile, Essex Business School and University of Kent
Downloads 17 (552,302)
Citation 1

Abstract:

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Herding, Cross-Sectional Dispersion, Options

16.

Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets

Number of pages: 16 Posted: 27 Feb 2019
Alejandro Bernales, Carlos Cañón and Thanos Verousis
Universidad de Chile, Banco de México and Essex Business School
Downloads 13 (576,986)
Citation 1

Abstract:

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stock options, option listings, informed trading

17.

The Effect of Environmental Policies on Risk Reductions in Energy Generation

Number of pages: 50 Posted: 27 Feb 2019 Last Revised: 29 Aug 2019
Alejandro Bernales, Andrés Flores, Andrés Inzunza and Rodrigo Moreno
Universidad de Chile, University of Chile, University of Chile and Imperial College London
Downloads 12 (583,477)

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Environmental Policies, Risk Reductions, Energy Generation, Optimal Expansion Planning, Renewable Generation

18.

CVaR Constrained Planning of Renewable Generation with Consideration of System Inertial Response, Reserve Services and Demand Participation

Number of pages: 54 Posted: 27 Feb 2019
Andrés Inzunza, Rodrigo Moreno, Alejandro Bernales and Hugh Rudnick
University of Chile, Imperial College London, Universidad de Chile and Pontifical Catholic University of Chile - School of Engineering
Downloads 8 (609,523)
Citation 1

Abstract:

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Mean-Risk Electricity Generation Investment, Generation Technologies Portfolios, Frequency Response and Reserves, Power System Economics, Power System Security