Alejandro Bernales

Universidad de Chile

Assistant Professor

República 701

Santiago

Chile

http://www.alejandrobernales.com

SCHOLARLY PAPERS

19

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2,266

SSRN CITATIONS
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SSRN RANKINGS

Top 20,322

in Total Papers Citations

22

CROSSREF CITATIONS

22

Scholarly Papers (19)

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 606 (47,449)
Citation 9

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 430 (72,870)
Citation 6

Abstract:

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

3.

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 184 (177,637)
Citation 1

Abstract:

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equity options, empirical studies, literature survey

4.

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 158 (202,667)
Citation 1

Abstract:

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

5.

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 147 (215,173)
Citation 2

Abstract:

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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 117 (256,746)
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 112 (264,814)
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 87 (313,040)

Abstract:

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

9.

Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk

SAFE Working Paper No. 234
Number of pages: 49 Posted: 05 Nov 2018 Last Revised: 02 Jul 2020
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 77 (336,783)
Citation 7

Abstract:

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Fragmentation, Competition, Liquidity, Price Efficiency

10.
Downloads 64 (372,351)

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 64 (377,187)
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

11.

Art Forgery, Artist Death and Collectors' Wealth under Speculation: Art as an Alternative Investment

Number of pages: 51 Posted: 27 Feb 2019 Last Revised: 10 Apr 2020
Alejandro Bernales, Lorenzo Reus and Víctor Valdenegro
Universidad de Chile, Universidad Adolfo Ibanez and University of Chile
Downloads 58 (391,050)
Citation 3

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

12.

Blue-Collar Crime and Finance

Number of pages: 55 Posted: 02 Mar 2018 Last Revised: 12 Jun 2020
Universidad de Chile, University of Maryland - College Park, Florida Atlantic University and University of Chile
Downloads 58 (391,050)

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Blue-Collar Crime, Finance, Loans, Interest Rates

13.

Dark Pools under Different Execution Priority, Adverse Selection and Traders' Competition

Number of pages: 47 Posted: 31 Mar 2020
Universidad de Chile, University of Leicester - School of Business, University of Leicester - School of Business and Pontificia Universidad Católica de Chile
Downloads 36 (474,845)

Abstract:

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Dark pool; limit order market; execution priority; adverse selection; competition of traders; market quality; welfare

14.

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 35 (479,380)
Citation 1

Abstract:

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

15.

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 29 (508,999)

Abstract:

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money markets, collateralized funding, uncollateralized funding, systemic risk

16.

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 25 (531,459)
Citation 1

Abstract:

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Herding, Cross-Sectional Dispersion, Options

17.

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 19 (568,694)
Citation 1

Abstract:

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stock options, option listings, informed trading

18.

The Effect of Environmental Policies on Risk Reductions in Energy Generation

Number of pages: 71 Posted: 27 Feb 2019 Last Revised: 01 May 2020
Universidad de Chile, University of Chile, University of Chile, Imperial College London and Central Bank of Chile
Downloads 14 (600,974)

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

19.

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 10 (628,123)
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