Publications and working papers (with R&R):
  • Learning and Index Option Returns,2018, Journal of Business & Economic Statistics (forthcoming).
  • Learning and Forecasts about Option Returns through the Volatility Risk Premium (with L. Chen and M. Valenzuela), 2017,  Journal of Economic Dynamics and Control (forthcoming).
    • Nominated as best conference paper at the EFMA (2014).
  • Understanding Money Market Dynamics, 2017, R&R at Journal of Financial Intermediation.
  • CVaR Constrained Planning of Renewable Generation with Consideration of System Inertial Response, Reserve Services and Demand Participation, 2016, Energy Economics (forthcoming).
  • Algorithmic and High Frequency Trading in Dynamic Limit Order Markets, 2016, R&R at Journal of Financial Markets.
    • Nominated as best conference paper at the EFMA (2013).
  • The success of option listings,2016, Journal of Empirical Finance (forthcoming)
  • Liquidity Searching Behavior of Informed Investors in Option Markets (with T. Verousis and C. Cañon), 2016, Finance Research Letters (forthcoming).
  • Implied Correlation and Market Returns (with M. Valenzuela), 2016,  R&R at Journal of Future Markets.
  • What do we know about individual equity options? (with T. Verousis, N. Voukelatos, and M.  Zhang), 2017, R&R at Journal of Future Markets.
  • Learning to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface? (with M. Guidolin), 2015, Journal of Financial Markets 26, 1-37.    
    • Nominated as best conference paper at the FMA (2012).
  • Do investors follow the herd in option markets? (with T. Verousis and N. Voukelatos), 2015, Journal of Banking and Finance (forthcoming).
    • Nominated as best conference paper at the FMA (2015).
  • Can We Forecast the Implied Volatility Surface Dynamics for CBOE Equity Options? (with M. Guidolin), 2014, Journal of Banking and Finance 46, 326-342.

Working papers:
  • A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition (with N. Garrido, S. Sagade, M. Valenzuela, and C. Westheide), 2017, submitted.
    • Best Paper Award 2017 Asian Finance Association.
  • Blue-Collar Crime and investment Decisions (with Douglas Cumming, Diether Beuermmann and Christian Olid),  2017, close to be submitted.
  • Optimal Electricity Generation Planning under Renewable Policy Targets (with A. Flores, R. Moreno and A. Inzunza), 2017, submitted.
  • Art markets under Speculation (with V. Valdenegro), 2018, submitted
  • Risk Management with Thinly Traded Securities: Methodology and Implementation (with G. Cortazar and D. Beuermann), 2016, submitted
  • A Multilayer Approach to Systemic Risk (with A. Serguieva), 2017, close to be submitted.

Work in Progress
  • Investment Planning under Environmental Policy Risk (with Eduardo Schwartz, Ronald Fischer and Giancarlo Acevedo).
  • International Capital flows and Money Market Reaction (with Anusha Chari and Carlos Canon).
  • Understanding the Interbank Network Structure under Interactions between Unsecured and Collateralized  Money Markets (with C. Cañon and N. Garrido).
  • Understanding Collateral Chains (with Paula Margaretic and Carlos Canon).
  • Diffusion of the Option Adoption (with Thanos Verousis and David Diaz).
  • Dynamics in multi-markets: Quality and financial technological changes (with Marcela Valenzuela and Olga Lebedeva).
  • Overlapping effects in multi-markets (with Marcela Valenzuela, Sean Foley and Nicolas Garrido).
  • Multi-market Dynamics: dark pools and lit markets (with Dan Ladley Marcela Valenzuela, Rodrigo Orellana).
  • Designated Market Making in limit order markets (Olga Lebedeva and Mykhailo Saienko).
  • News and Crises (Marcela Valenzuela and Maricel Vargas).

Book Chapter
  • The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps. Book: 50 Years of Money and Finance -Lessons and Challenges. Edited by Morten Balling and Ernest Gnan. Published by Larcier and SUERF Studies.