Research

Recent publications and working papers (with Revise-and-Resubmit and Reject-and-Resubmit) in ISI (WoS) Journals:

• Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk  (with N. Garrido, S. Sagade, M. Valenzuela, and C. Westheide), 2024, Journal of Financial and Quantitative Analysis (forthcoming) 

  • Best Paper Award - Asian Finance Association.

• Aggregate Risk and Lending Decisions in the Interbank Market (with A. Bechara, C. Cañon and N. Garrido), 2024,  Journal of Money, Credit and Banking (forthcoming). 

• Speculative Bubbles under Supply Constraints, Background Risk and Investment Fraud in the Art Market (with L. Reus and V. Valdenegro), 2022, Journal of Corporate Finance 77, Article 101746.

• The Effect of Environmental Policies on Risk Reductions in Energy Generation (with A. Flores, R. Moreno and A. Inzunza), 2021, Journal of Economic Dynamics and Control 126,  Article 104027. 

• Learning and Index Option Returns, 2020, Journal of Business & Economic Statistics 38, 327-339.

Working papers:

• Learning from news, information flow, and financial markets,  2024 (with M. Valenzuela and I. Zer), close to be submitted.

  • Best Paper Award - Financial Engineering and Banking Society 2024.

• Effects of Information Overload on Financial Market Returns: How Much Is Too Much?,  2024 (with M. Valenzuela and I. Zer), submitted.

• International Transmission of Monetary Policy Through Local Money Market Activity by Global Bank Subsidiaries, 2024 (with A. Bechara, C. Cañon), submitted.

• Collateralized-Uncollateralized Funding Decision in Money Markets, 2024 (with A. Bechara, C. Cañon and N. Garrido),   submitted.

• International Spillover Effects of Economic Policy Uncertainty, 2024 (with D. Cumming, P. Margaretic and R. Muñoz), submitted.

• Informational Economic Transmission between Countries, 2024 (with  H. Karnani , P. Margaretic), submitted.

• Welfare and Gains from Trade in Dark Pools, 2024 (with M. Valenzuela, D. Ladley and E. Litos), submitted.

• Decomposing Informed Trading in Equity Options, 2024 (with F. Asencio, D. González, R. Holowczak, and T. Verousis), submitted.

• Implied Correlation and Market Returns (with M. Valenzuela), 2022,  submitted.

Work in Progress

• Understanding Collateral Chains (with 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).

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.

Main Research Grants

• 2024: Fondecyt Regular - Chilean Government research grant #1240312 (Co-Researcher: US$ 150,000 aprox., 4 years).

• 2023: Fondecyt Regular - Chilean Government research grant #1231660 (Research Leader: US$ 165,000 aprox., 4 years).

• 2023: Fondecyt Regular - Chilean Government research grant Fondecyt #1231630 (Co-Researcher: US$ 160,000 aprox., 4 years).

• 2023: Research grant, FEN University of Chile grant #R156 (Research Leader: US$ 8,000 aprox., 1 year).

• 2019: Fondecyt Regular - Chilean Government research grant # 1190162 (Research Leader: US$ 140,000 aprox., 4 years).

• 2019: Fondecyt Regular - Chilean Government research grant Fondecyt # 1190477 (Co-Researcher: US$ 143,000 aprox., 4 years).

• 2018: ENLACE grant   # ENL13/18 (Research Leader: US$ 12,000 aprox., 1 year).

• 2015: Millennium Initiative - Institute for Research in Market Imperfections and Public Policy between 2015-2020 (Researcher, US$ 2,500,000 aprox., 5 years).

• 2014: Fondecyt Inic. - Chilean Government research grant #11140628 (Research Leader: US$ 135,000 aprox., 3 years).

• 2014: IFABS Fellowship grant.

• 2014: Visiting Scholars grant 2014 at Banque de France.

• 2011: Marie Curie Fellowship Grant (4 years) - European Commission.

• 2010: PhD travel grant to the International Institute of Forecasters to attend the 30th International Symposium on Forecasting 2010 in San Diego-USA.

• 2009: PhD travel grant American Finance Association (AFA) to attend the Annual Meeting in San Francisco-USA.

• 2008: PhD travel grant to attend The Nobel Laureate Meeting in Lindau-Germany (meeting with all the Nobel Laureates in Economics).