Browsing by Author "4804cf2a-d909-4340-9f54-91f59c11dfca"

Now showing items 1-4 of 4

    • Bid–ask spread and liquidity searching behaviour of informed investors in option markets 
      Bernales Silva, Alejandro; Canon, Carlos; Verousis, Thanos (Elsevier, 2018-06)
      We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne ...
    • CVaR constrained planning of renewable generation with consideration of system inertial response, reserve ... 
      Inzunza, Andrés; Moreno Vieyra, Rodrigo; Bernales Silva, Alejandro; Rudnick, Hugh (Elsevier Science, 2016-09)
      Integration of renewable generation can lead, to both diversification of energy sources (which can improve the overall economic performance of the power sector) and cost increase due to the need for further resources to ...
    • Do Investors Follow the Herd in Option Markets 
      Bernales Silva, Alejandro; Verousis, Thanos; Voukelatos, Nikolaos (2020)
      We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996 and 2012. We document strong herding effects in option trading ...
    • Learning and forecasts about option returns through the volatility risk premium 
      Bernales Silva, Alejandro; Chen, Louisa; Valenzuela Bravo, Marcela (Elsevier, 2017)
      We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium ( V RP) for option returns. In the model, a representative agent fol- lows a rational Bayesian learning process ...