BUSINESS UC3M

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José S. Penalva

Associate Professor of Finance

Education

PhD University of California, Los Angeles

MA University of California, Los Angeles

MSc Birkbeck College, University of London

BSc London School of Economics, University of London

Research Interests

Information economics, Market microstructure, Financial economics and insurance, Law and economics

Selected publications

Ganuza, J.: “Information disclosure in optimal auctions”, International Journal of Industrial Organization vol. 63, March 2019, 469-479

Penalva, J., Cartea, A., Payne, R. & Tapia, M.: “Ultra-Fast Activity and Intraday Market Quality”, Journal of Banking and Finance (online), December 2018

Penalva, J. & Cartea, A.: “Where is the Value in High Frequency Trading?”, Quarterly Journal of Finance vol. 2 (3), 2012, 1250014

Penalva, J. & Ganuza, J.J.: “Signal Orderings based on Dispersion and the Supply of Private Information in Auctions”, Econometrica vol. 78 (3), May 2010, 1007–1030

José Penalva is a tenured professor of finance and accounting in the Department of Business Economics at Universidad Carlos III. He holds a PhD in Economics from the University of California, Los Angeles (UCLA) since 1997. He teaches courses in Information in Financial Markets, Microstructure, and Financial Mathematics.

His research interests include the economics of information with special interest in auctions and financial applications, the microstructure of financial markets, and the allocation and distribution of risk in insurance markets. His publications to date include highly prestigious national and international journals such as Econometrica, Journal of Banking and Finance, Quarterly Journal of Finance, Review of Economic Dynamics and the Journal of Risk and Insurance. His works are presented at prestigious conferences, including the European Group of Risk and Insurance Economists (EGRIE), the European Economic Association, the European Finance Association, and the European Econometric Society Meeting, among others. He has also written several book chapters, and has written, together with Alvaro Cartea and Sebastian Jaimungal, the book “Algorithmic and High-frequency Trading” (Cambridge University Press, 2015)

Ganuza, J.: “Information disclosure in optimal auctions”, International Journal of Industrial Organization vol. 63, Marzo 2019, 469-479

Penalva, J., Gomez, F. & Ganuza, J.J.: “Product Liability Should Reward Firm Transparency”, International Review of Law & Economics vol. 56, December 2018, 160-169

Penalva, J., Cartea, A., Payne, R. & Tapia, M.: “Ultra-Fast Activity and Intraday Market Quality”, Journal of Banking and Finance (online), December 2018

Penalva, J. & VanBommel, J.: “The Governance of Perpetual Financial Intermediaries”, Journal of Institutional and Theoretical Economics vol. 173 (3), 2017, 498-522

Penalva, J. & Gomez, F.: “Tort reform and the theory of coordinating tort and insurance”, International Review of Law and Economics vol. 43, Agosto 2015, 83–97.

Penalva, J. & Cartea, A.: “Where is the Value in High Frequency Trading?”, Quarterly Journal of Finance vol. 2 (3), 2012, 1250014

Penalva, J. & Ganuza, J.J.: “Signal Orderings based on Dispersion and the Supply of Private Information in Auctions”, Econometrica vol. 78 (3), May 2010, 1007–1030

Penalva, J.: “A Study of the Interaction of Insurance and Financial Markets: Efficiency and Full Insurance Coverage”, Journal of Risk and Insurance vol. 75 (2), Junio 2008, 313-342

Penalva, J.: “Insurance and Tort: Coordination Systems And Imperfect Liability Rules”, en Internationalization of the Law and its Economic Analysis, Eger T. et al (ed), Gabler Edition Wissenschaft, 2008

Penalva, J. & Ryall, M.D.: “Empirical Implications of Information Structure in Finite Extensive Form Games”, The B.E. Journal of Theoretical Economics (Contributions) vol. 8 (1), 2008

Penalva, J.: “Insuring California Earthquakes and the Role for Catastrophe Bonds”, Journal of Risk Finance vol. 3 (4), 2002, 54-72

Penalva, J.: “Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets”, Review of Economic Dynamics vol. 4, 2001

Penalva, J. & Ellickson, B.: “Intertemporal Insurance”, Journal of Risk and Insurance vol. 64 (4), Diciembre 1997, 579-598

BUSINESS UC3M

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