UC3M Indem - Professor JOSÉ S. PENALVA

email:
jpenalva@emp.uc3m.es

address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 7.0.49

phone / fax:
(34) 91 624 96 54 / (34) 91 624 96 07

Personal web site

BUSINESS UC3M

@UC3M_BUSINESS

JOSÉ S. PENALVA

Associate Professor of Finance

Education

PhD University of California, Los Angeles

MA University of California, Los Angeles

MSc University of London, Birkbeck College

BSc London School of Economics, University of London

Research interests

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

Selected publications

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

Penalva, J., Cartea, A., Payne, R. & Tapia, M.: "Ultra-Fast Activity and Intraday Market Quality", Journal of Banking and Finance (online), Diciembre 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), Mayo 2010, 1007–1030

+ BIO

José Penalva is Assiociate Professor of Finance at the Business Department of the Universidad Carlos III. He has an economics doctorate from the University of California, Los Angeles (UCLA) since 1997. He currently teaches Information in Markets and Market Microstructure, and Financial Mathematics.

His research interests are: the economics of information with a special emphasis on auctions and financial applications, market microstructure, and risk assignment and distribution in insurance markets. His publications include journals of international prestige such as Econometrica, Journal of Banking and Finance, Quaterly Journal of Finance, Review of Economic Dynamics and the Journal of Risk and Insurance. He gives presentations of his research at prestigious international conferences such as 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 participated in several edited books, and has co-authored (with Alvaro Cartea and Sebastian Jaimungal) the book "Algorithmic and High-frequency Trading" (Cambridge University Press, 2015)

+ Publications

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