address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 7.0.49
phone / fax:
(34) 91 624 96 54 / (34) 91 624 96 07



Associate Professor of Finance


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

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)
  • "Signal Orderings based on Dispersion and the Supply of Private Information in Auctions", with Juan-José Ganuza, Econometrica, Volume 78, Issue 3, pages 1007–1030, May 2010.
  • "Ultra-Fast Activity and Intraday Market Quality", with A Cartea, R Payne and M. Tapia, Journal of Banking and Finance, forthcoming
  • "Information disclosure in optimal auctions", with Juanjo Ganuza, International Journal of Industrial Organization, forthcoming
  • "Product Liability Should Reward Firm Transparency", with Juanjo Ganuza and Fernando Gomez, International Review of Law & Economics, 2018
  • "The Governance of Perpetual Financial Intermediaries", with Jos VanBommel, Journal of Institutional and Theoretical Economics, 2016
  • "Tort reform and the theory of coordinating tort and insurance", with Fernando Gomez, International Review of Law and Economics, Volume 43, August 2015, Pages 83–97.
  • "Where is the Value in High Frequency Trading?" with Álvaro Cartea, Quarterly Journal of Finance Vol. 02, No. 03, 1250014 (2012).
  • "Empirical Implications of Information Structure in Finite Extensive Form Games", with Michael D. Ryall, The B.E. Journal of Theoretical Economics (Contributions), 8(1), (2008).
  • "Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets", Review of Economic Dynamics, 4 (2001).
  • "A Study of the Interaction of Insurance and Financial Markets: Efficiency and Full Insurance Coverage", Journal of Risk and Insurance, 75(2), (2008).
  • "Intertemporal Insurance", with Bryan Ellickson, Journal of Risk and Insurance, 64(4), (1997).
  • "Insuring California Earthquakes and the Role for Catastrophe Bonds", Journal of Risk Finance, 3(4), (2002).
  • "Insurance and Tort: Coordination Systems And Imperfect Liability Rules", en Internationalization of the Law and its Economic Analysis, Eger T. et al (ed), Editorial: Gabler Edition Wissenschaft, (2008).