• Ph.D. in Economics (2003)  - University of Alcala (Spain)

  • Master in Finance (2003) - CIFF (Madrid)

  • B.A. in Economics (1995-1999) - University of Alcala (Spain)



  • Computational Finance Lab (2000-2003) – University of Alcala.

  • Assistant Professor of Finance (2003-2007) - University Carlos III.

  • Associate (Tenured) Professor of Finance (2007- ) - University Carlos III.

  • Academic Director of the Master in Finance in Business School ESCP-EAP (2008-2009)

  • Director of the MSc in Finance in University Carlos III (2011- )

  • Deputy of the Instituto de Desarrollo Empresarial (INDEM) (2010-2011)



  • Visiting PhD student, Villanova University (Jul-Nov, 2003)

  • Visiting Professor, Institute for Research in Advanced Financial Technology (IRAFT), Villanova University (Jul-Aug, 2005)



Book Chapters

§         “La evaluación de resultados de Hedge Funds” (2007), in Nuevas Alternativas para la Inversión Colectiva: Fondos Cotizados  y Fondos de Inversión Libre, edited by Lex Nova SA.

§         “La inversión colectiva frente a la inversión personal directa” (2006), in Instituciones de inversión colectiva y mercados financieros, edited by Lex Nova.SA.

§         “Seasonality and Performance in Spanish Mutual Funds Management”. (2006), in Mutual Funds: an International Perspective, edited by Palgrave Macmillan.

§         “The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints” (2006), in Risk and Portfolio Management: The New Frontier edited by Palgrave Macmillan.

§         “What Drives Information Dissemination in a Continuous Double Auction Market?” (2005), in Proceedings of the Congress on Evolutionary Computation (IEEE), edited by IEEE Pres.

Refereed Journals

  • "Management Sub-Advising in the Mutual Fund Industry" (with R. Rodriguez y R. Zambrana). Journal of Financial Economics(forthcoming). 
  • "Idiosyncratic volatility, conditional liquidity and stock returns" (with J. Malagon and R. Rodriguez), International Review of Economics and Finance, (forthcoming).
  • "The Idiosyncratic Volatility Anomaly: Corporate Investment or Investor Mispricing?" (2015) (with J. Malagon y R. Rodriguez), Journal of Banking and Finance, 60 (224-238)
  • "Why is Market Timing Perverse?" (2015) (with R. Rodriguez y J. C. Matallin), European Journal of Finance, 21 (15), 1334-1356.
  • "Accurately Measuring Gold Mutual Funds Performance" (2014), (with R. Rodriguez and C. Wang), Applied Economics Letters, 21(4), 268-271.
  • "Optimal Diversification across Mutual Funds" (forthcoming 2013), (with R. Rodriguez), Applied Financial Economics, 23, 119-122.
  • "Time Horizon Trading and the Idiosyncratic Risk Puzzle" (forthcoming 2013), (with J. Malagon and R. Rodriguez) Quantitative Finance, 15 (2).
  • "The Value of Coskewness in Mutual Funds Evaluation" (2009), (with R. Rodriguez), Journal of Banking and Finance, Vol 33: 1664–1676

  • “Price Dynamics, Informational Efficiency and Wealth Distribution in Continuous Double Auction Markets” (2007), (with J. Gil and Mikel Tapia), Computational Intelligence, 23 (2), 176-196.

  • “Formación de precios en un mercado artificial de doble subasta continua” (2007), (with J. Gil and M.Tapia), Revista Española de Financiación y Contabilidad, 36 (134), 235-260.

  • "Is the predictability of emerging and developed stock markets really exploitable?"  (2007) (with Ignacio Olmeda), European Journal of Operational Research, 182 (1), 436-454.

  • "Self-Organizing Maps could improve the classification of Spanish Mutual Funds" (2006) (with Paulina Marco and Ignacio Olmeda), European Journal of Operational Research, 174, 1039-1054.

  • "Performance Evaluation considering the Coskewness: A Stochastic Discount Factor Framework" (2006) (with Rosa Rodríguez), Managerial Finance, 32 (4), 375-392.

  • "Risk Forecasting Models and Optimal Portfolio Selection" (2005) (with Paulina Marco and Ignacio Olmeda), Applied Economics, 37, 1267-1281.

Other Publications

  • “La Coasimetría en los Fondos de Inversión” Revista Bolsa de Madrid, (2007), 161, 64-70.
  • “Mercados de Agentes Computacionales” Revista Bolsa de Madrid, (2005) January, 138, 63-65.
  • “El Efecto del Euro en las Bolsas Europeas” Boletín ICE (Información Comercial Económica)  (2002), 2715, 21-28.
  • “Empleo de Medidas de Performance en la evaluación de Fondos de Inversión”. Revista Bolsa de Madrid, (2003) Feb., 58-62.

Working Papers

  • “A Genetic Algorithm for UPM/LPM Portfolio Optimization” (2007)