| Why are put options so expensive? O Bondarenko The Quarterly Journal of Finance 4 (03), 1450015, 2014 | 310 | 2014 |
| Statistical arbitrage and securities prices O Bondarenko The Review of Financial Studies 16 (3), 875-919, 2003 | 193 | 2003 |
| Construction and interpretation of model-free implied volatility TG Andersen, O Bondarenko National Bureau of Economic Research, 2007 | 143 | 2007 |
| VPIN and the flash crash TG Andersen, O Bondarenko Journal of Financial Markets 17, 1-46, 2014 | 141 | 2014 |
| Estimation of risk-neutral densities using positive convolution approximation O Bondarenko Journal of Econometrics 116 (1-2), 85-112, 2003 | 141 | 2003 |
| Market price of variance risk and performance of hedge funds O Bondarenko AFA 2006 boston meetings paper, 2004 | 139 | 2004 |
| Exploring Return Dynamics via Corridor Implied Volatility TG Andersen, O Bondarenko, MT Gonzalez-Perez Review of Financial Studies, forthcoming. Available at SSRN 1787528, 2015 | 128 | 2015 |
| Variance trading and market price of variance risk O Bondarenko Journal of Econometrics 180 (1), 81-97, 2014 | 121 | 2014 |
| Competing market makers, liquidity provision, and bid–ask spreads O Bondarenko Journal of Financial Markets 4 (3), 269-308, 2001 | 79 | 2001 |
| Reflecting on the VPIN dispute TG Andersen, O Bondarenko Journal of Financial Markets 17, 53-64, 2014 | 66 | 2014 |
| Assessing measures of order flow toxicity and early warning signals for market turbulence TG Andersen, O Bondarenko Review of Finance 19 (1), 1-54, 2015 | 54 | 2015 |
| Nonstandard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... The Journal of Finance 79 (3), 2339-2390, 2024 | 53 | 2024 |
| Expectations and learning in Iowa O Bondarenko, P Bossaerts Journal of Banking & Finance 24 (9), 1535-1555, 2000 | 51 | 2000 |
| Intraday trading invariance in the E-mini S&P 500 futures market TG Andersen, O Bondarenko, AS Kyle, AA Obizhaeva Anna A., Intraday Trading Invariance in the E-Mini S&P 500, 2018 | 46 | 2018 |
| Recovering risk-neutral densities: A new nonparametric approach O Bondarenko EFA, 2000 | 37 | 2000 |
| The fine structure of equity-index option dynamics TG Andersen, O Bondarenko, V Todorov, G Tauchen Journal of Econometrics 187 (2), 532-546, 2015 | 33 | 2015 |
| Specialist participation and limit orders O Bondarenko, J Sung Journal of Financial Markets 6 (4), 539-571, 2003 | 29 | 2003 |
| Why Are Puts So Expensive? O Bondarenko Unpublished working paper, University of Illinois, Chicago, 2003 | 27 | 2003 |
| Dissecting the pricing of equity index volatility TG Andersen, O Bondarenko Unpublished manuscript, Northwestern University and University of Illinois …, 2010 | 21 | 2010 |
| Coherent model-free implied volatility: A corridor fix for high-frequency VIX TG Andersen, O Bondarenko, MT Gonzalez-Perez CREATES research papers, 2011 | 20 | 2011 |
Torben G. AndersenProfessor of Finance, Kellogg School, Northwestern UniversityVerified email at northwestern.edu
