Iñaki Rodriguez LongarelaProfessor
Iñaki Rodríguez Longarela is Professor of Finance at Stockholm Business School (SBS). He joined Stockholm University in the fall of 2013.
Iñaki teaches the bachellor course Finance I which is a first-year bachellor course taught twice a year which enrolles each time around 600 students. Iñaki is also engaged in pedagogical work and has been Stockholm University's pedagogical ambassador in 2017 and 2021. In addition, he regularly conducts teaching workshops for other teachers. Iñaki was granted Stockholm University's teacher of the year Award in 2018.
Iñaki´s research covers different fields. He is conducting work in empirical market microstructure, options pricing, stochastic dominance and he has a grant from Handelsbanken to develop work in gender issues within finance. He has also contributions within the field of higher education.
New working paper (If you believe it was finally time to go back to the classroom, you might want to think again!): "Online vs. Classroom: Course engagement and attention with large groups of students", https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3958070.
A selection from Stockholm University publication database
Risk Arbitrage Opportunities for Stock Index Options
2020. Thierry Post, Iñaki Rodriguez Longarela. Operations ResearchArticle
To analyze the economic signicance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index options yields signicant abnormal returns out of sample, for small-scale portfolios. However, outperformance seems elusive if the strategy is scaled up and market depth is taken into account.
Explaining vertical gender segregation
2017. Iñaki R. Longarela. Work, Employment and SocietyArticle
This research agenda outlines possible routes to pursue an explanation of vertical gender segregation. The analysis emphasizes the expanding opportunities brought about by a combination of Big Data and public policies, like gender quotas, and uncovers important challenges for which possible solutions are offered. Experimental work is likely to remain very useful in the pursuit of answers to this asymmetric gender presence.
A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints
2016. Inaki R. Longarela. Management science 62 (12), 3549-3554Article
In this paper, the set of all second-order stochastic dominance (SSD)-efficient portfolios is characterized by using a series of mixed-integer linear constraints. Our derivation employs a combination of the first-order conditions of the utility maximization problem together with a judicious use of binary variables. This result opens the door to the formulation of optimizations whose objective function is free to select a particular portfolio out of the entire SSD-efficient set.
Quote inefficiency in options markets
2015. Inaki R. Longarela, Silvia Mayoral. Journal of Banking & Finance 55, 23-36Article
In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis assets, its presence, although not an arbitrage, is a severe market anomaly which we refer to as an inefficient quote. In an empirical study, we report evidence that indicates that in options markets both the frequency and the magnitude of these anomalies are substantial and we document puzzling patterns in their behavior.