Mariana Khapko

University of Toronto - Finance Area

Toronto, Ontario M5S 3E6

Canada

Swedish House of Finance

Research Affiliate

Drottninggatan 98

Stockholm

Sweden

  • University of Toronto - Finance Area

  • Swedish House of Finance

SCHOLARLY PAPERS

16

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7,266

TOTAL CITATIONS
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Top 14,524

in Total Papers Citations

100

Scholarly Papers (16)

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1.

Trading Gamification and Investor Behavior

Management Science (forthcoming), Swedish House of Finance Research Paper No. 21-25
Number of pages: 79 Posted: 28 Nov 2021 Last Revised: 15 Nov 2023
Philipp Chapkovski, Mariana Khapko and Marius Zoican
University of Duisburg-Essen - Institute of Political Science, University of Toronto - Finance Area and University of Calgary - Haskayne School of Business
Downloads 1,927 (18,327)
Citation 5

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gamification, risk, experimental finance, financial literacy, retail trading

2.

How Fast Should Trades Settle?

Management Science 66 (2020), 4573-4593
Number of pages: 56 Posted: 08 Dec 2016 Last Revised: 11 Feb 2022
Mariana Khapko and Marius Zoican
University of Toronto - Finance Area and University of Calgary - Haskayne School of Business
Downloads 1,422 (29,123)
Citation 8

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Market design, trade settlement, security lending, counterparty risk

3.

Liquidity with High-Frequency Market Making

Swedish House of Finance Research Paper No. 14-06
Number of pages: 12 Posted: 27 Mar 2014 Last Revised: 28 Mar 2014
Jungsuk Han, Mariana Khapko and Albert S. Kyle
Seoul National University - College of Business Administration, University of Toronto - Finance Area and University of Maryland
Downloads 1,029 (46,579)
Citation 14

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high-frequency trading, market making, order cancellation, bid-ask spread, winner's curse, informed trading

4.

Speed and Learning in High-Frequency Auctions

Journal of Financial Markets, Volume 54, June 2021, 100583
Number of pages: 32 Posted: 02 Mar 2016 Last Revised: 03 Jun 2021
Marlene Haas, Mariana Khapko and Marius Zoican
Independent, University of Toronto - Finance Area and University of Calgary - Haskayne School of Business
Downloads 536 (109,853)
Citation 9

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high-frequency trading, batch auction markets, liquidity, adverse selection

5.

Asymmetries and the Market for Put Options

Swedish House of Finance Research Paper No. 21-12, Rotman School of Management Working Paper No. 3856753
Number of pages: 69 Posted: 01 Jun 2021 Last Revised: 25 Apr 2023
Adam Farago, Mariana Khapko and Chayawat Ornthanalai
University of Gothenburg - Centre for Finance, University of Toronto - Finance Area and University of Toronto - Rotman School of Management
Downloads 393 (158,667)

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Disappointment Aversion, Options, Equilibrium Asset Demand

6.

Do Speed Bumps Curb Low-Latency Investment? Evidence From a Laboratory Market

Journal of Financial Markets, Volume 55, September 2021, 100601
Number of pages: 40 Posted: 25 Mar 2019 Last Revised: 11 Feb 2022
Mariana Khapko and Marius Zoican
University of Toronto - Finance Area and University of Calgary - Haskayne School of Business
Downloads 274 (233,817)
Citation 1

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high-frequency trading, experimental finance, speed bumps, trading technology

7.

A Theory of Markovian Time Inconsistent Stochastic Control in Continuous Time

Number of pages: 44 Posted: 04 Feb 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Independent
Downloads 271 (236,529)
Citation 6

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Time consistency, time inconsistency, time inconsistent control, dynamic programming, stochastic control, Bellman equation, hyperbolic discounting, mean-variance, equilibrium

8.

Value Premium and Equity Term Structures of Value and Growth Firms

Number of pages: 56 Posted: 02 Jun 2020 Last Revised: 14 Mar 2025
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Neuchatel, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 237 (270,354)
Citation 1

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Asset Pricing, Information Acquisition, Learning, Value Premium, Equity Term Structures of Value and Growth Firms

9.

On Time Inconsistent Stochastic Control in Continuous Time

Finance and Stochastics, Forthcoming
Number of pages: 32 Posted: 27 Dec 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Independent
Downloads 214 (299,506)

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Time consistency, time inconsistency, time inconsistent control, dynamic programming

10.

Correlated Cashflow Shocks, Asset Prices, and the Term Structure of Equity

Management Science, Forthcoming
Number of pages: 39 Posted: 02 Jun 2020 Last Revised: 09 Mar 2022
Michael Hasler and Mariana Khapko
University of Neuchatel and University of Toronto - Finance Area
Downloads 194 (326,786)
Citation 1

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Correlated Cashflow Shocks, Equity Term Structure, Dividend Strips, Risk Premium, Volatility

11.

Asset Pricing with Dynamically Inconsistent Agents

Number of pages: 59 Posted: 19 Oct 2016
Mariana Khapko
University of Toronto - Finance Area
Downloads 173 (362,323)
Citation 5

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Time consistency, time inconsistency, time inconsistent control, stochastic control, equilibrium

12.

Gamified risk-taking

Downloads 170 (368,012)

Gamified risk-taking

Number of pages: 42 Posted: 09 Sep 2024
Philipp Chapkovski, Mariana Khapko and Marius Zoican
University of Duisburg-Essen - Institute of Political Science, University of Toronto - Finance Area and University of Calgary - Haskayne School of Business
Downloads 125 (475,006)

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gamification, risk, experimental finance, financial literacy, retail trading

Gamified Risk-Taking

Number of pages: 43 Posted: 27 Aug 2024
Philipp Chapkovski, Mariana Khapko and Marius Zoican
University of Duisburg-Essen - Institute of Political Science, University of Toronto - Finance Area and University of Calgary - Haskayne School of Business
Downloads 45 (870,362)

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gamification, risk, experimental finance, financial literacy, retail trading

13.

Should Investors Learn About the Timing of Equity Risk?

Journal of Financial Economics (JFE), 2020
Number of pages: 68 Posted: 02 Jun 2020
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Neuchatel, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 169 (369,910)
Citation 5

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portfolio choice, learning, short-term risks, long-term risks

14.

Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples

Finance Stochastics, Forthcoming, Rotman School of Management Working Paper No. 2887328
Number of pages: 58 Posted: 19 Dec 2016 Last Revised: 16 Mar 2019
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Independent
Downloads 164 (379,658)
Citation 45

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Time Consistency, Time Inconsistency, Time Inconsistent Control, Dynamic Programming, Equilibrium

15.

How do retail investors use order flow data?

Number of pages: 55 Posted: 03 Mar 2025 Last Revised: 14 Mar 2025
Philipp Chapkovski, Mariana Khapko and Marius Zoican
University of Duisburg-Essen - Institute of Political Science, University of Toronto - Finance Area and University of Calgary - Haskayne School of Business
Downloads 80 (640,275)

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experimental finance, market data, retail trading, order imbalance JEL Codes: G11, G12, G14

16.

In Memoriam: Tomas Björk (1947–2021). On his Career and Beyond

Gaspar, R.M. and M. Khapko (2023). In memoriam: Tomas Björk (1947-2021), On his career and beyond. Finance and Stochastics 27 (4) , 867-885.
Number of pages: 19 Posted: 07 Jun 2024
Raquel M. Gaspar and Mariana Khapko
ISEG and Cemapre/REM, Universidade de Lisboa and University of Toronto - Finance Area
Downloads 13 (1,195,449)

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In memoriam, Legacy, Financial mathematics, Interest rate theory, Time-inconsistent control, Pedagogical impact, Mentorship