Mariana Khapko

University of Toronto - Finance Area

Toronto, Ontario M5S 3E6

Canada

Swedish House of Finance

Research Affiliate

Drottninggatan 98

Stockholm

Sweden

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 19,762

SSRN RANKINGS

Top 19,762

in Total Papers Downloads

2,500

SSRN CITATIONS
Rank 16,635

SSRN RANKINGS

Top 16,635

in Total Papers Citations

20

CROSSREF CITATIONS

32

Scholarly Papers (8)

1.

How Fast Should Trades Settle?

Management Science, Forthcoming
Number of pages: 56 Posted: 08 Dec 2016 Last Revised: 24 May 2019
Mariana Khapko and Marius Zoican
University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 1,078 (20,061)
Citation 8

Abstract:

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Market design, trade settlement, security lending, counterparty risk

2.

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
Swedish House of Finance, University of Toronto - Finance Area and University of Maryland
Downloads 584 (47,083)
Citation 12

Abstract:

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

3.

Speed and Learning in High-Frequency Auctions

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 28 Posted: 02 Mar 2016 Last Revised: 09 Sep 2019
Marlene Haas, Mariana Khapko and Marius Zoican
Independent, University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 351 (87,596)
Citation 2

Abstract:

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

4.

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 Aarhus University - School of Business and Social Sciences
Downloads 173 (178,757)
Citation 5

Abstract:

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

5.

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 Aarhus University - School of Business and Social Sciences
Downloads 85 (303,441)

Abstract:

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

6.

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 Aarhus University - School of Business and Social Sciences
Downloads 81 (312,460)
Citation 15

Abstract:

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

7.

Asset Pricing with Dynamically Inconsistent Agents

Number of pages: 59 Posted: 19 Oct 2016
Mariana Khapko
University of Toronto - Finance Area
Downloads 75 (326,785)
Citation 5

Abstract:

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

8.

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

Number of pages: 34 Posted: 25 Mar 2019 Last Revised: 07 Oct 2019
Mariana Khapko and Marius Zoican
University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 73 (331,826)
Citation 1

Abstract:

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