Mariana Khapko

University of Toronto - Finance Area

Toronto, Ontario M5S 3E6

Canada

Swedish House of Finance

Research Affiliate

Drottninggatan 98

Stockholm

Sweden

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 19,010

SSRN RANKINGS

Top 19,010

in Total Papers Downloads

2,761

SSRN CITATIONS
Rank 17,588

SSRN RANKINGS

Top 17,588

in Total Papers Citations

22

CROSSREF CITATIONS

32

Scholarly Papers (11)

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 1,124 (20,028)
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 613 (46,816)
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

Journal of Financial Markets, Forthcoming
Number of pages: 32 Posted: 02 Mar 2016 Last Revised: 27 Apr 2020
Marlene Haas, Mariana Khapko and Marius Zoican
Independent, University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 381 (84,145)
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 178 (183,279)
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.

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 93 (300,688)
Citation 1

Abstract:

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

6.

Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples

Finance Stochastics, Forthcoming
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 87 (313,572)
Citation 17

Abstract:

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

7.

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 86 (315,792)

Abstract:

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

8.

Asset Pricing with Dynamically Inconsistent Agents

Number of pages: 59 Posted: 19 Oct 2016
Mariana Khapko
University of Toronto - Finance Area
Downloads 80 (329,872)
Citation 5

Abstract:

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

9.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 66 (367,154)

Abstract:

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

10.

Rational Learning and the Term Structures of Value and Growth Risk Premia

Number of pages: 51 Posted: 02 Jun 2020
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 32 (494,443)

Abstract:

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Asset Pricing, Rational Learning, Term Structures, Value and Growth Firms

11.

Term Structures of Equity and Interest Rates in Time-Varying Expected Growth Models

Number of pages: 39 Posted: 02 Jun 2020
Michael Hasler and Mariana Khapko
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance and University of Toronto - Finance Area
Downloads 21 (556,901)

Abstract:

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Term Structures, Dividend Strips, Risk Premium, Volatility, Bond Yields