Mykola Babiak

Lancaster University Management School

Bailrigg

Lancaster, LA1 4YX

United Kingdom

http://https://sites.google.com/site/mykolababiak/home

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 14,430

SSRN RANKINGS

Top 14,430

in Total Papers Downloads

5,402

SSRN CITATIONS
Rank 39,703

SSRN RANKINGS

Top 39,703

in Total Papers Citations

7

CROSSREF CITATIONS

11

Scholarly Papers (9)

1.

Trading volume and liquidity provision in cryptocurrency markets

Number of pages: 42 Posted: 13 Sep 2018 Last Revised: 20 Jun 2022
School of Economics and Finance, Queen Mary University of London, Warwick Business School and Lancaster University Management School
Downloads 2,099 (11,627)
Citation 17

Abstract:

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Liquidity provision, short-term reversal, trading volume, empirical asset pricing, adverse selection.

2.

A risk-based explanation of cryptocurrency returns

Number of pages: 69 Posted: 05 Oct 2021 Last Revised: 24 Oct 2022
Daniele Bianchi and Mykola Babiak
School of Economics and Finance, Queen Mary University of London and Lancaster University Management School
Downloads 1,183 (27,899)
Citation 1

Abstract:

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Instrumented PCA, Cryptocurrency markets, Asset pricing, Factor models, Risk premiums.

3.

On the Performance of Cryptocurrency Funds

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 10 Apr 2020 Last Revised: 10 Feb 2022
Daniele Bianchi and Mykola Babiak
School of Economics and Finance, Queen Mary University of London and Lancaster University Management School
Downloads 1,111 (30,553)
Citation 5

Abstract:

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Cryptocurrency markets, Alternative investments, Fund management, Bootstrap methods.

4.

Deep Learning, Predictability, and Optimal Portfolio Returns

Number of pages: 49 Posted: 27 Oct 2020 Last Revised: 11 Sep 2022
Mykola Babiak and Jozef BarunĂ­k
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 302 (155,982)
Citation 1

Abstract:

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Return Predictability, Portfolio Allocation, Machine Learning, Neural Networks, Empirical Asset Pricing

5.

Currency Network Risk

Number of pages: 59 Posted: 18 Feb 2021 Last Revised: 13 Mar 2023
Mykola Babiak and Jozef BarunĂ­k
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 219 (214,670)
Citation 1

Abstract:

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Currency predictability, network risk, currency volatility, option-implied volatility, persistence, term structure

6.

Generalized Disappointment Aversion and the Variance Term Structure

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 68 Posted: 30 Aug 2022 Last Revised: 22 Feb 2023
Mykola Babiak
Lancaster University Management School
Downloads 146 (305,451)

Abstract:

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Generalized Disappointment Aversion, Learning, Rare Events, Price of Variance Risk, Variance and Skew Risk Premiums, Implied Volatility Skew

7.

Parameter Learning in Production Economies

Number of pages: 58 Posted: 22 Aug 2018 Last Revised: 13 Feb 2023
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 130 (334,302)
Citation 2

Abstract:

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Parameter Learning, Equity Premium, Business Cycles, Markov Switching

8.

Growth Uncertainty, Rational Learning, and Option Prices

Number of pages: 90 Posted: 02 Oct 2020 Last Revised: 02 Mar 2023
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 111 (374,780)

Abstract:

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Priced parameter uncertainty, anticipated utility, Bayesian learning, variance premium, implied volatilities

9.

Variations in Trading Activity, Costly Arbitrage, and Cryptocurrency Returns

Number of pages: 46 Posted: 08 Dec 2022
Mykola Babiak and Mustafa Berke Erdis
Lancaster University Management School and Lancaster University Management School
Downloads 101 (399,974)

Abstract:

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Cryptocurrency, trading activity, liquidity, volume, costly arbitrage