Bailrigg
Lancaster, LA1 4YX
United Kingdom
http://https://sites.google.com/site/mykolababiak/home
Lancaster University Management School
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Liquidity provision, short-term reversal, trading volume, empirical asset pricing, adverse selection.
Instrumented PCA, Cryptocurrency markets, Asset pricing, Factor models, Risk premiums.
Cryptocurrency markets, Alternative investments, Fund management, Bootstrap methods.
Return Predictability, Portfolio Allocation, Machine Learning, Neural Networks, Empirical Asset Pricing
Currency predictability, currency volatility, volatility shock, network, option-implied volatility, contagion, term structure
Cryptocurrency, trading activity, liquidity, volume, costly arbitrage
firm-level, Implied Volatility, option prices, cross section of stock returns
Parameter learning, dividend yield variance decomposition, return predictability, business cycles, Markov switching
Generalized Disappointment Aversion, Learning, Rare Events, Price of Variance Risk, Variance and Skew Risk Premiums, Implied Volatility Skew
Firm volatility risk premia, cross-section of stock returns, market return predictability
Priced parameter uncertainty, anticipated utility, tail risk, production economy, equity premium, variance premium, SVIX, option-implied volatilities
