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, network risk, currency volatility, option-implied volatility, persistence, term structure
Generalized Disappointment Aversion, Learning, Rare Events, Price of Variance Risk, Variance and Skew Risk Premiums, Implied Volatility Skew
Parameter Learning, Equity Premium, Business Cycles, Markov Switching
Priced parameter uncertainty, anticipated utility, Bayesian learning, variance premium, implied volatilities
Cryptocurrency, trading activity, liquidity, volume, costly arbitrage
