Mykola Babiak

Lancaster University Management School

Bailrigg

Lancaster, LA1 4YX

United Kingdom

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

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 13,611

in Total Papers Downloads

7,669

TOTAL CITATIONS
Rank 24,075

SSRN RANKINGS

Top 24,075

in Total Papers Citations

69

Scholarly Papers (11)

1.

Trading volume and liquidity provision in cryptocurrency markets

Number of pages: 42 Posted: 13 Sep 2018 Last Revised: 20 Jun 2022
Queen Mary University of London, UNSW Business School and Lancaster University Management School
Downloads 2,562 (11,859)
Citation 41

Abstract:

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

2.

Mispricing and Risk Compensation in Cryptocurrency Returns

Number of pages: 63 Posted: 05 Oct 2021 Last Revised: 09 Nov 2024
Daniele Bianchi and Mykola Babiak
Queen Mary University of London and Lancaster University Management School
Downloads 1,839 (20,195)
Citation 3

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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
Queen Mary University of London and Lancaster University Management School
Downloads 1,281 (34,734)
Citation 15

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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 Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 446 (140,816)
Citation 1

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

5.

Volatility Shocks and Currency Returns

Number of pages: 78 Posted: 18 Feb 2021 Last Revised: 22 Apr 2025
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 427 (148,010)

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Currency predictability, currency volatility, volatility shock, network, option-implied volatility, contagion, term structure

6.

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 259 (254,285)

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Cryptocurrency, trading activity, liquidity, volume, costly arbitrage

7.

Commonalities in Firm-level Implied Volatilities

Number of pages: 48 Posted: 09 Sep 2023 Last Revised: 16 Nov 2024
Lancaster University Management School, Charles University in Prague - Department of Economics, University of Liverpool - Management School (ULMS) and University of Liverpool
Downloads 221 (298,546)
Citation 1

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firm-level, Implied Volatility, option prices, cross section of stock returns

8.

Parameter Learning in Production Economies

Journal of Monetary Economics, Forthcoming
Number of pages: 65 Posted: 22 Aug 2018 Last Revised: 08 Jan 2024
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 204 (320,808)
Citation 2

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Parameter learning, dividend yield variance decomposition, return predictability, business cycles, Markov switching

9.

Generalized Disappointment Aversion and the Variance Term Structure

Journal of Financial and Quantitative Analysis (JFQA)
Number of pages: 75 Posted: 30 Aug 2022 Last Revised: 08 Jan 2024
Mykola Babiak
Lancaster University Management School
Downloads 175 (368,879)
Citation 5

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

10.

The Common Factor in Volatility Risk Premia

Number of pages: 43 Posted: 09 Feb 2024
Lancaster University Management School, Charles University in Prague - Department of Economics, University of Liverpool and University of Liverpool - Management School (ULMS)
Downloads 137 (452,980)

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Firm volatility risk premia, cross-section of stock returns, market return predictability

11.

Parameter learning, tail risks, and risk premia decomposition

Number of pages: 69 Posted: 02 Oct 2020 Last Revised: 17 Mar 2025
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 118 (509,498)
Citation 1

Abstract:

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Priced parameter uncertainty, anticipated utility, tail risk, production economy, equity premium, variance premium, SVIX, option-implied volatilities