Mykola Babiak

Lancaster University Management School

Bailrigg

Lancaster, LA1 4YX

United Kingdom

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

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 13,794

in Total Papers Downloads

6,708

SSRN CITATIONS
Rank 25,888

SSRN RANKINGS

Top 25,888

in Total Papers Citations

35

CROSSREF CITATIONS

11

Scholarly Papers (10)

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, UNSW Business School and Lancaster University Management School
Downloads 2,401 (11,483)
Citation 35

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: 06 Mar 2024
Daniele Bianchi and Mykola Babiak
School of Economics and Finance, Queen Mary University of London and Lancaster University Management School
Downloads 1,564 (22,619)
Citation 2

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 1,197 (33,433)
Citation 12

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 Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 388 (143,467)

Abstract:

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

5.

Currency Network Risk

Number of pages: 63 Posted: 18 Feb 2021 Last Revised: 01 Nov 2023
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 361 (155,441)

Abstract:

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Currency predictability, network risk, currency volatility, option-implied volatility, persistence, 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 191 (293,312)

Abstract:

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Cryptocurrency, trading activity, liquidity, volume, costly arbitrage

7.

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 187 (298,839)
Citation 2

Abstract:

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

8.

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 172 (321,731)
Citation 4

Abstract:

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

9.

Common Firm-level Investor Fears: Evidence from Equity Options

Number of pages: 49 Posted: 09 Sep 2023 Last Revised: 10 Nov 2023
Lancaster University Management School, Charles University in Prague - Department of Economics, University of Liverpool - Management School (ULMS) and University of Liverpool
Downloads 133 (397,309)

Abstract:

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asset pricing, implied variance, firm-level, equity options

10.

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 114 (446,327)
Citation 1

Abstract:

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