Roman Kozhan

University of Warwick, Warwick Business School

Assistant Professor of Finance

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

16

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CITATIONS
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SSRN RANKINGS

Top 24,165

in Total Papers Citations

11

Scholarly Papers (16)

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 16 Mar 2014
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 5,008 (1,115)
Citation 1

Abstract:

Adverse Selection, Ambiguity Aversion, Endogenous Commitment

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper
Number of pages: 25 Posted: 18 Feb 2015
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 123 (193,992)
Citation 1

Abstract:

Adverse Selection, Ambiguity Aversion, Endogenous Commitment

2.

Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information

Number of pages: 13 Posted: 31 Jul 2012 Last Revised: 16 Mar 2014
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 2,302 (4,253)

Abstract:

ambiguity aversion, asymmetric information, value of ambiguous information

3.
Downloads 1,859 ( 6,376)
Citation 5

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 04 Oct 2014
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick, Warwick Business School, Cass Business School, City, University of London and University of Lugano - Institute of Finance
Downloads 1,782 (6,746)
Citation 5

Abstract:

skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick, Warwick Business School, Cass Business School, City, University of London and University of Lugano - Institute of Finance
Downloads 77 (267,709)
Citation 5

Abstract:

4.
Downloads 1,319 ( 11,311)
Citation 1

Execution Risk in High-Frequency Arbitrage

Number of pages: 38 Posted: 29 Mar 2012
Roman Kozhan and Wing Wah Tham
University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 664 (30,947)
Citation 1

Abstract:

execution risk, limit to arbitrage, liquidity, high-frequency trading strategies

How Riskless is 'Riskless' Arbitrage?

Number of pages: 56 Posted: 24 Jan 2010 Last Revised: 16 Mar 2014
Roman Kozhan and Wing Wah Tham
University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 655 (31,497)

Abstract:

execution risk, limit to arbitrage, liquidity, inventory costs

5.
Downloads 908 ( 20,131)

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 28 Sep 2016
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 907 (19,775)

Abstract:

Arbitrage, Liquidity, Adverse Selection, High Frequency Trading

Toxic Arbitrage

CEPR Discussion Paper No. DP9925
Number of pages: 64 Posted: 02 Jun 2014
Thierry Foucault, Roman Kozhan and Wing Wah Tham
HEC Paris - Finance Department, University of Warwick, Warwick Business School and University of New South Wales (UNSW)
Downloads 1 (580,002)
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Abstract:

Adverse Selection, Arbitrage, High Frequency Trading, Liquidity

Optimal Security Design under Asymmetric Information and Profit Manipulation

Number of pages: 36 Posted: 27 Jun 2014 Last Revised: 26 Jan 2015
University of Warwick - Finance Group, University of Warwick, Warwick Business School and University of Rochester, Simon School
Downloads 556 (39,270)

Abstract:

Security design, financial innovation, capital structure, asymmetric information, venture capital

Optimal Security Design Under Asymmetric Information and Profit Manipulation

WBS Finance Group Research Paper
Number of pages: 36 Posted: 18 Feb 2015
University of Warwick - Finance Group, University of Warwick, Warwick Business School and University of Rochester, Simon School
Downloads 179 (141,106)

Abstract:

security design, financial innovation, capital structure, asymmetric information, venture capital

7.

Asymmetric Momentum Effects Under Uncertainty

Number of pages: 39 Posted: 20 May 2010
David Kelsey, Roman Kozhan and Wei Pang
University of Exeter Business School - Department of Economics, University of Warwick, Warwick Business School and Kingston University
Downloads 605 (33,596)
Citation 1

Abstract:

Momentum, Knightian Uncertainty, Asymmetric Response

8.

The Information Content of a Limit Order Book: The Case of an FX Market

Number of pages: 44 Posted: 18 Jan 2011
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 371 (58,441)
Citation 2

Abstract:

limit order book, profitability, high-frequency data

9.

Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation

Number of pages: 23 Posted: 03 Mar 2007
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 319 (77,598)
Citation 1

Abstract:

uncertainty aversion, exchange rate formation, agent-based modeling

Market Order Flows, Limit Order Flows and Exchange Rate Dynamics

Number of pages: 37 Posted: 02 Mar 2014
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick, Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 211 (120,748)

Abstract:

Market Order Flows, Limit Order Flows and Exchange Rate Dynamics

Number of pages: 53 Posted: 27 Nov 2015 Last Revised: 22 Dec 2015
Roman Kozhan, Michael Moore and Richard Payne
University of Warwick, Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School
Downloads 71 (280,754)

Abstract:

Exchange rates; International financial markets; Order flow

11.

On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates

Number of pages: 46 Posted: 23 May 2008
Roman Kozhan and Mark Salmon
University of Warwick, Warwick Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 223 (109,354)

Abstract:

Knightian uncertainty, market timing, predictability, high-frequency data

12.

Non-Additive Anonymous Games

Number of pages: 22 Posted: 06 May 2010
Roman Kozhan
University of Warwick, Warwick Business School
Downloads 212 (120,593)

Abstract:

Anonymous Game, Uncertainty, Non-Additive Measure, Capacity

13.

Spurious Regressions of Stationary AR(p) Processes with Structural Breaks

Number of pages: 38 Posted: 12 Jul 2010
Ba M. Chu and Roman Kozhan
Carleton University and University of Warwick, Warwick Business School
Downloads 204 (124,531)

Abstract:

Spurious Regression, Weak Dependence, Structural Breaks, Strictly Stationary, Autoregressive Processes

14.

Firms' Investment under Financial Constraints: A Euro Area Investigation

Number of pages: 33 Posted: 01 Mar 2009 Last Revised: 16 Mar 2014
Rozalia Pal and Roman Kozhan
European University Viadrina Frankfurt (Oder) and University of Warwick, Warwick Business School
Downloads 180 (133,639)

Abstract:

financing constraints, growth, investment, cash flow sensitivity

15.

Insider Selling on Public Information: Evidence from Competition with Short Sellers

Number of pages: 64 Posted: 18 Mar 2017
Harold Contreras, Jana P. Fidrmuc and Roman Kozhan
Faculty of Economics and Business - University of Chile, Warwick Business School - Finance Group and University of Warwick, Warwick Business School
Downloads 0 (291,526)

Abstract:

Insider trading, Short selling, Informed trading, Earnings announcements

16.

The Cross-Section of Currency Volatility Premia

Number of pages: 87 Posted: 13 Jan 2017 Last Revised: 15 Jul 2017
Imperial College London, University of Warwick, Warwick Business School and Cass Business School, City, University of London
Downloads 0 (115,160)

Abstract:

Forward Volatility Agreement, Foreign Exchange Volatility, Risk Premium, Term Structure