Roman Kozhan

University of Warwick - Warwick Business School

Professor of Finance

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 2,365

SSRN RANKINGS

Top 2,365

in Total Papers Downloads

18,398

SSRN CITATIONS
Rank 8,016

SSRN RANKINGS

Top 8,016

in Total Papers Citations

92

CROSSREF CITATIONS

73

Scholarly Papers (23)

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper No. 148
Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 23 Dec 2019
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 5,120 (1,964)
Citation 2

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Adverse Selection, Ambiguity Aversion, Endogenous Commitment

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper No. 229
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 144 (253,820)

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Adverse Selection, Ambiguity Aversion, Endogenous Commitment

2.

Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information

WBS Finance Group Research Paper No. 190
Number of pages: 13 Posted: 31 Jul 2012 Last Revised: 26 Dec 2019
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 2,395 (7,358)
Citation 4

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ambiguity aversion, asymmetric information, value of ambiguous information

3.
Downloads 2,351 ( 7,603)
Citation 30

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper, WBS Finance Group Research Paper No. 139
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 23 Dec 2019
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 2,233 (8,091)
Citation 11

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skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper No. 228
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 118 (295,595)
Citation 19

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Downloads 1,570 ( 14,486)
Citation 4

Execution Risk in High-Frequency Arbitrage

WBS Finance Group Research Paper No. 179
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 786 (39,285)
Citation 4

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

How Riskless is 'Riskless' Arbitrage?

WBS Finance Group Research Paper No. 134
Number of pages: 56 Posted: 24 Jan 2010 Last Revised: 23 Dec 2019
Roman Kozhan and Wing Wah Tham
University of Warwick - Warwick Business School and University of New South Wales (UNSW)
Downloads 784 (39,418)
Citation 1

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execution risk, limit to arbitrage, liquidity, inventory costs

5.
Downloads 1,101 ( 24,823)
Citation 31

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040, WBS Finance Group Research Paper No. 219
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 26 Dec 2019
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 1,098 (24,506)
Citation 22

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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 3 (806,148)
Citation 2
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Adverse Selection, Arbitrage, High Frequency Trading, Liquidity

Optimal Security Design under Asymmetric Information and Profit Manipulation

Number of pages: 50 Posted: 27 Jun 2014 Last Revised: 28 Mar 2018
University of Warwick - Finance Group, University of Warwick - Warwick Business School and University of Rochester - Simon Business School
Downloads 635 (52,348)
Citation 1

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

Optimal Security Design Under Asymmetric Information and Profit Manipulation

WBS Finance Group Research Paper No. 230
Number of pages: 36 Posted: 18 Feb 2015
University of Warwick - Finance Group, University of Warwick - Warwick Business School and University of Rochester - Simon Business School
Downloads 227 (169,336)
Citation 2

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

7.

Asymmetric Momentum Effects Under Uncertainty

WBS Finance Group Research Paper No. 142
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 672 (49,235)
Citation 2

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Momentum, Knightian Uncertainty, Asymmetric Response

8.

The Cross-Section of Currency Volatility Premia

Number of pages: 108 Posted: 13 Jan 2017 Last Revised: 24 Dec 2019
Imperial College Business School, University of Warwick - Warwick Business School and City University London - Faculty of Finance
Downloads 660 (50,330)
Citation 6

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Currency Volatility Risk Premia, Forward Volatility Agreement, Foreign Exchange Volatility, Term Structure

9.

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

WBS Finance Group Research Paper No. 150
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 497 (72,107)
Citation 4

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limit order book, profitability, high-frequency data

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

WBS Finance Group Research Paper No. 218
Number of pages: 51 Posted: 02 Mar 2014 Last Revised: 26 Dec 2019
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 271 (141,956)
Citation 2

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Market order flow, limit order flow, price discovery

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

Number of pages: 51 Posted: 27 Nov 2015 Last Revised: 01 Apr 2018
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 123 (286,821)

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Market order flow, limit order flow, price discovery

11.

Short Selling and Price Discovery in Corporate Bonds

Number of pages: 70 Posted: 04 Jun 2014 Last Revised: 13 Nov 2017
Terrence Hendershott, Roman Kozhan and Vikas Raman
University of California, Berkeley - Haas School of Business, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 350 (108,506)
Citation 1

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Short Selling, Corporate Bonds, Financial Crisis

12.

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

WBS Finance Group Research Paper No. 74
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 332 (115,071)
Citation 1

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uncertainty aversion, exchange rate formation, agent-based modeling

13.

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

WBS Finance Group Research Paper No. 101
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 254 (152,180)
Citation 1

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

Prospect Theory and Currency Returns: Empirical Evidence

Number of pages: 70 Posted: 10 Jul 2020 Last Revised: 18 Sep 2020
Qi Xu, Roman Kozhan and Mark P. Taylor
Zhejiang University - School of Economics and Academy of Financial Research, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 242 (159,040)

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foreign exchange, currency returns, prospect theory, limits to arbitrage

Prospect Theory and Currency Returns: Empirical Evidence

CEPR Discussion Paper No. DP15306
Number of pages: 73 Posted: 22 Sep 2020
Roman Kozhan, Mark P. Taylor and Qi Xu
University of Warwick - Warwick Business School, Washington University in St. Louis - John M. Olin Business School and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 2 (816,763)
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currency returns, foreign exchange, Limits to Arbitrage, prospect theory

15.

Decentralized Stablecoins and Collateral Risk

WBS Finance Group Research Paper
Number of pages: 81 Posted: 22 Jun 2021 Last Revised: 01 Sep 2021
University of Warwick - Warwick Business School and Warwick Business SchoolUniversity of Warwick - Warwick Business School
Downloads 239 (161,553)
Citation 2

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Cryptocurrency, fixed exchange rates, monetary policy, stablecoins, collateralized debt positions

16.

Non-Additive Anonymous Games

WBS Finance Group Research Paper No. 141
Number of pages: 22 Posted: 06 May 2010
Roman Kozhan
University of Warwick - Warwick Business School
Downloads 214 (179,533)

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Anonymous Game, Uncertainty, Non-Additive Measure, Capacity

17.

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

WBS Finance Group Research Paper No. 143
Number of pages: 38 Posted: 12 Jul 2010
Ba M. Chu and Roman Kozhan
Carleton University and University of Warwick - Warwick Business School
Downloads 209 (183,572)

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

18.

Firms' Investment under Financial Constraints: A Euro Area Investigation

WBS Finance Group Research Paper No. 115
Number of pages: 33 Posted: 01 Mar 2009 Last Revised: 23 Dec 2019
Rozalia Pal and Roman Kozhan
European University Viadrina Frankfurt (Oder) and University of Warwick - Warwick Business School
Downloads 200 (191,190)

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financing constraints, growth, investment, cash flow sensitivity

19.

Insiders' information advantage: Evidence from competition with short sellers

Number of pages: 72 Posted: 18 Mar 2017 Last Revised: 14 Jun 2021
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 191 (199,183)
Citation 1

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Insider trading, Short selling, Informed trading, Earnings announcements

20.

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital

WBS Finance Group Research Paper No. 262
Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 26 Dec 2019
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and University of Warwick - Warwick Business School
Downloads 178 (211,999)

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Order Imbalance Predictability, Market Efficiency, Liquidity Provision, Asymmetric Information

21.

Parameter Learning in Production Economies

Number of pages: 52 Posted: 22 Aug 2018 Last Revised: 27 Jan 2021
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 105 (319,143)
Citation 1

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Parameter Learning, Equity Premium, Business Cycles, Markov Switching

22.

Growth Uncertainty, Rational Learning, and Option Prices

Number of pages: 50 Posted: 02 Oct 2020 Last Revised: 03 Dec 2020
Mykola Babiak and Roman Kozhan
Lancaster University Management School and University of Warwick - Warwick Business School
Downloads 69 (411,080)

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Uncertainty, Rational Learning, Business Cycles, Variance Premium, Implied Volatilities

23.

Correlated Portfolio Inventory Risk of Liquidity Providers: Frictions and Market Fragility

Number of pages: 46 Posted: 22 Sep 2020 Last Revised: 15 Sep 2021
Roman Kozhan, Vikas Raman and Pradeep K. Yadav
University of Warwick - Warwick Business School, Lancaster University - Department of Accounting and Finance and University of Oklahoma Price College of Business
Downloads 47 (492,267)

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Inventory Management, Limit Order Markets, Market Quality