Roman Kozhan

University of Warwick, Warwick Business School

Professor of Finance

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 1,726

SSRN RANKINGS

Top 1,726

in Total Papers Downloads

15,447

CITATIONS
Rank 24,168

SSRN RANKINGS

Top 24,168

in Total Papers Citations

11

Scholarly Papers (17)

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 5,029 (1,150)
Citation 1

Abstract:

Loading...

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 125 (196,043)
Citation 1

Abstract:

Loading...

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 (4,399)

Abstract:

Loading...

ambiguity aversion, asymmetric information, value of ambiguous information

3.
Downloads 1,903 ( 6,356)
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 1,822 (6,709)
Citation 5

Abstract:

Loading...

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 81 (265,369)
Citation 5

Abstract:

Loading...

4.
Downloads 1,334 ( 11,435)
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 669 (31,475)
Citation 1

Abstract:

Loading...

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 665 (31,753)

Abstract:

Loading...

execution risk, limit to arbitrage, liquidity, inventory costs

5.
Downloads 928 ( 20,068)

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 927 (19,728)

Abstract:

Loading...

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 (590,824)
  • Add to Cart

Abstract:

Loading...

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: 29 Sep 2017
University of Warwick - Finance Group, University of Warwick, Warwick Business School and University of Rochester, Simon School
Downloads 561 (39,834)

Abstract:

Loading...

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 193 (134,695)

Abstract:

Loading...

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 (34,153)
Citation 1

Abstract:

Loading...

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 (59,311)
Citation 2

Abstract:

Loading...

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 (79,644)
Citation 1

Abstract:

Loading...

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 212 (123,131)

Abstract:

Loading...

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 75 (277,970)

Abstract:

Loading...

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 (111,029)

Abstract:

Loading...

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 (123,511)

Abstract:

Loading...

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 (127,501)

Abstract:

Loading...

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 (136,158)

Abstract:

Loading...

financing constraints, growth, investment, cash flow sensitivity

15.

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 University of Warwick - Finance Group
Downloads 138 (142,390)

Abstract:

Loading...

Short Selling, Corporate Bonds, Financial Crisis

16.

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 (281,651)

Abstract:

Loading...

Insider trading, Short selling, Informed trading, Earnings announcements

17.

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 (101,237)

Abstract:

Loading...

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