Advanced Search
MyIDEAS: Login to follow this author

Roman Kozhan

Contents:

This is information that was supplied by Roman Kozhan in registering through RePEc. If you are Roman Kozhan , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Roman
Middle Name:
Last Name: Kozhan
Suffix:

RePEc Short-ID: pko674

Email:
Homepage: http://homepages.warwick.ac.uk/staff/R.Kozhan/
Postal Address:
Phone:

Affiliation

Finance Group
Warwick Business School
University of Warwick
Location: Coventry, United Kingdom
Homepage: http://www.wbs.ac.uk/faculty/subjects/fin.cfm
Email:
Phone: +44 (0)24 7652 4306
Fax: +44 (0)24 7652 3719
Postal: Coventry, CV4 7AL
Handle: RePEc:edi:afwbsuk (more details at EDIRC)

Works

as in new window

Working papers

  1. Foucault, Thierry & Kozhan, Roman & Tham, Wing Wah, 2014. "Toxic Arbitrage," CEPR Discussion Papers 9925, C.E.P.R. Discussion Papers.
  2. Koufopoulos, Kostos & Kozhan, Roman & Trigilia, Giulio, 2014. "Optimal Security Design under Asymmetric Information and Profit Manipulation," The Warwick Economics Research Paper Series (TWERPS) 1050, University of Warwick, Department of Economics.
  3. : Kostas Koufopoulos & : Roman Kozhan, 2013. "Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information," Working Papers wpn13-13, Warwick Business School, Finance Group.
  4. : Roman Kozhan & : Anthony Neuberger & : Paul Schneider, 2012. "The Skew Risk Premium in the Equity Index Market," Working Papers wpn12-08, Warwick Business School, Finance Group.
  5. : Kostas Koufopoulos & : Roman Kozhan, 2012. "Optimal Insurance under Advserse Selection and Ambiguity Aversion," Working Papers wpn12-07, Warwick Business School, Finance Group.
  6. : David Kelsey & Roman Kozhan & Wei Pang, 2010. "Asymmetric Momentum Effects Under Uncertainty," Working Papers wpn10-04, Warwick Business School, Finance Group.
  7. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers wpn10-05, Warwick Business School, Finance Group.
  8. Ba Chu & Roman Kozhan, 2009. "Spurious Regressions of Stable AR(p) Processes with Structural Breaks," Working Papers wp09-04, Warwick Business School, Finance Group.
  9. Roman Kozhan, 2008. "Non-Additive Anonymous Games," Working Papers wp08-04, Warwick Business School, Finance Group.
  10. Roman Kozhan & Mark Salmon, 2008. "On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates," Working Papers wpn08-04, Warwick Business School, Finance Group.
  11. Rozalia Pal & Roman Kozhan, 2008. "Firms' Investment under Financial Constraints: A Euro Area Investigation," Working Papers wp08-07, Warwick Business School, Finance Group.
  12. Mark Salmon & Roman Kozhan, 2008. "Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation," Working Papers wp08-05, Warwick Business School, Finance Group.
  13. Roman Kozhan & Mark Salmon, 2007. "Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation," Working Papers wpn07-06, Warwick Business School, Finance Group.
  14. Rozália Pál & Roman Kozhan, 2006. "Firms' investment under financing constraints. An euro area investigation," IEHAS Discussion Papers 0606, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences, revised 21 Jul 2006.
  15. Roman Kozhan, 2006. "Multiple Priors and No-Transaction Region," Working Papers wpn06-16, Warwick Business School, Finance Group.

Articles

  1. Roman Kozhan & Anthony Neuberger & Paul Schneider, 2013. "The Skew Risk Premium in the Equity Index Market," Review of Financial Studies, Society for Financial Studies, vol. 26(9), pages 2174-2203.
  2. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
  3. Roman Kozhan & Wing Wah Tham, 2012. "Execution Risk in High-Frequency Arbitrage," Management Science, INFORMS, vol. 58(11), pages 2131-2149, November.
  4. Roman Kozhan, 2011. "Non-additive anonymous games," International Journal of Game Theory, Springer, vol. 40(2), pages 215-230, May.
  5. Chu Ba & Kozhan Roman, 2010. "Spurious Regressions of Stationary AR(p) Processes with Structural Breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-25, December.
  6. David Kelsey & Roman Kozhan & Wei Pang, 2010. "Asymmetric Momentum Effects Under Uncertainty," Review of Finance, European Finance Association, vol. 15(3), pages 603-631.
  7. Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
  8. Rozalia Pal & Roman Kozhan, 2009. "Firms' investment under financial constraints: a euro area investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1611-1624.
  9. Kozhan, Roman & Schmid, Wolfgang, 2009. "Asset allocation with distorted beliefs and transaction costs," European Journal of Operational Research, Elsevier, vol. 194(1), pages 236-249, April.
  10. Roman Kozhan & Michael Zarichnyi, 2008. "Nash equilibria for games in capacities," Economic Theory, Springer, vol. 35(2), pages 321-331, May.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-COM: Industrial Competition (1) 2013-12-20
  2. NEP-CTA: Contract Theory & Applications (2) 2013-12-20 2014-07-13. Author is listed
  3. NEP-ECM: Econometrics (1) 2010-02-05
  4. NEP-ETS: Econometric Time Series (1) 2010-02-05
  5. NEP-FMK: Financial Markets (1) 2006-08-05
  6. NEP-IAS: Insurance Economics (1) 2013-12-20
  7. NEP-MAC: Macroeconomics (1) 2013-12-20
  8. NEP-MIC: Microeconomics (2) 2013-12-20 2014-07-13. Author is listed
  9. NEP-MST: Market Microstructure (1) 2014-06-02

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Roman Kozhan should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.