Mariana Khapko

University of Toronto - Finance Area

Toronto, Ontario M5S 3E6

Canada

Swedish House of Finance

Research Affiliate

Drottninggatan 98

Stockholm

Sweden

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 18,508

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Top 18,508

in Total Papers Downloads

3,395

SSRN CITATIONS
Rank 15,811

SSRN RANKINGS

Top 15,811

in Total Papers Citations

37

CROSSREF CITATIONS

35

Scholarly Papers (12)

1.

How Fast Should Trades Settle?

Management Science, Forthcoming
Number of pages: 56 Posted: 08 Dec 2016 Last Revised: 24 May 2019
Mariana Khapko and Marius Zoican
University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 1,201 (21,553)
Citation 10

Abstract:

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Market design, trade settlement, security lending, counterparty risk

2.

Liquidity with High-Frequency Market Making

Swedish House of Finance Research Paper No. 14-06
Number of pages: 12 Posted: 27 Mar 2014 Last Revised: 28 Mar 2014
Jungsuk Han, Mariana Khapko and Albert S. Kyle
Swedish House of Finance, University of Toronto - Finance Area and University of Maryland
Downloads 731 (43,426)
Citation 14

Abstract:

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high-frequency trading, market making, order cancellation, bid-ask spread, winner's curse, informed trading

3.

Speed and Learning in High-Frequency Auctions

Journal of Financial Markets, Volume 54, June 2021, 100583
Number of pages: 32 Posted: 02 Mar 2016 Last Revised: 03 Jun 2021
Marlene Haas, Mariana Khapko and Marius Zoican
Independent, University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 407 (90,363)
Citation 4

Abstract:

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high-frequency trading, batch auction markets, liquidity, adverse selection

4.

A Theory of Markovian Time Inconsistent Stochastic Control in Continuous Time

Number of pages: 44 Posted: 04 Feb 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Aarhus University - School of Business and Social Sciences
Downloads 195 (193,445)
Citation 6

Abstract:

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Time consistency, time inconsistency, time inconsistent control, dynamic programming, stochastic control, Bellman equation, hyperbolic discounting, mean-variance, equilibrium

5.

Do Speed Bumps Curb Low-Latency Investment? Evidence From a Laboratory Market

Journal of Financial Markets, Forthcoming
Number of pages: 40 Posted: 25 Mar 2019 Last Revised: 24 Aug 2020
Mariana Khapko and Marius Zoican
University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 155 (235,840)
Citation 1

Abstract:

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high-frequency trading, experimental finance, speed bumps, trading technology

6.

Asymmetries and the Market for Put Options

Swedish House of Finance Research Paper No. 21-12
Number of pages: 69 Posted: 01 Jun 2021 Last Revised: 24 Jun 2021
Adam Farago, Mariana Khapko and Chayawat Ornthanalai
University of Gothenburg - Centre for Finance, University of Toronto - Finance Area and University of Toronto - Rotman School of Management
Downloads 131 (269,610)

Abstract:

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Disappointment Aversion, Options, Equilibrium Asset Demand

7.

Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples

Finance Stochastics, Forthcoming, Rotman School of Management Working Paper No. 2887328
Number of pages: 58 Posted: 19 Dec 2016 Last Revised: 16 Mar 2019
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Aarhus University - School of Business and Social Sciences
Downloads 111 (303,915)
Citation 26

Abstract:

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Time Consistency, Time Inconsistency, Time Inconsistent Control, Dynamic Programming, Equilibrium

8.

The Term Structures of Value and Growth Risk Premia

Number of pages: 50 Posted: 02 Jun 2020 Last Revised: 14 Jan 2021
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 102 (321,986)
Citation 1

Abstract:

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Asset Pricing, Information Acquisition, Term Structures, Risk Premia, Value and Growth Firms

9.

On Time Inconsistent Stochastic Control in Continuous Time

Finance and Stochastics, Forthcoming
Number of pages: 32 Posted: 27 Dec 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Aarhus University - School of Business and Social Sciences
Downloads 98 (330,408)

Abstract:

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Time consistency, time inconsistency, time inconsistent control, dynamic programming

10.

Asset Pricing with Dynamically Inconsistent Agents

Number of pages: 59 Posted: 19 Oct 2016
Mariana Khapko
University of Toronto - Finance Area
Downloads 95 (337,161)
Citation 5

Abstract:

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Time consistency, time inconsistency, time inconsistent control, stochastic control, equilibrium

11.

Should Investors Learn About the Timing of Equity Risk?

Journal of Financial Economics (JFE), 2020
Number of pages: 68 Posted: 02 Jun 2020
Michael Hasler, Mariana Khapko and Roberto Marfè
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance, University of Toronto - Finance Area and University of Turin - Collegio Carlo Alberto
Downloads 93 (341,683)
Citation 1

Abstract:

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portfolio choice, learning, short-term risks, long-term risks

12.

Term Structures of Equity and Interest Rates in Time-Varying Expected Growth Models

Number of pages: 39 Posted: 02 Jun 2020
Michael Hasler and Mariana Khapko
University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance and University of Toronto - Finance Area
Downloads 76 (385,770)
Citation 1

Abstract:

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Term Structures, Dividend Strips, Risk Premium, Volatility, Bond Yields