Research Interests
Asset Pricing, Market Microstructure
Teaching in 2020-2021
MSc Business and Finance
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IB9U00: Financial Management
Mathematical Finance
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IB9110: Asset Pricing and Risk
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IB9JH0: Programming for Quantitative Finance
Postgraduate Research Finance and Econometrics
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IB93K0: Market Microstructure
Biography
Roman Kozhan is Professor of Finance at Warwick Business School. He joined Warwick Business School in 2006 as a Postdoctoral Research Fellow. His research interests broadly lie in the area of Asset Pricing and Market Microstructure. His work is well published and has been presented in top conferences in the field. He holds a PhD in Finance from European University Viadrina, Germany and PhD in Mathematics from Lviv National University of Ivan Franko, Ukraine. Roman served as a consultant for Old Mutual Asset Managers, Sybenetix, Oncilla FX Trading and had a joint industry project with National Australia Bank.
Publications
Journal Articles
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Della Corte, P., Kozhan, R. and Neuberger, A. (2020) "The cross-section of currency volatility premia", Journal of Financial Economics
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Hendershott, T., Kozhan, R. and Raman, V. (2019) "Short selling and price discovery in corporate bonds
", Journal of Financial and Quantitative Analysis
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Koufopoulos, K., Kozhan, R. and Trigilia, G. (2018) "Optimal security design under asymmetric information and profit manipulation", Review of Corporate Finance Studies, 8, 1, 146-173
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Foucault, T., Kozhan, R. and Tham, W. W. (2017) "Toxic arbitrage", The Review of Financial Studies, 30, 4, 1053-1094
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Koufopoulos, K. and Kozhan, R. (2016) "Optimal insurance under adverse selection and ambiguity aversion", Economic Theory, 62, 4, 659-687
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Koufopoulos, K. and Kozhan, R. (2014) "Welfare-improving ambiguity in insurance markets with asymmetric information", Journal of Economic Theory, Volume 151, 551-560
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Kozhan, R., Neuberger, A. and Schneider, P. (2013) "The skew risk premium in the equity index market", Review of Financial Studies, Volume 26, Number 9, 2174-2203
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Kozhan, R. and Salmon, M. H. (2012) "The information content of a limit order book : the case of an FX market", Journal of Financial Markets , Vol.15, No.1, 1-28
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Kozhan, R. and Tham, W. W. (2012) "Execution risk in high-frequency arbitrage", Management Science, Volume 58, Number 11, 2131-2149
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Chu, B. M. and Kozhan, R. (2011) "Spurious regressions of stationary AR(p) processes with structural breaks", Studies in Nonlinear Dynamics & Econometrics, Vol.15, No.1
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Kelsey, P., Kozhan, R. and Pang, W. (2011) "Asymmetric momentum effects under uncertainty", Review of Finance, Vol.15, No.3, 603-631
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Roman Kozhan (2011) "Non-additive anonymous games", International Journal of Game Theory, Volume 40, Number 2, 215-230
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Kozhan, R. and Schmid, W. (2009) "Asset allocation with distorted beliefs and transaction costs", European Journal of Operational Research, Vol.194, No.1, 236-249
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Pál, R. and Kozhan, R. (2009) "Firms' investment under financial constraints : a euro area investigation", Applied Financial Economics, Vol.19, No.20, 1611-1624
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Kozhan, R. and Salmon, M. H. (2008) "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation", Journal of Economic Dynamics and Control, Vol.33, No.5, 1106-1122
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Kozhan, R. and Zarichnyi, M. (2008) "Nash equilibria for games in capacities", Economic Theory, Vol.35, No.2, 321-331
Book
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Roman Kozhan (2009) "Financial econometrics - with Eviews", Ventus, Denmark. 9788776814274