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Stoikov, Sasha


 SSRN Author Rank: 1,768 by Downloads
 Head of Research
 

Cornell Financial Engineering Manhattan


 55 Broad street (3rd floor)
 New York, NY New York 10005
 United States
 email address

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. Stoikov, Sasha's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
11,540
Total
Citations
38
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Cont, Rama
Imperial College London
Stoikov, Sasha
Cornell Financial Engineering Manhattan
Talreja, Rishi
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
26 Sep 08
Last Revised:
31 Aug 09
5,802
(583)
17

2.  
The Price Impact of Order Book Events | Show Abstract | Download This Paper |
Cont, Rama, Arseniy Kukanov, and Sasha Stoikov. "The Price Impact of Order Book Events." Journal of Financial Econometrics (2013).
Number of Pages in PDF File: 32
Cont, Rama
Imperial College London
Kukanov, Arseniy
AQR Capital Management, LLC
Stoikov, Sasha
Cornell Financial Engineering Manhattan
Posted:
28 Nov 10
Last Revised:
03 Jul 13
2,901
(1,974)
16

3.  
Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity | Show Abstract | Download This Paper |
Algorithmic Finance, Vol. 1, No. 1, 2011
Number of Pages in PDF File: 10
Avellaneda, Marco
New York University (NYU) - Courant Institute of Mathematical Sciences
Reed, Josh
New York University (NYU) - Department of Information, Operations, and Management Sciences
Stoikov, Sasha
Cornell Financial Engineering Manhattan
Posted:
14 Oct 10
Last Revised:
11 Oct 12
1,832
(4,420)
3

4.  
Stoikov, Sasha
Cornell Financial Engineering Manhattan
Waeber, Rolf
Cornell University - School of Operations Research and Industrial Engineering
Posted:
20 Jul 12
Last Revised:
22 Nov 12
616
(24,822)
 

5.  
Option Market Making Under Inventory Risk | Show Abstract | Download This Paper |
Review of Derivatives Research, Vol. 12, No. 1, 2009
Number of Pages in PDF File: 28
Stoikov, Sasha
Cornell Financial Engineering Manhattan
Saglam, Mehmet
University of Cincinnati - Department of Finance - Real Estate
Posted:
01 Jul 09
389
(45,166)
2


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