Andrei A. Kirilenko

University of Cambridge - Finance

SCHOLARLY PAPERS

21

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34,702

SSRN CITATIONS
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SSRN RANKINGS

Top 3,784

in Total Papers Citations

48

CROSSREF CITATIONS

226

Ideas:
“  The intersection of finance, technology and regulation; fintech; asset pricing, data, and digital technologies; the design of automated financial markets and instruments.  ”

Scholarly Papers (21)

1.

The Flash Crash: High-Frequency Trading in an Electronic Market

Journal of Finance, Forthcoming
Number of pages: 42 Posted: 27 May 2011 Last Revised: 10 Mar 2018
Andrei A. Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun
University of Cambridge - Finance, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 17,183 (156)
Citation 209

Abstract:

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High-Frequency, High Frequency Trading, Algorithmic Trading, Flash Crash, Liquidity, Volatility, Price Impact, May 6, Intermediation, Market Making

2.

Risk and Return in High-Frequency Trading

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 82 Posted: 06 May 2014 Last Revised: 10 Jan 2018
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School and University of Cambridge - Finance
Downloads 4,346 (1,926)
Citation 34

Abstract:

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high-frequency trading, low latency, market microstructure

3.
Downloads 3,796 ( 2,446)
Citation 17

High Frequency Traders and Asset Prices

Number of pages: 30 Posted: 15 Mar 2010 Last Revised: 06 Aug 2019
Jaksa Cvitanic and Andrei A. Kirilenko
California Institute of Technology - Division of the Humanities and Social Sciences and University of Cambridge - Finance
Downloads 2,894 (3,823)
Citation 23

Abstract:

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high-frequency trading, algorithmic trading, asset prices, limit order market

High Frequency Traders and Asset Prices

Number of pages: 30 Posted: 15 Mar 2010
Jaksa Cvitanic and Andrei A. Kirilenko
California Institute of Technology - Division of the Humanities and Social Sciences and University of Cambridge - Finance
Downloads 902 (24,937)
Citation 22

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high frequency trading, algorithmic trading, asset prices, limit order market

4.

Behavior Based Learning in Identifying High Frequency Trading Strategies

Number of pages: 8 Posted: 08 Nov 2011
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, University of Cambridge - Finance, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 1,652 (10,037)
Citation 2

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Limit order book, Inverse Reinforcement Learning, Markov Decision Process, Maximum likelihood, Price impact, High Frequency Trading

5.

Moore's Law vs. Murphy's Law: Algorithmic Trading and Its Discontents

Journal of Economic Perspectives (2013)
Number of pages: 21 Posted: 20 Mar 2013 Last Revised: 22 Jul 2017
Andrei A. Kirilenko and Andrew W. Lo
University of Cambridge - Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,487 (11,874)
Citation 9

Abstract:

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Algorithmic Trading, High Frequency Trading, Financial Regulation, Systemic Risk

6.
Downloads 1,432 ( 12,609)
Citation 9

On the Informational Properties of Trading Networks

Trading Networks, 2017, Econometrics Journal 20(3), S126-S149
Number of pages: 29 Posted: 17 Mar 2009 Last Revised: 06 Aug 2019
Lada Adamic, Celso Brunetti, Jeffrey H. Harris and Andrei A. Kirilenko
University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and University of Cambridge - Finance
Downloads 1,431 (12,360)
Citation 21

Abstract:

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trading networks, financial networks, limit order book, limit order markets

Trading Networks

The Econometrics Journal, Vol. 20, Issue 3, pp. S126-S149, 2017
Number of pages: 24 Posted: 27 Nov 2017
Lada Adamic, Celso Brunetti, Jeffrey H. Harris and Andrei A. Kirilenko
University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and University of Cambridge - Finance
Downloads 1 (688,832)
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Financial forecasting and simulation, Network formation and analysis, Trading volume

7.

A Multiscale Model of High-Frequency Trading

Algorithmic Finance (2013), 2:1, 59-98
Number of pages: 41 Posted: 26 Apr 2012
Richard Sowers, Andrei A. Kirilenko and Xiangqian Meng
University of Illinois at Urbana-Champaign - Department of Mathematics, University of Cambridge - Finance and University of Illinois at Urbana-Champaign
Downloads 1,051 (20,222)
Citation 1

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8.

Discovering the Ecosystem of an Electronic Financial Market with a Dynamic Machine-Learning Method

AFA 2012 Chicago Meetings Paper, Algorithmic Finance 2013, 2:2, 151-165
Number of pages: 16 Posted: 21 Mar 2011 Last Revised: 08 Oct 2013
Shawn Mankad, George Michailidis and Andrei A. Kirilenko
Cornell University, University of Michigan at Ann Arbor and University of Cambridge - Finance
Downloads 669 (38,218)
Citation 1

Abstract:

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Trading Strategies, High Frequency Trading, Machine Learning, Clustering

9.

Latency and Asset Prices

Number of pages: 34 Posted: 09 Jan 2015 Last Revised: 18 Jan 2015
Andrei A. Kirilenko and Gui Lamacie
University of Cambridge - Finance and BM&F BOVESPA
Downloads 603 (43,917)
Citation 6

Abstract:

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Latency, High Frequency Trading, Algorithmic Trading, Automated Markets, Liquidity, Volatility, Volatility of Volatility

10.

Gaussian Process Based Trading Strategy Identification

Number of pages: 39 Posted: 04 May 2012 Last Revised: 04 Dec 2012
Stevens Institute of Technology, University of Virginia - Systems Engineering, University of Virginia, Dept. of System & Information Engineering, University of Virginia and University of Cambridge - Finance
Downloads 545 (49,990)
Citation 2

Abstract:

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Inverse Reinforcement Learning, Gaussian Process, High Frequency Trading, Algorithmic Trading, Behavioral Finance, Markov Decision Process

11.

Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank Algorithm

Robert H. Smith School Research Paper
Number of pages: 20 Posted: 12 Jan 2014 Last Revised: 30 Jun 2014
Andrei A. Kirilenko, Shawn Mankad and George Michailidis
University of Cambridge - Finance, Cornell University and University of Michigan at Ann Arbor
Downloads 506 (54,968)
Citation 1

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12.

How Your Counterparty Matters: Using Transaction Networks to Explain Returns in CCP Marketplaces

Number of pages: 47 Posted: 30 Apr 2010 Last Revised: 31 Jan 2012
Ethan Cohen-Cole, Andrei A. Kirilenko and Eleonora Patacchini
Econ One Research, University of Cambridge - Finance and Einaudi Institute for Economics and Finance (EIEF)
Downloads 423 (68,510)
Citation 3

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Financial networks, systemic risk, interconnections, network centrality, spatial autoregressive models, trading limits

13.

Securities Transaction Taxes and Financial Markets

IMF Working Paper No. 01/51
Number of pages: 30 Posted: 29 Jan 2006
Karl Habermeier and Andrei A. Kirilenko
International Monetary Fund (IMF) and University of Cambridge - Finance
Downloads 277 (110,626)

Abstract:

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securities transaction taxes, capital controls

14.

On Latency and Volatility

Number of pages: 20 Posted: 21 Jun 2015
Andrei A. Kirilenko and Richard Sowers
University of Cambridge - Finance and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 174 (173,456)

Abstract:

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15.

Automation, Intermediation and the Flash Crash

Journal of Investment Management, Forthcoming
Number of pages: 22 Posted: 17 Feb 2018
Andrei A. Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun
University of Cambridge - Finance, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 164 (182,553)
Citation 1

Abstract:

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High-Frequency, Automation, Volatility, Flash Crash, Intermediation, Market Making

16.

The Rates and Revenue of Bank Transaction Taxes

OECD Working Paper, No. 494
Number of pages: 28 Posted: 29 Jul 2010
PREDICEPERU, OECD and University of Cambridge - Finance
Downloads 141 (206,979)
Citation 1

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Bank transaction tax, bank debit tax, tax productivity

17.
Downloads 118 (237,690)
Citation 9

Convective Risk Flows in Commodity Futures Markets

Forthcoming, Review of Finance, AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 07 Mar 2012 Last Revised: 09 Sep 2014
Ing-Haw Cheng, Andrei A. Kirilenko and Wei Xiong
Dartmouth College - Tuck School of Business, University of Cambridge - Finance and Princeton University - Department of Economics
Downloads 78 (314,946)
Citation 7

Abstract:

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systemic risk, commodity index traders, hedging pressure

Convective Risk Flows in Commodity Futures Markets

NBER Working Paper No. w17921
Number of pages: 61 Posted: 25 Mar 2012
Ing-Haw Cheng, Andrei A. Kirilenko and Wei Xiong
Dartmouth College - Tuck School of Business, University of Cambridge - Finance and Princeton University - Department of Economics
Downloads 40 (436,359)

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18.

How Better Information Can Reduce the Credibility of Experts' Advice

American Economic Review: Papers & Proceedings 2014, 104(5): 463–468 http://dx.doi.org/10.1257/aer.104.5.463
Number of pages: 41 Posted: 24 Nov 2010 Last Revised: 06 Aug 2019
Matthew Elliott, Benjamin Golub and Andrei A. Kirilenko
Cambridge University, Stanford Graduate School of Business and University of Cambridge - Finance
Downloads 76 (316,650)

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Experts, Committee, Coarse Information, Delegation, Limited Liability, Commitment

19.

Securities Transaction Taxes and Financial Markets

IMF Working Paper No. 01/51
Number of pages: 30 Posted: 11 Aug 2009
Karl Friedrich Habermeier and Andrei A. Kirilenko
affiliation not provided to SSRN and University of Cambridge - Finance
Downloads 59 (362,157)
Citation 1

Abstract:

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Taxes, Bonds, Capital markets, Capital controls

20.

On the Endogeneity of Trading Arrangements

Journal of Financial Markets
Posted: 11 Jul 2000
Andrei A. Kirilenko
University of Cambridge - Finance

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Valuation and Control in Venture Finance

Journal of Finance
Posted: 03 Jul 2000
Andrei A. Kirilenko
University of Cambridge - Finance

Abstract:

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Valuation and Control in Venture Finance

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 04 Nov 2009
Andrei A. Kirilenko
University of Cambridge - Finance

Abstract:

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Adverse selection, Startups, Venture capitalists, Bargaining, Control rights, Firm financing, Risk management