Sasha Stoikov

Cornell Financial Engineering Manhattan

Head of Research

55 Broad street (3rd floor)

New York, NY New York 10005

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 1,587

SSRN RANKINGS

Top 1,587

in Total Papers Downloads

16,088

CITATIONS
Rank 11,859

SSRN RANKINGS

Top 11,859

in Total Papers Citations

34

Scholarly Papers (7)

1.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Rama Cont, Sasha Stoikov and Rishi Talreja
Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 6,055 (641)
Citation 15

Abstract:

High frequency data, limit order book, financial engineering, Laplace transform

2.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Rama Cont, Arseniy Kukanov and Sasha Stoikov
Imperial College London, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 3,158 (1,565)
Citation 15

Abstract:

limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data

3.

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10 Posted: 14 Oct 2010 Last Revised: 11 Oct 2012
Marco Avellaneda, Josh Reed and Sasha Stoikov
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Downloads 1,993 (4,119)
Citation 2

Abstract:

High frequency data, order book modeling, financial engineering, diffusion limit, hidden liquidity, market microstructure

4.

Optimal Asset Liquidation Using Limit Order Book Information

Number of pages: 33 Posted: 20 Jul 2012 Last Revised: 22 Nov 2012
Sasha Stoikov and Rolf Waeber
Cornell Financial Engineering Manhattan and Cornell University - School of Operations Research and Industrial Engineering
Downloads 701 (17,167)

Abstract:

Optimal liquidation, algorithmic trading, transaction costs, market microstructure, high-frequency trading, optimal stopping, trade execution latency, cost of latency

5.

Option Market Making Under Inventory Risk

Review of Derivatives Research, Vol. 12, No. 1, 2009
Number of pages: 28 Posted: 01 Jul 2009
Sasha Stoikov and Mehmet Sa─člam
Cornell Financial Engineering Manhattan and University of Cincinnati - Department of Finance - Real Estate
Downloads 418 (40,549)
Citation 2

Abstract:

Delta, European options, Gamma, Inventory management, Liquidity, Market microstructure, Vega

6.

Reducing Transaction Costs with Low-Latency Trading Algorithms

Number of pages: 14 Posted: 17 Sep 2015
Sasha Stoikov and Rolf Waeber
Cornell Financial Engineering Manhattan and Cornell University - School of Operations Research and Industrial Engineering
Downloads 104 (35,919)

Abstract:

Optimal asset liquidation, algorithmic trading, transaction costs, market microstructure, high-frequency trading, optimal stopping, trade execution, latency, cost of latency, dynamic programming.

7.

The Micro-Price: A High Frequency Estimator of Future Prices

Number of pages: 16 Posted: 19 May 2017 Last Revised: 10 Jun 2017
Sasha Stoikov
Cornell Financial Engineering Manhattan
Downloads 0 (46,367)

Abstract:

Market Microstructure, High-Frequency Trading, Micro-Price, Short Term Price Prediction, Limit Order Book, Liquidity, Trading Volume, Equity Markets, Electronic Markets, High Frequency Data, Financial Engineering