Sasha Stoikov

Cornell Financial Engineering Manhattan

Senior Research Associate

2 W Loop Rd

New York, NY New York 10044

United States

http://www.sashastoikov.com

  • Cornell Financial Engineering Manhattan

SCHOLARLY PAPERS

10

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24,153

SSRN CITATIONS
Rank 11,374

SSRN RANKINGS

Top 11,374

in Total Papers Citations

71

CROSSREF CITATIONS

37

Ideas:
“  I'm interested in how algorithms can work for and against us  ”

  • Cornell Financial Engineering Manhattan

Scholarly Papers (10)

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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
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 7,851 (911)
Citation 42

Abstract:

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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
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 5,510 (1,694)
Citation 50

Abstract:

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

3.

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

Number of pages: 14 Posted: 19 May 2017 Last Revised: 03 Jun 2020
Sasha Stoikov
Cornell Financial Engineering Manhattan
Downloads 4,018 (2,950)
Citation 6

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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

4.

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 2,819 (5,436)
Citation 2

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

5.

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 1,285 (19,083)
Citation 7

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

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 996 (27,791)
Citation 3

Abstract:

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

7.

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 Saglam
Cornell Financial Engineering Manhattan and University of Cincinnati - Department of Finance - Real Estate
Downloads 745 (41,686)
Citation 1

Abstract:

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

8.

The Microstructure of Cointegrated Assets

Number of pages: 17 Posted: 12 Apr 2021
Sasha Stoikov, Peter Decrem, Yikai Hua and Anne Shen
Cornell Financial Engineering Manhattan, Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan and Cornell Financial Engineering Manhattan
Downloads 423 (85,044)

Abstract:

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microprice, cointegration, microstructure, order books, high frequency trading, algorithmic trading

9.

High Frequency Trading Strategy for the 30 Year Treasury Bond

Number of pages: 30 Posted: 13 Mar 2020
Peter Decrem, Sasha Stoikov, Shuo Shen, Jiaxin Yin, Yikai Hua, Tengxiao Li, Zhengyi Fang, Yunze Huang and Colin Basco
Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University and Cornell University
Downloads 324 (115,110)

Abstract:

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30 Year Treasury Bond, Online Regression, Cointegration, Kalman Filter

10.

Using Alternative Date to Predict Key Performance Indicators

Number of pages: 38 Posted: 05 May 2020
Chuyang Lin, Yiwei Huang, Yibing Tan, Xiaocun Lu, Yujie Zhou, Yifei Liu, Paul Wescott and Sasha Stoikov
Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University, Cornell University - Cornell University and Cornell Financial Engineering Manhattan
Downloads 182 (202,677)

Abstract:

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Clustering, Correlations, Foot Traffic, Key Predictive Indicators, Quantitative Analysis, Fundamental Analysis, Weather Data