Biography
Sasha Stoikov is a senior research associate at Cornell financial engineering Manhattan. Stoikov, who is the son of a former professor of Industrial and Labor Relations at Cornell, holds a B.S. from MIT and a M.S. in mathematics from the University of Wisconsin, Madison in addition to his Ph.D. from the University of Texas. He has worked in the financial services industry as a consultant for the Galleon Group and Morgan Stanley and as a VP in the High Frequency Trading group at Cantor Fitzgerald. Stoikov was also an instructor at the Courant Institute of New York University and a lecturer at Columbia’s IEOR department.
Research Interests
His research is in market microstructure, market incompleteness and their impact on the optimal strategies of stock and option traders. In particular, his quantitative finance research focuses on models of volatility, dynamics of limit order books and market-making techniques.
Teaching Interests
I have always felt that a great teacher was someone who could turn the driest course into an engaging experience. This is particularly true in mathematics and engineering classes, where yawns are much more common than bursts of laughter. I therefore think that my duty as a teacher goes beyond competently explaining the material; it is essential to present it in an entertaining and interesting way. I have found that it helps if it is done with a sense of humor. Another way of engaging students is to offer them problems that challenge them. After all, isn’t the feeling we get after solving a difficult problem what makes us love math?
Select Publications
-
. 2010.“A Stochastic model for order book dynamics.”Operations Research58(3): 549-563.
-
Avellaneda, M., J. Reed, Sasha Stoikov. 2011. “Forecasting prices form level 1 quotes in the presence of hidden liquidity.” Algorithmic Finance 1(1): 35-43.
-
. 2014.“The Price Impact of Order Book Events.” Journal of Financial Econometrics12(1): 47-88.
-
Stoikov, Sasha, M Avellaneda. 2008. “High-frequency trading in a limit order book.” Quantitative Finance 8(3): 217-224.
-
Stoikov, Sasha, M Saglam. 2009. “Option Market making under Inventory risk.” Review of Derivatives Research 12(11147): 55-79.
Select Awards and Honors
- Outstanding Teaching Award in the Masters of Engineering Program(ORIE, Cornell University) 2007
- Morgan Stanley Equity Market Microstructure Research Grant(Morgan Stanley) 2007
- VIGRE Fellow in Mathematics(The University of Texas at Austin) 2002
- Frank Gerth III Teaching Excellence Award 2000
Education
- B.S. (Mathematics), Massachusetts Institute of Technology 1997
- M.S. (Mathematics), University of Wisconsin, Madison 2000
- Ph.D. (Mathematics), The University of Texas at Austin 2005
