Sasha Stoikov Head of Research Cornell Financial Engineering Manhattan
Cornell Financial Engineering Manhattan 2023 Future of Finance Conference
I love to solve math problems, especially when they have practical applications. Lately, I have been working on high-frequency trading and music recommendation algorithms. What do these projects have in common? They use data – lots of it – to extract value. We live in a golden era of data. Tremendous opportunities and dangers are ahead. This is going to be very exciting!
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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. Furthermore, 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. Lastly, 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?
Selected Publications
- Cont, R., Sasha Stoikov, R Talreja. 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 Finance1(1): 35-43.
- Stoikov, Sasha, R. Cont, A. Kukanov. 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 Finance8(3): 217-224.
- Stoikov, Sasha, M Saglam. 2009.“Option Market making under Inventory risk.”Review of Derivatives Research12(11147): 55-79.
Selected 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 Award2000
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
