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Sasha Stoikov
Sasha Stoikov
Senior Research Associate, Cornell University
Verified email at cornell.edu - Homepage
Title
Cited by
Cited by
Year
A stochastic model for order book dynamics
R Cont, S Stoikov, R Talreja
Operations research 58 (3), 549-563, 2010
6072010
High-frequency trading in a limit order book
M Avellaneda, S Stoikov
Quantitative Finance 8 (3), 217-224, 2008
5582008
The price impact of order book events
R Cont, A Kukanov, S Stoikov
Journal of financial econometrics 12 (1), 47-88, 2014
4862014
Forecasting prices from Level-I quotes in the presence of hidden liquidity
M Avellaneda, J Reed, S Stoikov
Algorithmic Finance 1 (1), 35-43, 2011
702011
Option market making under inventory risk
S Stoikov, M Sağlam
Review of Derivatives Research 12, 55-79, 2009
662009
The micro-price: a high-frequency estimator of future prices
S Stoikov
Quantitative Finance 18 (12), 1959-1966, 2018
472018
High frequency asymptotics for the limit order book
P Lakner, J Reed, S Stoikov
Market Microstructure and Liquidity 2 (01), 1650004, 2016
452016
Online algorithms in high-frequency trading
J Loveless, S Stoikov, R Waeber
Communications of the ACM 56 (10), 50-56, 2013
342013
Dynamic asset allocation and consumption choice in incomplete markets
SF Stoikov, T Zariphopoulou
Australian Economic Papers 44 (4), 414-454, 2005
322005
Optimal investments in the presence of unhedgeable risks and under CARA preferences
S Stoikov, T Zariphopoulou
IMA Volume Series, 2005
242005
Reducing transaction costs with low-latency trading algorithms
S Stoikov, R Waeber
Quantitative Finance 16 (9), 1445-1451, 2016
222016
Pricing options from the point of view of a trader
SF Stoikov
International Journal of Theoretical and Applied Finance 9 (08), 1245-1266, 2006
182006
Optimal asset liquidation using limit order book information
S Stoikov, R Waeber
Available at SSRN 2113827, 2012
162012
Evaluating music recommendations with binary feedback for multiple stakeholders
S Stoikov, H Wen
arXiv preprint arXiv:2109.07692, 2021
92021
Online Algorithms in High-frequency Trading: The challenges faced by competing HFT algorithms
J Loveless, S Stoikov, R Waeber
Queue 11 (8), 30-41, 2013
42013
Constructing equity portfolios from sec 13f data using feature extraction and machine learning
A Fleiss, H Cui, S Stoikov, DM DiPietro
The Journal of Financial Data Science, 2019
22019
A model-free backward and forward nonlinear PDEs for implied volatility
P Carr, A Itkin, S Stoikov
arXiv preprint arXiv:1907.07305, 2019
22019
The micro-price
S Stoikov
SSRN Journal. DOI 10, 2017
22017
Forecasting prices in the presence of hidden liquidity
M Avellaneda, J Reed, S Stoikov
Preprint, 2010
22010
Interface design to mitigate inflation in recommender systems
R Shahout, Y Peisakhovsky, S Stoikov, N Garg
Proceedings of the 17th ACM Conference on Recommender Systems, 897-903, 2023
12023
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