Sasha Stoikov
School of Operations Research and Information Engineering
Cornell Financial Engineering Manhattan

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Publications

• Optimal Asset Liquidation Using Limit Order Book Information
  (with Rolf Waeber) Working paper
• The price impact of order book events
  (with R.Cont and A. Kukanov) To appear in Journal of Financial Econometrics
• Forecasting prices in the presence of hidden liquidity
  (with M.Avellaneda and J.Reed) Algorithmic Finance, Vol. 1, No. 1 (2011), pp. 35-43.
• A stochastic model for order book dynamics
  (with R.Talreja and R.Cont) Operations Research, Vol. 58, No. 3, May-June 2010, pp. 217-224
• Option market making under inventory risk
  (with M.Saglam), Review of Derivatives Research, Vol. 12, No. 1,2009, pp. 55-79.
• High-frequency trading in a limit order book
  (with M.Avellaneda), Quantitative Finance, Vol. 8, No. 3, 217-224, 2008
• Option pricing from the point of view of a trader
  International Journal of Theoretical and Applied Finance, Vol. 9, No. 8, 1245-1243, 2006
• Dynamic asset allocation and consumption in incomplete markets
  (with T.Zariphopoulou) Australian Economic Papers, 44(4), 414-454, 2005
• Optimal investments in the presence of unhedgeable risks and under CARA preferences (with T.Zariphopoulou) Working paper