Sasha Stoikov

Cornell University - Ithaca / United States

Economics & Econometrics / Accounting & Finance

AD Scientific Index ID: 1293598

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Sasha Stoikov's MOST POPULAR ARTICLES

1-) A stochastic model for order book dynamicsR Cont, S Stoikov, R TalrejaOperations research 58 (3), 549-563, 20105432010

2-) High-frequency trading in a limit order bookM Avellaneda, S StoikovQuantitative Finance 8 (3), 217-224, 20084772008

3-) The price impact of order book eventsR Cont, A Kukanov, S StoikovJournal of financial econometrics 12 (1), 47-88, 20143872014

4-) Forecasting prices from Level-I quotes in the presence of hidden liquidityM Avellaneda, J Reed, S StoikovAlgorithmic Finance 1 (1), 35-43, 2011672011

5-) Option market making under inventory riskS Stoikov, M SağlamReview of Derivatives Research 12, 55-79, 2009672009

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