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Sasha Stoikov

Affiliation

Cornell University (Operations Research and Information Engineering). Also affiliated with industry research in high-frequency trading and market making.

Key contributions

  • Avellaneda-Stoikov market making model (with Marco Avellaneda, 2008) — the canonical stochastic optimal control model of market making. A market maker posts bid and ask quotes dynamically to maximise expected utility, accounting for inventory risk. Widely used by practitioners.
  • Order Flow Imbalance — co-invented with Cont and Kukanov; empirical validation that OFI drives short-horizon price changes (price-impact-order-book-events).
  • Mid-price prediction — work on using LOB features to predict short-horizon price direction.

Notable papers (in this wiki)

Connections