Statistics
Publications
11
Citations
1.3K
H-Index
11
Active since
2005
Affiliations
Sasha Stoikov is an author at Cornell University specializing in business, finance, and high-frequency trading.
Publications per year
2005–2018
11
11
High-frequency trading in a limit order book
Marco Avellaneda, Sasha Stoikov · Quantitative Finance · 2008 · 485 citations
A Stochastic Model for Order Book Dynamics
Rama Cont, Sasha Stoikov, Rishi Talreja · Operations Research · 2010 · 473 citations
A Stochastic Model for Order Book Dynamics
Rama Cont, Sasha Stoikov, Rishi Talreja · SSRN Electronic Journal · 2008 · 62 citations · Full text
The Price Impact of Order Book Events
Rama Cont, Arseniy Kukanov, Sasha Stoikov · SSRN Electronic Journal · 2012 · 57 citations · Full text
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