Sasha Stoikov

Economics and Econometrics · 2008–2010

A researcher in the Science corpus: 3 papers; trusts 13 researchers and is trusted by 20 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 32 citations into it; #3,304 of 23,481 by trust here, #6,370 by citations
• Finance — 28 citations into it; #1,581 of 10,518 by trust here, #2,516 by citations
• Management Science and Operations Research — 6 citations into it; #1,770 of 11,946 by trust here, #3,047 by citations

Whom Sasha Stoikov trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jean-Philippe Bouchaud
2. Philipp Weber
3. Eric Smith
4. Marc Potters
5. Aurélien Alfonsi
6. Bernd Rosenow

Who trusts Sasha Stoikov overall

1. Rama Cont
2. Adrien de Larrard
3. Á. Cartea
4. Alec N. Kercheval
5. Justin A. Sirignano
6. Matthew F. Dixon
7. Simon Clinet
8. Ben M. Hambly
9. Olivier Guéant
10. Antje Fruth

Papers from Sasha Stoikov's perspective

Ordered by how strongly the researchers Sasha Stoikov trusts endorse each paper. Same corpus, a different order for every researcher.

1. Statistical properties of stock order books: empirical results and models
2. Order book approach to price impact
3. Liquidity and Asset Prices
4. Optimal execution strategies in limit order books with general shape functions
5. The Long Memory of the Efficient Market
6. A theory of power-law distributions in financial market fluctuations (Nature)
7. The power of patience: a behavioural regularity in limit-order placement
8. Price fluctuations from the order book perspective - empirical facts and a simple model
9. More Statistical Properties of Order Books and Price Impact
10. Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes

Their papers

• High-frequency trading in a limit order book (2008) — 553 citations
• A Stochastic Model for Order Book Dynamics (2010) — 500 citations
• The Price Impact of Order Book Events (2010) — 431 citations