Sasha Stoikov Head of Research Cornell Financial Engineering Manhattan

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Cornell Financial Engineering Manhattan 2022 Future Of Finance Conference Speaker Profile: Sasha Stoikov Head of Research Cornell Financial Engineering Manhattan

I love solving math problems, especially when they have practical applications. Lately I have been working on high frequency trading and music recommendation algorithms. What do these projects have in common? They use data – in large quantities – to extract value. We live in the golden age of data. Tremendous opportunities and dangers await us. This is going to be very exciting!

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Biography

Sasha Stoikov is a senior research associate at Cornell Financial Engineering Manhattan. Stoikov, who is the son of a former Cornell industrial and labor relations professor, has a BS from MIT and an MA in mathematics from the University of Wisconsin at Madison in addition to his Ph.D. from the University of Texas. Additionally, he has worked in the financial services industry as a consultant for the Galleon Group and Morgan Stanley and as Vice President of the High Frequency Trading Group at Cantor Fitzgerald. Stoikov was also an instructor at New York University’s Courant Institute and a lecturer at Columbia’s IEOR department.

research of interests

His research focuses on market microstructure, market incompleteness and their impact on the optimal strategies of stock and options traders. In particular, his research in quantitative finance focuses on volatility models, the dynamics of limit order books and market making techniques.

Pedagogical interests

I’ve always believed that a good teacher was someone who could turn the driest class into an engaging experience. This is especially true in math and engineering classes, where yawns are far more common than peals of laughter. So I think my duty as a teacher goes beyond the competent explanation of the material; it is essential to present it in an entertaining and interesting way. Lastly, I’ve found it helps if it’s done with a sense of humor. Another way to engage students is to provide them with problems that challenge them. After all, isn’t it the feeling we get after solving a difficult problem that makes us love math?

Selected publications

Selected awards and honors

  • Outstanding Teaching Award in Masters of Engineering Program (ORIE, Cornell University) 2007
  • Morgan Stanley Stock Market Microstructure Research Grant (Morgan Stanley)2007
  • VIGRE Fellow in Mathematics (University of Texas at Austin) 2002
  • Frank Gerth III Teaching Excellence Award 2000

Education

  • BS (Mathematics), Massachusetts Institute of Technology, 1997
  • MS (Mathematics), University of Wisconsin, Madison, 2000
  • Ph.D. (Mathematics), University of Texas at Austin, 2005

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Cornell Financial Engineering Manhattan 2022 Future Of Finance Conference Speaker Profile: Sasha Stoikov Head of Research Cornell Financial Engineering Manhattan

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