Sasha Stoikov Returns to Head Research at Cornell Financial Engineering Manhattan (CFEM)

Sasha Stoikov, a 2005 Ph.D. mathematics graduate of the University of Texas at Austin, is returning to ORIE as Head of Research for Cornell Financial Engineering Manhattan (CFEM), ORIE's activity at 55 Broad Street in the Wall Street district. He will advise Financial Engineering Masters projects and conduct research projects in collaboration with the financial services industry.

Stoikov returns to Cornell after a year as a lecturer in the School of Engineering and Applied Science at Columbia University. His research focuses on market microstructure, incomplete markets, and their impact on the optimal strategies of stock and option traders. Cornell’s Johnson Graduate School of Management professor Maureen O’Hara defines market microstructure as “the study of how specific trading mechanisms affect the price formation process.” The study of incomplete markets avoids the simplifying assumption of classical economics that it is always possible to construct and execute an insurance contract to protect against any state-of-the-world at any future time.

During his year at ORIE in Ithaca, Stoikov taught both semesters of the two semester “Financial Engineering with Stochastic Calculus” course, and was chosen as the outstanding teacher of the year by the Master of Engineering students. He advised a multi-team Master of Engineering project for Merrill Lynch that resulted in a report called “Trading for Dummies. Zero-Intelligence Agents in Artificial Market Simulations.” The project teams also delivered a Java application that simulates the dynamics of limit order books, which are now the standard medium for carrying out transactions in electronic markets.

Stoikov, who is the son of a former professor of Industrial and Labor Relations at Cornell, holds a BS from MIT in mathematics with a minor in economics and a MS in mathematics from the University of Wisconsin, Madison in addition to his Ph.D. from the University of Texas. He has worked in the financial services industry as a consultant for a quantitative hedge fund at the Galleon Group and for Morgan Stanley, through an Equity Market Microstructure Research Grant. Stoikov was also an instructor at the Courant Institute of New York University following completion of his Ph.D. degree.

"Thanks to its presence in downtown Manhattan," said Stoikov, "ORIE has created a unique environment for faculty, students and Wall Street practitioners to interact and work on important applied financial engineering research. I am very excited to be a part of this effort to build a bridge between academia and industry."

CFEM Director Victoria Averbukh said: “I am very happy to welcome Sasha to CFEM. As CFEM enters its second year, we are taking another leap and are ready to expand our involvement with Wall Street community. Adding to our focus or the past year predominately on Master of Engineering students, in the next 12 months we plan to expand and strengthen our research relationship with the financial industry. Sasha’s talent and expertise will be instrumental in achieving this new goal.”

Adds ORIE Director James Renegar, "we are delighted that Sasha has agreed to return to ORIE and undertake the important job of expanding our industry research activity."

In addition to the research initiative, Stoikov will adivse Master of Engineering projects this fall for companies such as Goldman Sachs Asset Management and the Royal bank of Canada as clients.  Project teams will deal on problems in portfolio optimization, modeling of the optimal rate at which assets in a portfolio should turn over, extracting value from the markets for Exchange Traded Funds, and modeling the spread, or difference, between the interest rate for borrowing funds and the interest rate earned on funds.