Brooklyn Quant Experience Lecture Series: Sasha Stoikov
Meeting ID: 942 9844 6763
The Department of Finance and Risk Engineering welcomes Sasha Stoikov, Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM), to the BQE Lecture Series.
The Microstructure of Cointegrated Assets
I will present a generalization of the micro price to multiple assets. This yields a notion of fair prices, as a function of the observable state of multiple order books. I will show how to compute the microprices of two highly cointegrated assets, using Level-1 data collected on Interactive Brokers. I will then test the model by designing an execution algorithm based on this two-dimensional microprice and show that it can save half of the bid-ask spread cost.
Sasha Stoikov has 15 years of experience at the interface of academia, startups, and the financial industry. He is a Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM) and was a VP of High Frequency Trading at Cantor Fitzgerald. He has also launched a music tech startup called PIKI.