Sasha Stoikov

1.3k total citations
20 papers, 709 citations indexed

About

Sasha Stoikov is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Sasha Stoikov has authored 20 papers receiving a total of 709 indexed citations (citations by other indexed papers that have themselves been cited), including 15 papers in Finance, 10 papers in Economics and Econometrics and 9 papers in Management Science and Operations Research. Recurrent topics in Sasha Stoikov's work include Financial Markets and Investment Strategies (14 papers), Complex Systems and Time Series Analysis (6 papers) and Stock Market Forecasting Methods (6 papers). Sasha Stoikov is often cited by papers focused on Financial Markets and Investment Strategies (14 papers), Complex Systems and Time Series Analysis (6 papers) and Stock Market Forecasting Methods (6 papers). Sasha Stoikov collaborates with scholars based in United States, United Kingdom and Israel. Sasha Stoikov's co-authors include Marco Avellaneda, Rama Cont, Josh Reed, Thaleia Zariphopoulou, Peter Lakner, Mehmet Sağlam, Yujie Zhou, Xiaocun Lu, Yifei Liu and Han Cui and has published in prestigious journals such as Communications of the ACM, Operations Research and Quantitative Finance.

In The Last Decade

Sasha Stoikov

18 papers receiving 658 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Sasha Stoikov United States 10 503 454 271 47 40 20 709
Charles‐Albert Lehalle France 11 424 0.8× 333 0.7× 217 0.8× 35 0.7× 30 0.8× 36 574
Olivier Guéant France 14 543 1.1× 379 0.8× 237 0.9× 35 0.7× 28 0.7× 36 754
Christian Y. Robert France 12 251 0.5× 225 0.5× 169 0.6× 44 0.9× 27 0.7× 61 498
Akihiko Takahashi Japan 19 1.1k 2.3× 264 0.6× 200 0.7× 33 0.7× 17 0.4× 132 1.3k
Rüdiger Kiesel Germany 18 747 1.5× 518 1.1× 193 0.7× 36 0.8× 9 0.2× 58 1.2k
Emilio Barucci Italy 17 490 1.0× 406 0.9× 88 0.3× 21 0.4× 18 0.5× 90 815
László Gillemot United States 7 387 0.8× 485 1.1× 104 0.4× 13 0.3× 7 0.2× 9 544
Ludger Overbeck Germany 15 621 1.2× 204 0.4× 164 0.6× 37 0.8× 9 0.2× 48 805
Tugkan Tuzun United States 7 778 1.5× 623 1.4× 245 0.9× 34 0.7× 47 1.2× 16 984
Taisei Kaizoji Japan 17 421 0.8× 819 1.8× 167 0.6× 26 0.6× 15 0.4× 55 969

Countries citing papers authored by Sasha Stoikov

Since Specialization
Citations

This map shows the geographic impact of Sasha Stoikov's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Sasha Stoikov with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Sasha Stoikov more than expected).

Fields of papers citing papers by Sasha Stoikov

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Sasha Stoikov. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Sasha Stoikov. The network helps show where Sasha Stoikov may publish in the future.

Co-authorship network of co-authors of Sasha Stoikov

This figure shows the co-authorship network connecting the top 25 collaborators of Sasha Stoikov. A scholar is included among the top collaborators of Sasha Stoikov based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Sasha Stoikov. Sasha Stoikov is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Stoikov, Sasha, et al.. (2023). Interface Design to Mitigate Inflation in Recommender Systems. 897–903.
2.
Lin, Chuyang, et al.. (2020). Using Alternative Date to Predict Key Performance Indicators. SSRN Electronic Journal.
3.
Cui, Han, et al.. (2019). Constructing Equity Portfolios from SEC 13F Data Using Feature Extraction and Machine Learning. 2(1). 45–60. 1 indexed citations
4.
Stoikov, Sasha. (2018). The micro-price: a high-frequency estimator of future prices. Quantitative Finance. 18(12). 1959–1966. 19 indexed citations
5.
Stoikov, Sasha. (2017). The Micro-Price. SSRN Electronic Journal. 3 indexed citations
6.
Lakner, Peter, Josh Reed, & Sasha Stoikov. (2016). High Frequency Asymptotics for the Limit Order Book. 2(1). 1650004–1650004. 13 indexed citations
7.
Stoikov, Sasha, et al.. (2016). Reducing transaction costs with low-latency trading algorithms. Quantitative Finance. 16(9). 1445–1451. 13 indexed citations
8.
Stoikov, Sasha, et al.. (2015). Reducing Transaction Costs with Low-Latency Trading Algorithms. SSRN Electronic Journal. 3 indexed citations
9.
Stoikov, Sasha, et al.. (2013). Online Algorithms in High-frequency Trading. Queue. 11(8). 30–41. 3 indexed citations
10.
Stoikov, Sasha, et al.. (2013). Online algorithms in high-frequency trading. Communications of the ACM. 56(10). 50–56. 12 indexed citations
11.
Stoikov, Sasha, et al.. (2012). Optimal Asset Liquidation Using Limit Order Book Information. SSRN Electronic Journal. 7 indexed citations
12.
Cont, Rama, et al.. (2012). The Price Impact of Order Book Events. SSRN Electronic Journal. 35 indexed citations
13.
Avellaneda, Marco, Josh Reed, & Sasha Stoikov. (2011). Forecasting prices from level-I quotes in the presence of hidden liquidity. RePEc: Research Papers in Economics. 1(1). 35–43. 23 indexed citations
14.
Cont, Rama, et al.. (2010). A Stochastic Model for Order Book Dynamics. Operations Research. 58(3). 549–563. 245 indexed citations
15.
Avellaneda, Marco, Josh Reed, & Sasha Stoikov. (2010). Forecasting Prices in the Presence of Hidden Liquidity. 1 indexed citations
16.
Stoikov, Sasha & Mehmet Sağlam. (2009). Option market making under inventory risk. Review of Derivatives Research. 12(1). 55–79. 4 indexed citations
17.
Cont, Rama, et al.. (2008). A Stochastic Model for Order Book Dynamics. SSRN Electronic Journal. 44 indexed citations
18.
Avellaneda, Marco & Sasha Stoikov. (2008). High-frequency trading in a limit order book. Quantitative Finance. 8(3). 217–224. 266 indexed citations
19.
Stoikov, Sasha. (2006). PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER. International Journal of Theoretical and Applied Finance. 9(8). 1245–1266. 6 indexed citations
20.
Stoikov, Sasha & Thaleia Zariphopoulou. (2005). DYNAMIC ASSET ALLOCATION AND CONSUMPTION CHOICE IN INCOMPLETE MARKETS*. Australian Economic Papers. 44(4). 414–454. 11 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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