We study the price impact of order book events—limit orders, market orders, and
cancellations—using the NYSE Trades and Quotes data for fifty US stocks. We show that, over short …

The role of a dealer in securities markets is to provide liquidity on the exchange by quoting
bid and ask prices at which he is willing to buy and sell a specific quantity of assets. …

We propose a continuous-time stochastic model for the dynamics of a limit order book. The
model strikes a balance between three desirable features: it can be estimated easily from data…

We propose a mean-variance framework to analyze the optimal quoting policy of an option
market maker. The market maker’s profits come from the bid-ask spreads received over the …

… Sasha Stoikov… (Citation2015), Gould and Bonart (Citation2015), Lehalle and Mounjid (Citation2016),
Stoikov and Waeber (Citation2016), Goldstein et al. (Citation2017), Hagstromer (Citation2017) …

… BY JACoB LoVeLess, sAshA stoiKoV, AnD RoLf WAeBeR … Sasha Stoikov is a senior
research associate at Cornell Financial engineering manhattan (CFem) and a former VP in …

Bid and ask sizes at the top of the order book provide information on short-term price moves.
Drawing from classical descriptions of the order book in terms of queues and order-arrival …

We study the one-sided limit order book corresponding to limit sell orders and model it as a
measure-valued process. Limit orders arrive to the book according to a Poisson process and …

We formulate a trade execution problem at the market microstructure level and solve it using
dynamic programming. The objective is to sell a single lot of an asset in a short time horizon …

We study the optimal investment and consumption problem of a CRRA investor when the
drift and volatility of the stock are driven by a correlated factor. The myopic and non‐myopic …