Sasha Stoikov, Senior Research Associate at Cornell Financial Engineering Manhattan (CFEM), will give the following talk on Thursday, April 15th at 9:30 AM EST.
*Kindly note that we have changed the time to 9:30 AM on Thursdays. The new time change allows our invited international guests to join these important virtual talks.
Meeting ID: 942 9844 6763
Password: FREBQESS
Title
The Microstructure of Cointegrated Assets
Abstract
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.
Bio
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.