Details about Andrei Kirilenko

Access statistics for papers by Andrei Kirilenko.

Last updated 2019-07-10. Update your information in the RePEc Author Service.

Short-id: pki451

Working Papers

2019

1. A Model of the Optimal Selection of Crypto Assets
   Papers, arXiv.org View citations (1)

2017

2. Risk and Return in High-Frequency Trading
   GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
   See also Journal Article Risk and Return in High-Frequency Trading, Journal of Financial and Quantitative Analysis, Cambridge University Press (2019) View citations (57) (2019)

2012

3. Convective Risk Flows in Commodity Futures Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
   See also Journal Article Convective Risk Flows in Commodity Futures Markets, Review of Finance, European Finance Association (2015) View citations (117) (2015)

2010

4. Are Networks Priced? Network Topology and Order Trading Strategies in High Liquidity Markets
   EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (4)

2006

5. The Rates and Revenue of Bank Transaction Taxes
   OECD Economics Department Working Papers, OECD Publishing View citations (10)

2003

6. A Network Model of Market Prices and Trading Volume
   Computing in Economics and Finance 2003, Society for Computational Economics

Journal Articles

2019

1. Risk and Return in High-Frequency Trading
   Journal of Financial and Quantitative Analysis, 2019, 54, (3), 993-1024 View citations (57)
   See also Working Paper Risk and Return in High-Frequency Trading, GRU Working Paper Series (2017) (2017)

2017

2. The Flash Crash: High-Frequency Trading in an Electronic Market
   Journal of Finance, 2017, 72, (3), 967-998 View citations (191)
3. Trading networks
   Econometrics Journal, 2017, 20, (3), S126-S149 View citations (9)

2015

4. Convective Risk Flows in Commodity Futures Markets
   Review of Finance, 2015, 19, (5), 1733-1781 View citations (117)
   See also Working Paper Convective Risk Flows in Commodity Futures Markets, NBER Working Papers (2012) View citations (47) (2012)
5. Gaussian process-based algorithmic trading strategy identification
   Quantitative Finance, 2015, 15, (10), 1683-1703 View citations (10)

2014

6. How Sharing Information Can Garble Experts' Advice
   American Economic Review, 2014, 104, (5), 463-68 View citations (2)
7. Trading networks and liquidity provision
   Journal of Financial Economics, 2014, 113, (2), 235-251 View citations (24)

2013

8. A multiscale model of high-frequency trading
   Algorithmic Finance, 2013, 2, (1), 59-98 View citations (4)
9. Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents
   Journal of Economic Perspectives, 2013, 27, (2), 51-72 View citations (44)

2000

10. On the endogeneity of trading arrangements
    Journal of Financial Markets, 2000, 3, (3), 287-314 View citations (1)