Photo of Oleg V. Sokolinskiy

Oleg V. Sokolinskiy

Education

  • Ph.D., Economics, Erasmus University Rotterdam, 2011
  • M.Phil., Economics, Tinbergen Institute / Erasmus University Rotterdam, 2008
Current Research Topics
  • Liquidity in the Treasury market
  • Market making. Trade execution algorithms
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2019 - present
  • Lecturer (Assistant Professor)

    Rutgers Business School - Newark and New Brunswick

    2018 - 2019
  • Assistant Professor

    Rutgers Business School - Newark and New Brunswick

    2011 - 2018
  • Sokolinskiy, Oleg (2020). "Conditional Dependence in Post-crisis Markets: Dispersion and Correlation Skew Trades," Review of Quantitative Finance and Accounting, vol. 55, no. 2, pp. 389-426.
  • Diavatopoulos, Dean, and Oleg Sokolinskiy (2020). "Stochastic Volatility Models: Faking a Smile," in Cheng Few Lee, and John C. Lee (eds.). Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, (vol. 2, pp. 1271-1293). New Jersey: World Scientific.
  • Chen, Weiwei, Benjamin Melamed, Oleg Sokolinskiy, and Ben S. Sopranzetti (2020). "Equilibrium Rate Analysis of Cash Conversion Systems: The Case of Corporate Subsidiaries," in Cheng Few Lee, and John C. Lee (eds.). Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (vol. 2, pp. 1725-1762). New Jersey: World Scientific.
  • Ronen, Tavy, Oleg Sokolinskiy, and Ben Sopranzetti (2020). "The Risk Management Implications of Using End of Day Consensus Pricing for Single Name CDS," Review of Quantitative Finance and Accounting, vol. 55, no. 1, pp. 269-304.
  • Sokolinskiy, Oleg (2019). "Debt Rollover-Induced Local Volatility Model," Review of Quantitative Finance and Accounting, vol. 52, no. 4, pp. 1065-1084.
  • Sokolinskiy, Oleg, Benjamin Melamed, and Ben Sopranzetti (2018). "Precautionary Replenishment in Financially-Constrained Inventory Systems Subject to Credit Rollover Risk and Supply Disruption," Annals of Operations Research, vol. 271, pp. 971-997.
  • Sokolinskiy, Oleg, Ben Sopranzetti, Dale S. Rogers, and Rudolf Leuschner (2018). "Inventory Management and Endogenous Demand: Investigating the Role of Customer Referrals, Defections, and Product Market Failure," Decision Sciences, vol. 50, no. 1, pp. 118-141.
  • Chen, Weiwei, Benjamin Melamed, Oleg Sokolinskiy, and Ben Sopranzetti (2017). "Cash Conversion Systems in Corporate Subsidiaries," Manufacturing & Service Operations Management, vol. 19, no. 4, pp. 509-712.
  • Lee, Cheng-Few, and Oleg Sokolinskiy (2015). "R-2GAM Stochastic Volatility Model: Flexibility and Calibration," Review of Quantitative Finance and Accounting, vol. 45, no. 3, pp. 463-483.
  • Diks, Cees, Valentyn Panchenko, Oleg Sokolinskiy, and Dick van Dijk (2014). "Comparing the Accuracy of Multivariate Density Forecasts in Selected Regions of the Copula Support," Journal of Economic Dynamics and Control, vol. 48, pp. 79-94.
Referee
  • Journal of Financial Econometrics
Last update: January 18, 2022