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
  • High Frequency Trading and Econometrics
  • Liquidity, Natural Langauge Processing
  • 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
  • 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.
  • 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.
  • 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.
  • Diavatopoulos, D, and Sokolinskiy Oleg (forthcoming). "Stochastic Volatility Models: Faking a Smile," Handbook of Financial Econometrics, Mathematics, Statistics, and Technology, World Scientific.
Last update: November 20, 2019