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Meet the Researchers

Photo of Oleg V. Sokolinskiy

Oleg V. Sokolinskiy

Senior Economist Monetary and Financial Market Analysis Section Monetary Affairs
202-475-6374
[email protected]

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
  • The Effects of Volatility on Liquidity in the Treasury Market
    Andrew Meldrum and Oleg Sokolinskiy
    Finance and Economics Discussion Series (2023)
    https://doi.org/10.17016/FEDS.2023.028
  • Market Effects of Central Bank Credit Markets Support Programs in Europe
    Yuriy Kitsul, Oleg V. Sokolinskiy, and Jonathan H. Wright
    International Finance Discussion Papers (2022)
    https://doi.org/10.17016/IFDP.2022.1357
  • Equilibrium Rate Analysis of Cash Conversion Systems: The Case of Corporate Subsidiaries
    Weiwei Chen, Benjamin Melamed, Oleg Sokolinskiy, and Ben S. Sopranzetti
    Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (2020)
    https://doi.org/10.1142/9789811202391_0046
  • Stochastic Volatility Models: Faking a Smile
    Dean Diavatopoulos and Oleg Sokolinskiy
    Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (2020)
    https://doi.org/10.1142/9789811202391_0033
  • Conditional Dependence in Post-crisis Markets: Dispersion and Correlation Skew Trades
    Oleg Sokolinskiy
    Review of Quantitative Finance and Accounting (2020)
    https://doi.org/10.1007/s11156-019-00847-y
  • The Risk Management Implications of Using End of Day Consensus Pricing for Single Name CDS
    Tavy Ronen, Oleg Sokolinskiy, and Ben Sopranzetti
    Review of Quantitative Finance and Accounting (2020)
    https://doi.org/10.1007/s11156-019-00843-2
  • Debt Rollover-Induced Local Volatility Model
    Oleg Sokolinskiy
    Review of Quantitative Finance and Accounting (2019)
    https://doi.org/10.1007/s11156-018-0736-3
  • Precautionary Replenishment in Financially-Constrained Inventory Systems Subject to Credit Rollover Risk and Supply Disruption
    Oleg Sokolinskiy, Benjamin Melamed, and Ben Sopranzetti
    Annals of Operations Research (2018)
    https://doi.org/10.1007/s10479-018-3009-6
  • Inventory Management and Endogenous Demand: Investigating the Role of Customer Referrals, Defections, and Product Market Failure
    Oleg Sokolinskiy, Ben Sopranzetti, Dale S. Rogers, and Rudolf Leuschner
    Decision Sciences (2018)
    https://doi.org/10.1111/deci.12316
  • Cash Conversion Systems in Corporate Subsidiaries
    Weiwei Chen, Benjamin Melamed, Oleg Sokolinskiy, and Ben Sopranzetti
    Manufacturing & Service Operations Management (2017)
    https://doi.org/10.1287/msom.2017.0625
  • R-2GAM Stochastic Volatility Model: Flexibility and Calibration
    Cheng-Few Lee and Oleg Sokolinskiy
    Review of Quantitative Finance and Accounting (2015)
    https://doi.org/10.1007/s11156-014-0443-7
  • Comparing the Accuracy of Multivariate Density Forecasts in Selected Regions of the Copula Support
    Cees Diks, Valentyn Panchenko, Oleg Sokolinskiy, and Dick van Dijk
    Journal of Economic Dynamics & Control (2014)
    https://doi.org/10.1016/j.jedc.2014.08.021
Referee
  • Journal of Financial Econometrics
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Last Update: December 1, 2023