Andrei Kirilenko

Senior Research Fellow at Imperial College London

Associate Professor (Reader) of Finance at Cambridge Judge Business School Executive Education

Schools

  • Cambridge Judge Business School Executive Education
  • Imperial College London

Links

Biography

Imperial College London

Summary

Andrei Kirilenko is the Director of the Centre for Global Finance and Technology at the Imperial College Business School.

Prior to joining Imperial in August 2015, he was Professor of the Practice of Finance at the MIT Sloan School of Management and Co-Director of the MIT Center for Finance and Policy. Professor Kirilenko''s work focuses on the intersection of finance, technology and regulation. He is a recognized world expert on technology in markets, including algorithmic and high frequency trading. He is also an intellectual leader on the principles of regulation of automated financial markets.

Before MIT Sloan, Professor Kirilenko served as Chief Economist of the U.S. Commodity Futures Trading Commission (CFTC) between December 2010 and December 2012. In his capacity as Chief Economist, Kirilenko has been instrumental in using modern analytical tools and methods to improve the Commission''s ability to develop and enforce an effective regulatory regime in automated financial markets. In 2010, Kirilenko was the recipient of the CFTC Chairman''s Award for Excellence (highest honor). 

Prior to joining the CFTC, Kirilenko spent twelve years at the International Monetary Fund working on global capital markets issues. His scholarly work has appeared in a number of peer-refereed journals and received multiple best-paper awards.  Kirilenko received his PhD in Economics from the University of Pennsylvania, where he specialized in Finance.

Publications:

The Flash Crash: High Frequency Trading in an Electronic Market (with Albert Kyle, Tugkan Tuzun, and Mehrdad Samadi), 2017, forthcoming in the Journal of Finance.

Trading Networks (with Lada Adamic, Celso Brunetti, and Jeffrey Harris), 2017, forthcoming in the Econometrics Journal.

Genetic Programming Optimization for a Sentiment Feedback Strength-based Trading Strategy (with Steve Y. Yang, Sheung Yin Kevin Mo, and Anqi Liu), 2016, forthcoming in Neurocomputing.

Risk Convection in Commodity Futures Markets (with Ing-Haw Cheng and Wei Xiong), 2015, Review of Finance 19 (5), 1733-1781.

Gaussian Process-Based Algorithmic Trading Strategy Identification (with Steve Yang, Qifeng Qiao, Peter Beling, and William Scherer), 2015, Quantitative Finance.

How Sharing Information Can Garble Experts’ Advice (with Matthew Elliott and Benjamin Golub), 2014, American Economic Review: Papers & Proceedings 104 (5), 463-468.

Trading Networks and Liquidity Provision (with Ethan Cohen-Cole and Eleonora Patacchini), 2014, Journal of Financial Economics 113 (2), 235-251.

Moore''s Law versus Murphy''s Law: Algorithmic Trading and Its Discontents (with Andrew W. Lo), 2013, Journal of Economic Perspectives 27 (2), 51-72.

A Multi-Scale Model of High Frequency Trading (with Carmen Meng and Richard Sowers), 2013, Algorithmic Finance 2 (1), 59-98.

Discovering the Ecosystem of an Electronic Financial Market with a Dynamic Machine-Learning Method (with Shawn Mankad and George Michailidis), 2013, Algorithmic Finance 2(2), 151-165.

"Behavior-Based Learning in Identifying High Frequency Trading Strategies" (with Steve Yang, Mark Paddrik, Roy Lee Hayes, Andrew Todd, Peter Beling and William Scherer), 2012, IEEE Computational Intelligence in Financial Engineering and Economics.

Securities Transaction Taxes and Financial Markets (with Karl Habermeier), 2003, IMF Staff Papers, Vol. 50, 165-180.

Valuation and Control in Venture Finance, 2001, Journal of Finance 56 (2), 565-587.

On the Endogeneity of Trading Arrangements, 2000, Journal of Financial Markets 3, 287-31.

Cambridge Judge Business School Executive Education

Research interests

The intersection of finance, technology and regulation; fintech; asset pricing, data, and digital technologies; the design of automated financial markets and instruments.

Professional experience

From 2010 to 2012, Dr Kirilenko served as Chief Economist of the US Commodity Futures Trading Commission (CFTC), where he used modern analytical tools and methods to design and enforce an effective regulatory regime of financial markets. Before CFTC Andrei spent 12 years at the International Monetary Fund working on financial crises around the world.

Previous appointments

Between August 2015 and July 2019, Dr Kirilenko was the Founding Director of the Centre for Global Finance and Technology at the Imperial College Business School. Prior to joining Imperial in August 2015, he was a Professor of the Practice of Finance at MIT Sloan and Co-Director of the MIT Center for Finance and Policy between January 2013 and August 2015.

Awards & honours

  • Harry Markowitz Special Distinction Award, Journal of Investment Management, 2018
  • Best Paper Award, The JP Morgan International Commodities Symposium, 2018
  • The Future of Finance Award, Centre for Finance, Technology and Entrepreneurship, 2018
  • Best Paper Award, Financial Management Association European Conference, 2012
  • Roger F. Murray First Prize for Excellence in Quantitative Research in Finance, Q Group, 2011
  • CFTC Chairman’s Award for Excellence (highest honour), 2010

Selected publications

Here are a selection of Andrei Kirilenko’s publications. Please see the “Selected publications” tab above for a more comprehensive list.

Baron, M., Brogaard, J., Hagströmer, B. and Kirilenko, A. (2019) “Risk and return in high-frequency trading.” Journal of Financial and Quantitative Analysis, 54(3): 993-1024 (DOI: 10.1017/S0022109018001096)

Kirilenko, A., Kyle, A.S., Samadi, M. and Tuzun, T. (2017) “The flash crash: high frequency trading in an electronic market.” Journal of Finance, 72(3): 967-998 (DOI: 10.1111/jofi.12498)

Cheng, I.-H., Kirilenko, A. and Xiong, W. (2016) “Risk convection in commodity futures markets.” Review of Finance, 19(5): 1733-1781 (DOI: 10.1093/rof/rfu043)

Yang, S.Y., Qiao, Q., Beling, P.A., Scherer, W.T. and Kirilenko, A.A. (2015) “Gaussian process-based algorithmic trading strategy identification.” Quantitative Finance, 15(10): 1683-1703 (DOI: 10.1080/14697688.2015.1011684)

Elliott, M., Golub, B. and Kirilenko, A. (2014) “How sharing information can garble experts’ advice.” American Economic Review, 104(5): 463-468 (DOI: 10.1257/aer.104.5.463)

Cohen-Cole, E., Kirilenko, A. and Patacchini, E. (2014) “Trading networks and liquidity provision.” Journal of Financial Economics, 113(2): 235-251 (DOI: 10.1016/j.jfineco.2014.04.007)

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