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Andrei Kirilenko

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Andrei Kirilenko.

Reader in Finance

PhD (University of Pennsylvania)

Research interests

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

Subject group: Finance

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)

Journal articles

Kirilenko, A.A. and Lo, A.W. (2013) "Moore's law versus Murphy's law: algorithmic trading and its discontents." Journal of Economic Perspectives, 27(2): 51-72 (DOI: 10.1257/jep.27.2.51)

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)

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)

Cheng, I.-H., Kirilenko, A. and Xiong, W. (2016) "Convection risk flows in commodity futures markets." Review of Finance, 19(5): 1733-1781 (DOI: 10.1093/rof/rfu043)

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)

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)

Financial Times: Volatility: how ‘algos’ changed the rhythm of the market

“It was a wake-up call,” says Andrei Kirilenko, former chief economist at the Commodity Futures Trading Commission who wrote the US regulator’s …

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Raconteur: Cryptocurrency: restoring reputation for the future

If change is to come, Dr Andrei Kirilenko, director of the Centre for Global Finance and Technology at Imperial College Business School …

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The Telegraph: What can blockchain technology offer business?

It’s early days for blockchain adoption, but academics have also spotted its potential. Professor Andrei Kirilenko of the centre for global finance …

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The Guardian: The eight technologies every entrepreneur should know about

Blockchain is best known as the ledger that records all bitcoin transactions. But entrepreneurs have spotted there are many uses of blockchain …

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The New Yorker: New ways to crash the market

In the popular imagination, investing is about economic fundamentals. Investors scrutinize companies, weighing factors like cash flow, product lineup, and merger plans. …

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Financial Times: Digital world offers opportunities to break the job mould

Andrei Kirilenko, head of Imperial College’s Centre for Global Finance and Technology, believes technology will alter things a great deal for women, …

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The New York Times: All public comments are welcome. Then what?

Do federal regulators really pay attention to public comments before they adopt new rules? A group of researchers says it has developed …

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The Wall Street Journal: Do regulators listen to public? Study says yes

A trio of math and finance professors has created a computerized program to test whether regulators listen to the public when crafting …

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Contact details

Andrei Kirilenko
Cambridge Judge Business School
University of Cambridge
Trumpington Street
Cambridge CB2 1AG
UK

Tel: +44 (0)1223 765484

a.kirilenko@jbs.cam.ac.uk