Professor of Finance
Director of the Doctoral Programme
Founding Director of the Cambridge Centre for Finance, Technology & Regulation (CCFTR)
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, Professor 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, Professor 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)
Bartolucci, S. and Kirilenko, A. (2020) “A model of the optimal selection of crypto assets.” Royal Society Open Science, 7: 191863 (DOI: 10.1098/rsos.191863)