Associate Professor, Finance
Dr. Isaenko joined the Department of Finance in 2003 from the Wharton School where he received his PhD in 2003. Dr. Isaenko also holds a Master's degree from the Moscow Engineering and Physics Institute 1993, and a PhD from the University of Pennsylvania in Physics, which he received in 1998. He has publications in prestige Finance and Physics Journals.
PhD (University of Pennsylvania)
View Sergey Isaenko's CV
In financial economics:
1. Short-Term Reversal and the Frequency ofTime-Series, The QuarterlyReview of Economics and Finance, forthcoming.
2. Transaction Costs, Frequent Trading, andStock Prices, Journal of Financial Markets,forthcoming.
3. Slow-Moving Capital and Stock Returns. 2020. QuantitativeFinance, 20, 969-984
4. Mean-RevertingStrategy in the Presence of Proportional Transaction Costs and Delays inCapital Allocations. 2018. QuantitativeFinance, 18, 2051-2065
5. Equilibrium Theory of Stock Market Crashes.Journal of Economic Dynamics and Control, 2015, 60, 73-94
6. Stock Market Crises, Background Risk andLiquidity Premium (with Rui Zhong). QuantitativeFinance, 2015, 15, 79-90.
7. Portfolio Choice under Transitory Price Impact.2nd place prize for the “Best Paper in theAsset Allocation Symposium” category at European Finance Associationmeeting, Zurich, Switzerland, Journal of Economic Dynamics and Control. 2010,34, 2375-2389
8. Optimal Dynamic Trading Strategies withRisk Limits (with Domenico Cuoco and Hua He), (2002 FAME Research Prize for thebest new research paper in the fields of asset management and financialengineering, Geneva, Switzerland). Operations Research, 2008, 56, 358-368.
9. The Term Structure of Interest rate in anEconomy where Investors have Heterogeneous Recursive Preferences. TheQuarterly Review of Economics and Finance, 2008, 48, 457-481.
10. On the Super-Replicating Approach whenTrading a Derivative is limited. Quantitative Finance, 2008,Vol. 8, No. 3,285–297.
11. Dynamic Equilibrium with Overpriced PutOptions. Selected to top 10% of the papers at FMA conference 2006 in Utah. EconomicNotes, 2007, 36, 1-26.
14. Diamagneticsusceptibility of a weakly inhomogeneous degenerate electron gas: correctionsto the Landau value. (With Y. Lozovik and A. Oparin). Physics Letters A,Volume 192, issues 5-6, 1994, 397-400
15. Studies of grazing incidence reflectionof nuclear γ–radiation from 57Fe film. (With A.I. Chumakov, S.I. Shinkarev). PhysicsLetters A, Volume 186, issue 4, 1994, 274-278
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