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About City

Polina Kovaleva

PhD student

Department of Economics

E: polina.kovaleva.1@city.ac.uk

T: +44 (0)20 7040 4645

Thesis title: Optimal trading strategies in limit order markets

Supervisor: Professor Giulia Iori

Brief description of research topic

Polina's doctoral research lies in the realm of market microstructure theory - an area of financial economics which examines how the trading behaviour of heterogeneous investors affects the evolution of prices in financial markets.

The issues of price discovery include the role of information, liquidity and market transparency. Polina's study concentrates on optimal execution strategies in non-intermediated public double auction markets; in particular, this project (1) examines the conditions under which trading via limit orders is preferred to using a market order and yields the equilibrium conditions, (2) evaluates limit prices a trader should submit to achieve the maximum level of utility, (3) studies block trading decisions that minimize the price impact risk and the exposure risk, (4) assesses how the learning abilities of traders affect their subsequent strategies, (5) analyses how the proportion of sophisticated traders operating in the market affects the market stability and whether various market architectures can possibly invoke the same outcomes. Answering these questions bears valuable insights both for business and regulation policies.

Research interests

  • Market microstructure
  • Agent-based models
  • Learning mechanisms

Polina has an MSc in Financial Economics from City University London and a BSc in Economics from The Higher School of Economics (Moscow, Russia)


Journal articles

2008 -  'Estimating the rates of return to education in Russia' in: The Review of Applied and Industrial Mathematics,15 (2), 313-327 (in Russian), with Demidova, O

Workshops and Conferences

  • 20th Symposium of the Society for Nonlinear Dynamics and Econometrics: Istanbul, Turkey (April 2012)
  • UCL Finance Conference organized by UCLU Investment Society: London, UK (February, 2012)
  • Institut Louis Bachelier Conference 'Market Microstructure: Confronting Many Viewpoints': Paris, France (December, 2011).
  • ZCCFE Initiative on Computational Economics Summer Workshop: Zurich, Switzerland (September, 2011)
  • Annual EEFS International Conference 'The Global Economy and International Finance': London, UK (June, 2011)
  • Cemmap/ELSE Masterclass 'Market Microstructure and Asset Pricing': London, UK (May, 2011)
  • Vitae London Hub and LSE Course 'Leadership in Action': London, UK (December, 2010)
  • 17th International Conference on Computing in Economics and Finance: London, UK (July, 2010)
  • Cato Institute Summer School 'Global Capitalism and Individual Freedom': Alushta, Ukraine (September, 2007)


ECM013 Financial Derivatives (MSc)
EC1009 Introduction to Macro (BSc)