Nikita Korolko
Nikita
ABOUT ME

I am a quantitative researcher at Citadel Securities in Central Risk Book team. My projects are in:
- Design and optimization of trading strategies;
- Alpha search and alternative data mining;
- Portfolio optimization.


Prior to Citadel, I was a data scientist at Uber (Marketplace Optimization team). I got my PhD in Operations Research at Massachusetts Institute of Technology under supervision of Professors Dimitris Bertsimas and Patrick Jaillet. Expertise areas:
- Robust and adaptive optimization;
- Data-driven decision making under uncertainty;
- Applications in optimal resource allocation, experimental design and logistics.
PhD Thesis: A Robust Opimization Approach to Online Problems

  • Computer skills
    Python, R, C/C++, Julia, SQL, Matlab
  • Languages
    English, Russian, Spanish (basic)
  • Website
Contact Me Download Resume
MY EXPERTISE
Optimization

(Non)Linear, (Non)Convex, Mixed-Integer, Robust, Stochastic, Adaptive, Combinatorial Optimization; Heuristics.

Programming

Languages: Python, R, C/C++, Matlab, Hadoop, SQL, Julia/JuMP, HTML, Gurobi/CPLEX.
Examples: GitHub.

Data Science

Machine learning, data mining, statistical inference, predictive and prescriptive analytics.

Visualization

Descriptive analytics, data-driven insights using Python, R and Matlab visualization packages.


Publications

Dynamic Pricing and Matching in Ride-Hailing Platforms

+ C. Yan, H. Zhu, D. Woodard

Naval Research Logistics, 2019

Covariate-Adaptive Optimization in Online Clincal Trials

+ D. Bertsimas, A. Weinstein

INFORMS Operations Research J, 2019

Identifying Exceptional Responders in Randomized Trials: An Optimization Approach

+ D. Bertsimas, A. Weinstein

INFORMS J on Optimization, 2019

Robust Optimization of EV Charging Schedules in Unregulated Electricity Markets

+ Z. Sahinoglu

IEEE Transactions on Smart Grid, 2016

Modeling and Forecasting Self-Similar Power Load Due to EV Fast Chargers.

+ Z. Sahinoglu, D. Nikovski

IEEE Transactions on Smart Grid, 2016

The k-Server Problem via Modern Optimization Lens.

+ D. Bertsimas, P. Jaillet

EJOR, 2017

Multiperiod Optimization for Fleet Defense: Centralized and Distributed Approaches

+ D. Bertsimas, P. Jaillet

Submitted to Operations Research, 2017

Sobolev Spaces and Quasiconformal Mappings on Riemannian Manifolds.

+ S. Vodopyanov

XLIX International Students Conference "Student and Scientific and Technological Advance", 2011, 1st prize

Composition Operators of Sobolev Spaces on Riemannian Manifolds.

+ S. Vodopyanov

International Educational Workshop in Geometrical Analysis, Gorno-Altaysk State University, 2010

WORK EXPERIENCE
Quantitative Researcher - Citadel Securities

Central Risk Book

June 2019 -

- Design and optimization of trading algorithms;
- Alpha search and altenative data mining;
- Portfolio optimization.

Data Scientist - Uber Technologies HQ

Marketplace Optimization / Demand Intelligence

June 2017 - June 2019

- Design of optimization methods for solving real-time problems at industrial scale;
- Modeling riders demand function in space and time at high granularity;
- Protection of optimization algorithms from noise and errors in input data.

Data Scientist - Tesla Motors

Supply Chain Analytics and Optimization

Summer 2015

- Designed software for efficient load packaging and optimization of inbound supply chain;
- Estimated future multimillion savings from its implementation;
- Persuaded management to create a new optimization research group in the company.

Web Admin - MIT edX.org

Spring 2014

Online class 15.071x "The Analytics Edge" with 35k+ students and 4.7/5 review score.

Research Fellow - Sobolev Institute of Mathematics

Siberian Branch of Russian Academy of Science

2011-2012

Laboratory of Geometry and Function Theory. Research topics: Properties of composition operators of Sobolev spaces on Riemannian and sub-Riemannian manifolds.


TEACHING EXPERIENCE
15.071 The Analytics Edge - Spring 2015 (TA)

MBA course at MIT Sloan School of Management (90 students)

Responsibilities include: class organization, creating recitation materials, office hours, grading problem sets and exams. This class was taught by MIT Professor Dimitris Bertsimas.

15.093 Optimization Methods - Fall 2014 (TA)

Core graduate course at MIT Sloan School of Management (126 students)

Responsibilities include: class organization, creating recitation materials, office hours, creating and grading problem sets and exams. This class was taught by USC Professor Phebe Vayanos.

Mathematical Analysis - Fall and Spring 2011 (TA)

Core undergraduate course at Novosibirsk State University, Russia (15 students)

Responsibilities include: class organization, conduction of seminars, recitations, colloquiums and grading students weekly problem sets, midterm and final exams. This class was taught by NSU Professor Sergey Vodopyanov.

Additional Chapters of Olimpiad Mathematics - 2005-2015 (Instructor)

Elective course for gifted high school students at Economic Lyceum, Novosibirsk, Russia (8 students)

Responsibilities include: complex preparation of students for Math competitions, teaching weekly lectures and recitations (since 2012 - online), preparation of slides, grading midterm and final exams.

Advanced Mathematics - August 2008, August 2009 (TA)

Core course for gifted high school students at Specialized Educational Scientific Center at Novosibirsk State University, Russia (25 students)

Responsibilities include: teaching 2 weekly recitations, grading 2 weekly problem sets, organization of internal competitions in Mathematics for 20 teams, organization of admission interviews.


EDUCATION

Summa Cum Laude (GPA 5.0/5.0)
Major: Mathematical Analysis
Thesis: "Sobolev Spaces and Quasiconformal Mappings on Riemann Manifolds"
Adisor: Professor Sergey Vodopyanov

Summa Cum Laude (GPA 5.0/5.0)
Major: Mathematical Analysis
Thesis: "Composition Operators of Sobolev Spaces on Riemann Manifolds"
Adisor: Professor Sergey Vodopyanov


COMPUTER SKILLS

Data Science: Python (pandas, numpy, scikit-learn, TensorFlow, Theano, etc), Hadoop, SQL, R, Matlab
Optimization: Python, Gurobi/CPLEX, IpOpt, Julia/JuMP/JuMPeR
Visualization: Python (matplotlib, ggplot), Matlab, R
Miscellaneous: C/C++, HTML, Unix, Latex

ACTIVITIES

- Laboratory for Information and Decision Systems, MIT, Conference organization committee member, 2015
- IEEE Transactions on Smart Grid, Reviewer, 2016-present
- Operations Research Center, MIT, Athletics chair, 2015-present
- Member of INFORMS, 2012 - present
- Novosibirsk State University, Manager and sponsor of university blood donor campaign, 2012
- Social nonprofit organization "Science to the children”, (Novosibirsk, Russia), Head of the Math section, 2009-2011
- Novosibirsk State University, Member of the Academic Council, 2007-2011

HONORS

- Grant of the President RF for State Support of Young Scientists and Leading Scientific Schools, 2011, Project: Fundamental problems of geometrical analysis
- Federal grant Scientific, Academic and Teaching staff of innovative Russia, 2011
- Opportunity Grant, Public Affairs Section of the U.S. Embassy in Moscow, 2012
- V. Potanin Charitable Endowment Scholarship, 2007, 2008, 2011
- Baker Hughes Scholarship, 2010
- Corresponding member RAS Lyapunov Scholarship, Sobolev Institute of Mathematics, 2010

CONTACT

Please send me a message if you have questions or comments.

  • E-mail
    nikita.korolko (at) alum.mit.edu
  • Address
    131 S Dearborn st.
    Chicago, IL
    60603, USA
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