Nonna Sorokina, Ph.D.

At Penn State, I am an Associate Member of the Institute for Computational and Data Sciences (ICDS), a Fellow of the Center for Applications of Artificial Intelligence and Machine Learning to Industry (AIMI), an Affiliate Member of the Social Sciences Research Institute (SSRI), and an Affiliate if the Consortium on Substance Use and Addiction (CSUA).

I lead a group of graduate and undergraduate students in community-engaged research efforts focused on economic and social Sustainability. Please visit "My Lab" page of this web-site for more information on the "Sustainable Communities Lab."

Previously, I held academic appointments with Wake Forest University, Temple University, Kent State University, and TCNJ.

In addition to the academic background, my career in financial industry is over 25-year long. I worked for Ohio Savings Bank, AmTrust Bank, Charter One Bank, New York Community Bank, and F reedom Mortgage Corporation in various roles related to business, financial and quantitative analysis, and project management. My primary expertise is in Mortgage Origination/Secondary Mortgage Marketing, Credit Cards and Correspondent Banking.

I also play advisory roles at LLG, PLLC., a tax and bankruptcy law firm, and at the Institute for Financial Distress Research and Education, a non-profit that promotes awareness of signs and implications of financial issues for businesses and individuals.

Nonna Sorokina - Research

Interests:

capital structure, financial regulation, financial crises, sustainability, inequality; applications of advanced quantitative analysis in Finance, e.g. regression methods robust to outliers and multicollinearity, change point analysis, forecasting models, variable selection, Bayesian statistics and simulation analysis, AI/ML methods

Publications:

A century of asset allocation crash risk. Samonov, Mikhail, and Nonna Sorokina. Journal of Asset Management (2024): 1-24.Top 10 Downloads [Recent] FEN/SSRN. Presented at the SFA’24, INQUIRE Joint’24.

The Economic Impact of the Opioid Epidemic, Raluca Roman, Wenli Li, and Nonna Sorokina. Economic Insights. Federal Reserve Bank of Philadelphia. October 2, 2023

Liquidity and bank capital structure. Ajay Patel, John Thornton, and Nonna Sorokina, 2022. Journal of Financial Stability, Vol. 62, p. 101038. Presented at the EFA’18, FMA Asia/Pacific’18, India Finance Conference’18, FMA’18, MFA’19, FMA European’19

Does liquidity matter when crisis is brewing? Equity Returns and Intraday Liquidity in DAX Futures Market, with David E. Booth. Journal of Accounting and Finance 22.1 (2022): 116-132. Presented at the EFA’14, MWDSI’14. MWDSI’14 Best Application Paper Award

Why Do Banks Choose to Finance with Equity? Nonna Y. Sorokina, John H. Thornton, Jr., and Ajay Patel, 2017. Journal of Financial Stability, Vol.30, June 2017, p. 36-52 Presented at the FMA’14, MFA’15, EFA’15

Reactions of Equity Markets to Recent Financial Reforms. Nonna Sorokina and John H. Thornton, 2016. Journal of Economics and Business, Vol. 87, September-October 2016, p. 50-69

KSU School of Business Dean’s Best Paper 2012 Award. Presented at the MFA’12, at the FMA European’13, at the IFABS’13(invited paper in the special session organized by the Federal Reserve Bank of Cleveland), and at the FMA International’13

Analyst Optimism in the Automotive Industry: A Post-Bailout Boost and Methodological Insights. Barry Hettler, Yertai Tanai, Nonna Sorokina and David Booth, 2015. Journal of Data Science, Vol.13, No.3 (July), p. 473-494. Presented at the MWDSI’13

Robust Methods in Event Studies: Empirical Evidence and Theoretical Implications. Nonna Y. Sorokina, David E. Booth and John H. Thornton, Jr., 2013. Journal of Data Science, Vol.11, No.3 (July), p. 607-621. Presented at the EFA’12, FMA’12

Working papers (developed):

Bank Capital and Firm Capital, with Lindsay Baran. Accepted for the EFA’20 (conference cancelled due to COVID-19), Presented at the FMA’20, FMA European’23, FMA Asia/Pacific’24

Consumer and Bank Credit Consequences of the Opioid Epidemic, with Wenli Li and Raluca Roman. presented at the FMA’21, NZFM’22 Best Paper Award Runner-Up, AFBD’22

Are Listed Banks Riskier than Private Banks? with Hamid Mehran, and Ajay Patel. Presented at the FMA’19, FMA European’21, EFA’21, AFFI’21.

The Impact of Tax Law Changes on Bank Payout and Performance, with Rebel Cole, Hamid Mehran, and Michael Suher. Presented at the Research Seminar, Federal Reserve Bank of Cleveland, SFA’23, FMA European’23, IBEFA-WEAI’24. Accepted at Multinational Finance Society’24 Meeting and European FMA’24 Meeting

Sustainable Energy Marketplace, with Hyungjin Kim, Saya Lee, and Darshana Sunoj. Accepted for presentations at the Massey Sustainable Finance Conference, ICDS Symposium, and a Seminar at the Department of Nuclear Engineering at Penn State.

Working papers (early stage):

Inflation stress: actual vs inferred from economic news with Chan Shen

Data-Driven Response to Opioid Abuse in Banking: Leveraging AI/ML to identify Health, Social and Economic Determinants of High Impact Areas with Dusan Ramljak

Gender Disparity in Access to Credit and Business Bankruptcy with Victoria Geyfman and Joseph Litvak

Opioid Epidemic and Bankruptcies with Joseph Litvak

Determinants of Mortgage Loan Lock Fallout.

Textual analysis of economic news for assessment of interest rate move expectations in application to mortgage loan lock fallout forecasting

Nonna Sorokina - Teaching

Highlights:

Teaching Areas: Corporate Finance, Quantitative Financial Analysis, Investments, Financial Markets and Institutions, Real Estate Finance, Retirement Planning, Risk Management

Small and large classes

In-person, hybrid and online content delivery

Introductory through advanced undergraduate and graduate level

Student-centered, innovative approach with high utilization of technology and real-world applications of knowledge focused on hands-on learning and teamwork

Courses:

Student Investment Fund

Retirement Planning*

Real Estate Finance and Investments*

Intermediate Financial Management^

Financial Modeling*^

Corporate Finance*^

Introduction to Investments*

Fundamental Financial Methods*

Applied Quantitative Analysis for Finance

Quantitative Analysis II – MBA for Working Professionals ~ weekends

Quantitative Analysis I

Financial System

Individual Investment Analysis

Business Finance

* courses were also developed and delivered in blended (partially on-line) form

^ courses were also developed and delivered in on-line

Hi, I'm Nonna Sorokina, Assistant Professor at Penn State University

My academic interests are primarily in the areas of

Finance and Quantitative Methods.