Mehmet Saglam

University of Cincinnati - Department of Finance - Real Estate

Associate Professor of Finance

Carl H. Lindner College of Business

Cincinnati, OH 45221

United States

http://homepages.uc.edu/~saglammt/

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 5,535

in Total Papers Downloads

14,120

SSRN CITATIONS
Rank 8,962

SSRN RANKINGS

Top 8,962

in Total Papers Citations

124

CROSSREF CITATIONS

64

Scholarly Papers (18)

1.
Downloads 4,392 ( 4,314)
Citation 14

High Frequency Market Making: The Role of Speed

Number of pages: 63 Posted: 28 Sep 2013 Last Revised: 15 Dec 2021
Yacine Ait-Sahalia and Mehmet Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 4,160 (4,641)
Citation 13

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High Frequency Trading, Market Making, Liquidity, Poisson Processes, Stochastic Optimal Control.

High Frequency Traders: Taking Advantage of Speed

NBER Working Paper No. w19531
Number of pages: 52 Posted: 18 Oct 2013 Last Revised: 15 May 2022
Yacine Ait-Sahalia and Mehmet Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 232 (243,486)
Citation 2

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2.

Option Market Making Under Inventory Risk

Review of Derivatives Research, Vol. 12, No. 1, 2009
Number of pages: 28 Posted: 01 Jul 2009
Sasha Stoikov and Mehmet Saglam
Cornell Financial Engineering Manhattan and University of Cincinnati - Department of Finance - Real Estate
Downloads 1,210 (32,798)
Citation 2

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Delta, European options, Gamma, Inventory management, Liquidity, Market microstructure, Vega

3.

Do ETFs Increase Liquidity?

Number of pages: 54 Posted: 17 Mar 2018 Last Revised: 25 Sep 2020
Mehmet Saglam, Tugkan Tuzun and Russ Wermers
University of Cincinnati - Department of Finance - Real Estate, Board of Governors of the Federal Reserve System and University of Maryland - Robert H. Smith School of Business
Downloads 1,141 (35,648)
Citation 1

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ETFs, Liquidity

4.

High Frequency Market Making: Implications for Liquidity

Number of pages: 45 Posted: 02 Feb 2017
Yacine Ait-Sahalia and Mehmet Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 1,118 (36,697)
Citation 21

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High Frequency Trading, Market Making, Duopoly, Liquidity, Order Cancellations, Competition for Order Flow, Financial Market Regulation, Tobin Tax, Order Resting Time, Order Cancellation Tax, Pro Rata Allocation

5.

The Cost of Exposing Large Institutional Orders to Electronic Liquidity Providers

Sixth Annual Conference on Financial Market Regulation
Number of pages: 68 Posted: 08 Nov 2018 Last Revised: 19 Jan 2023
Robert H. Battalio, Brian C. Hatch and Mehmet Saglam
University of Notre Dame - Department of Finance, University of Cincinnati - Department of Finance - Real Estate and University of Cincinnati - Department of Finance - Real Estate
Downloads 801 (58,387)
Citation 6

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Electronic Liquidity Providers, High Frequency Trading, Institutional Transaction Costs

6.

Dynamic Portfolio Choice with Linear Rebalancing Rules

Number of pages: 59 Posted: 27 Feb 2012 Last Revised: 26 Mar 2015
Ciamac C. Moallemi and Mehmet Saglam
Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 774 (61,245)
Citation 21

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Portfolio Choice, Transaction Costs, Return Predictability, Portfolio Execution

7.

The Cost of Latency in High-Frequency Trading

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 27 Feb 2013
Ciamac C. Moallemi and Mehmet Saglam
Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 756 (63,177)
Citation 15

Abstract:

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High-Frequency Trading, Latency

8.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 681 (72,344)
Citation 19

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

9.

Order Anticipation around Predictable Trades

Number of pages: 62 Posted: 26 Aug 2016 Last Revised: 09 Oct 2018
Mehmet Saglam
University of Cincinnati - Department of Finance - Real Estate
Downloads 677 (72,851)
Citation 15

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Order Anticipation, Algorithmic Trading, Predatory Trading, Back-Running

10.

Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch

Swiss Finance Institute Research Paper No. 18-41
Number of pages: 62 Posted: 03 Jun 2015 Last Revised: 29 Jan 2020
Boston College - Department of Finance, Ecole Polytechnique Fédérale de Lausanne and University of Cincinnati - Department of Finance - Real Estate
Downloads 578 (88,876)
Citation 1

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Liquidity, Algorithmic Trading, Institutional Trading Costs, Slow-Moving Capital, Market Making

11.

Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality

Number of pages: 68 Posted: 11 Jul 2014 Last Revised: 09 Oct 2018
University of Cincinnati - Department of Finance - Real Estate, Columbia University - Columbia Business School, Decision Risk and Operations and Bank of America - Bank of America Merrill Lynch
Downloads 504 (105,417)
Citation 2

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Short-term Return Predictability, Institutional Trading, Execution Quality, Algorithmic Trading

12.
Downloads 377 (147,785)
Citation 20

Liquidity Regimes and Optimal Dynamic Asset Allocation

Columbia Business School Research Paper No. 18-14, Swiss Finance Institute Research Paper No. 18-43
Number of pages: 69 Posted: 15 Jan 2018 Last Revised: 26 Oct 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 322 (174,207)
Citation 5

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Asset Allocation, Dynamic Trading, Stochastic Transaction Costs

Liquidity Regimes and Optimal Dynamic Asset Allocation

NBER Working Paper No. w24222
Number of pages: 68 Posted: 22 Jan 2018 Last Revised: 09 Mar 2023
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 54 (704,083)

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Liquidity Regimes and Optimal Dynamic Asset Allocation

CEPR Discussion Paper No. DP12737
Number of pages: 60 Posted: 26 Feb 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (1,176,628)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

13.

Difficulties in obtaining a representative sample of retail trades from public data sources

Number of pages: 59 Posted: 18 Oct 2023 Last Revised: 13 May 2024
University of Notre Dame - Department of Finance, Indiana University - Kelley School of Business - Department of Finance, University of Cincinnati - Department of Finance - Real Estate and Wharton Research Data Services (WRDS)
Downloads 307 (184,349)
Citation 2

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Retail trades

14.

Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands

Swiss Finance Institute Research Paper No. 23-38
Number of pages: 53 Posted: 11 Dec 2022 Last Revised: 08 Jun 2023
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 213 (265,012)

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portfolio choice, dynamic models, transaction costs, hedging demand, price impact, mean-variance

15.

Housing Prices and the Optimal Time-on-The-Market Decision

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011
University of Melbourne, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Cincinnati - Department of Finance - Real Estate and Zicklin School of Business, Baruch College - The City University of New York
Downloads 184 (302,501)

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Real estate market, Price evolution, Optimal waiting time

16.

Rainy Day Liquidity

Number of pages: 58 Posted: 03 Jun 2019 Last Revised: 07 Sep 2021
Jing-Zhi Huang, Xin Li, Mehmet Saglam and Tong Yu
Pennsylvania State University - University Park - Department of Finance, Michigan Technological University - College of Business, University of Cincinnati - Department of Finance - Real Estate and University of Cincinnati - Department of Finance - Real Estate
Downloads 164 (334,589)

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Liquidity provision, Market liquidity, Corporate bonds, Funding liquidity, Life insurance

17.

Retail Order Handling and Trading Costs: Evidence from Robinhood's Market Order Collaring

Number of pages: 32 Posted: 07 Mar 2023
Preston Mantel and Mehmet Saglam
University of Cincinnati - Department of Finance - Real Estate and University of Cincinnati - Department of Finance - Real Estate
Downloads 127 (410,919)

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Retail Investors, Market Order Collaring, Order Anticipation, Extreme Price Movements

18.

The Determinants of Predatory Trading: Experimental Evidence

Number of pages: 46 Posted: 28 Dec 2022 Last Revised: 03 Apr 2024
Brian Kluger and Mehmet Saglam
University of Cincinnati - Department of Finance - Real Estate and University of Cincinnati - Department of Finance - Real Estate
Downloads 116 (439,658)

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Front-running, Order Flow Predictability, Index Reconstitutions, ETF Rebalancing