Mehmet Sağlam

University of Cincinnati - Department of Finance - Real Estate

Assistant Professor of Finance

Carl H. Lindner College of Business

Cincinnati, OH 45221

United States

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

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 6,854

in Total Papers Downloads

5,966

CITATIONS

7

Scholarly Papers (12)

1.
Downloads 2,231 ( 5,394)
Citation 2

High Frequency Market Making: Optimal Quoting

Number of pages: 48 Posted: 28 Sep 2013 Last Revised: 15 Jun 2017
Yacine Ait-Sahalia and Mehmet Sağlam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 2,170 (5,530)
Citation 2

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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
Yacine Ait-Sahalia and Mehmet Sağlam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 61 (333,338)
Citation 2

Abstract:

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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 Sağlam
Cornell Financial Engineering Manhattan and University of Cincinnati - Department of Finance - Real Estate
Downloads 608 (39,499)
Citation 2

Abstract:

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

3.

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 Sağlam
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 574 (42,611)
Citation 1

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Portfolio Choice, Transaction Costs, Return Predictability, Portfolio Execution

4.

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 Sağlam
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 559 (44,106)
Citation 2

Abstract:

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High-Frequency Trading, Latency

5.

High Frequency Market Making: Implications for Liquidity

Number of pages: 45 Posted: 02 Feb 2017
Yacine Ait-Sahalia and Mehmet Sağlam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 395 (67,869)

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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

6.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics, Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 384 (70,120)

Abstract:

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

7.

Order Anticipation around Predictable Trades

Number of pages: 54 Posted: 26 Aug 2016 Last Revised: 20 Apr 2018
Mehmet Sağlam
University of Cincinnati - Department of Finance - Real Estate
Downloads 339 (81,068)

Abstract:

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

8.

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

Number of pages: 59 Posted: 11 Jul 2014 Last Revised: 28 Sep 2016
University of Cincinnati - Department of Finance - Real Estate, Columbia Business School - Decision Risk and Operations and Bank of America - Bank of America Merrill Lynch
Downloads 282 (99,467)

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

9.

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

Swiss Finance Institute Research Paper No. 18-41
Number of pages: 47 Posted: 03 Jun 2015 Last Revised: 27 May 2018
Boston College - Department of Finance, Ecole Polytechnique Fédérale de Lausanne and University of Cincinnati - Department of Finance - Real Estate
Downloads 237 (119,130)

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

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: 59 Posted: 15 Jan 2018 Last Revised: 27 May 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 136 (196,745)

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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: 58 Posted: 22 Jan 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 5 (594,255)
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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 Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (629,511)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

11.

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

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011
The 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 134 (198,460)

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Real estate market, Price evolution, Optimal waiting time

12.

Do ETFs Increase Liquidity?

Number of pages: 59 Posted: 17 Mar 2018 Last Revised: 20 Jul 2018
Mehmet Sağlam and Tugkan Tuzun
University of Cincinnati - Department of Finance - Real Estate and Federal Reserve Board
Downloads 81 (281,368)

Abstract:

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ETFs, Liquidity