Mehmet Saglam

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/

  • University of Cincinnati - Department of Finance - Real Estate

    • Email
    • Tel: (513) 556-9108
SCHOLARLY PAPERS

14

DOWNLOADS
Rank 5,900

SSRN RANKINGS

Top 5,900

in Total Papers Downloads

7,641

SSRN CITATIONS
Rank 13,076

SSRN RANKINGS

Top 13,076

in Total Papers Citations

19

CROSSREF CITATIONS

55

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

High Frequency Market Making: Optimal Quoting

Downloads 2,689 ( 4,725)
Citation 6

High Frequency Market Making: Optimal Quoting

Number of pages: 48 Posted: 28 Sep 2013 Last Revised: 15 Jun 2017
Yacine Ait-Sahalia and Mehmet Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 2,602 (4,874)
Citation 4

Abstract:

Loading...

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 Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 87 (307,235)
Citation 1

Abstract:

Loading...

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 671 (40,113)

Abstract:

Loading...

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 Saglam
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 610 (45,561)
Citation 16

Abstract:

Loading...

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 Saglam
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 587 (47,904)
Citation 13

Abstract:

Loading...

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 Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 548 (52,233)
Citation 9

Abstract:

Loading...

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
Pierre Collin-Dufresne, Kent D. Daniel, Ciamac C. Moallemi and Mehmet Saglam
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 466 (64,218)
Citation 15

Abstract:

Loading...

Dynamic Asset Allocation, Return Predictability, Transaction Costs

7.

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 390 (79,121)
Citation 1

Abstract:

Loading...

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

8.

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
Vincent Bogousslavsky, Pierre Collin-Dufresne and Mehmet Saglam
Boston College - Department of Finance, Ecole Polytechnique Fédérale de Lausanne and University of Cincinnati - Department of Finance - Real Estate
Downloads 345 (91,238)

Abstract:

Loading...

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

9.

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
Mehmet Saglam, Ciamac C. Moallemi and Michael Sotiropoulos
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 345 (91,238)
Citation 2

Abstract:

Loading...

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

10.

The Cost of Exposing Large Institutional Orders to Electronic Liquidity Providers

Sixth Annual Conference on Financial Market Regulation
Number of pages: 47 Posted: 08 Nov 2018 Last Revised: 18 Sep 2019
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 300 (106,443)
Citation 1

Abstract:

Loading...

Electronic Liquidity Providers, Transactions Costs, Order Anticipation

11.

Do ETFs Increase Liquidity?

Number of pages: 56 Posted: 17 Mar 2018 Last Revised: 11 Nov 2019
Mehmet Saglam, Tugkan Tuzun and Russ Wermers
University of Cincinnati - Department of Finance - Real Estate, Federal Reserve Board and University of Maryland - Robert H. Smith School of Business
Downloads 261 (123,344)

Abstract:

Loading...

ETFs, Liquidity

12.

Liquidity Regimes and Optimal Dynamic Asset Allocation

Downloads 223 (144,274)
Citation 3

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
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 212 (151,079)
Citation 3

Abstract:

Loading...

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
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 10 (637,564)

Abstract:

Loading...

Liquidity Regimes and Optimal Dynamic Asset Allocation

CEPR Discussion Paper No. DP12737
Number of pages: 60 Posted: 26 Feb 2018
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (716,285)
  • Add to Cart

Abstract:

Loading...

dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

13.

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

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011
Hazer Inaltekin, Robert A. Jarrow, Mehmet Saglam and Yildiray Yildirim
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 140 (217,559)

Abstract:

Loading...

Real estate market, Price evolution, Optimal waiting time

14.

Rainy Day Liquidity

Number of pages: 56 Posted: 03 Jun 2019 Last Revised: 25 Mar 2020
Jingzhi Huang, Xin Li, Mehmet Saglam and Tong Yu
Pennsylvania State University - Department of Finance, University of Cincinnati - Department of Finance - Real Estate, University of Cincinnati - Department of Finance - Real Estate and University of Cincinnati - Department of Finance - Real Estate
Downloads 66 (356,857)

Abstract:

Loading...

Liquidity provision, Market liquidity, Corporate bonds, Funding liquidity, Search