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

14

DOWNLOADS
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Top 6,477

in Total Papers Downloads

6,619

CITATIONS

7

Scholarly Papers (14)

1.
Downloads 2,430 ( 5,049)
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 2,363 (5,189)
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 67 (333,894)
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 633 (39,884)
Citation 2

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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 598 (43,049)
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 578 (45,009)
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 471 (58,365)

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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 416 (67,798)

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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 Sağlam
University of Cincinnati - Department of Finance - Real Estate
Downloads 365 (79,412)

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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: 68 Posted: 11 Jul 2014 Last Revised: 09 Oct 2018
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 313 (94,185)

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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: 56 Posted: 03 Jun 2015 Last Revised: 12 Nov 2018
Boston College - Department of Finance, Ecole Polytechnique Fédérale de Lausanne and University of Cincinnati - Department of Finance - Real Estate
Downloads 276 (107,848)

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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: 69 Posted: 15 Jan 2018 Last Revised: 26 Oct 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 178 (165,194)

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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
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 5 (624,711)
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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 (664,626)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

11.

Do ETFs Increase Liquidity?

Number of pages: 63 Posted: 17 Mar 2018 Last Revised: 22 Apr 2019
Mehmet Sağlam, 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 139 (203,434)

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ETFs, Liquidity

12.

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 136 (207,012)

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Real estate market, Price evolution, Optimal waiting time

13.

The Cost of Routing Orders to High Frequency Traders

Sixth Annual Conference on Financial Market Regulation
Number of pages: 62 Posted: 08 Nov 2018
Robert H. Battalio, Brian C. Hatch and Mehmet Sağlam
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 79 (300,713)

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High-Frequency Trading, Transaction Costs, Smart Routing

14.

Rainy Day Liquidity

Number of pages: 64
Xin Li, Tong Yu, Mehmet Sağlam and Jingzhi Huang
University of Cincinnati - Department of Finance - Real Estate, University of Cincinnati - Department of Finance - Real Estate, University of Cincinnati - Department of Finance - Real Estate and Pennsylvania State University - Department of Finance
Downloads 1

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Liquidity, Insurance, Corporate Bonds, Rainy Day Liquidity