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/

  • University of Cincinnati - Department of Finance - Real Estate

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

14

DOWNLOADS
Rank 5,871

SSRN RANKINGS

Top 5,871

in Total Papers Downloads

10,291

SSRN CITATIONS
Rank 11,493

SSRN RANKINGS

Top 11,493

in Total Papers Citations

41

CROSSREF CITATIONS

64

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

High Frequency Market Making: The Role of Speed

Downloads 3,616 ( 4,204)
Citation 9

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 3,497 (4,363)
Citation 9

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 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 119 (320,534)
Citation 2

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 846 (40,194)
Citation 1

Abstract:

Loading...

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

3.

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 814 (42,455)
Citation 19

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

4.

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 687 (53,173)
Citation 1

Abstract:

Loading...

ETFs, Liquidity

5.

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 675 (54,319)
Citation 18

Abstract:

Loading...

Portfolio Choice, Transaction Costs, Return Predictability, Portfolio Execution

6.

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 635 (58,721)
Citation 15

Abstract:

Loading...

High-Frequency Trading, Latency

7.

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 567 (67,838)
Citation 20

Abstract:

Loading...

Dynamic Asset Allocation, Return Predictability, Transaction Costs

8.

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 513 (76,825)
Citation 2

Abstract:

Loading...

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

9.

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 496 (80,044)
Citation 1

Abstract:

Loading...

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

10.

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: 20 Jan 2022
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 457 (88,312)
Citation 4

Abstract:

Loading...

Electronic Liquidity Providers, High Frequency Trading, Institutional Transaction Costs

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
Mehmet Saglam, Ciamac C. Moallemi and Michael Sotiropoulos
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 419 (97,633)
Citation 2

Abstract:

Loading...

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

12.

Liquidity Regimes and Optimal Dynamic Asset Allocation

Downloads 297 (142,571)
Citation 5

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 University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 277 (152,457)
Citation 5

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 Last Revised: 09 Mar 2022
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 19 (724,873)

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 University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (914,453)
  • 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 156 (259,118)

Abstract:

Loading...

Real estate market, Price evolution, Optimal waiting time

14.

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 113 (330,578)

Abstract:

Loading...

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