Dale W. R. Rosenthal

Parametric/Morgan Stanley

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125 S. Clark St.

17th Floor

Chicago, IL 60603

United States

http://www.q36llc.com

SCHOLARLY PAPERS

8

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37

Scholarly Papers (8)

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1.

Performance Metrics for Algorithmic Traders

UIC College of Business Administration Research Paper No. 09-14
Number of pages: 30 Posted: 28 Jul 2009 Last Revised: 05 Jan 2012
Dale W. R. Rosenthal
Parametric/Morgan Stanley
Downloads 1,699 (18,193)
Citation 1

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trading performance, luck versus skill, order scheduling, price impact

2.

Modeling Trade Direction

Downloads 1,509 (21,802)
Citation 2

Modeling Trade Direction

Number of pages: 25 Posted: 27 Nov 2007 Last Revised: 18 Oct 2011
Dale W. R. Rosenthal
Parametric/Morgan Stanley
Downloads 1,509 (21,418)
Citation 2

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trade classification, delay models, trade publishing delays, prevailing quotes, trade direction, flash crash detection

Modeling Trade Direction

Journal of Financial Econometrics, Vol. 10, No. 2, pp. 390-415, 2012
Posted: 08 Oct 2012
Dale W. R. Rosenthal
Parametric/Morgan Stanley

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delay models, flash crash detection, prevailing quotes, trade classification, trade direction, trade publishing delays

3.

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

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Citation 28

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

Journal of Empirical Finance, 43, 143-158, 2017
Number of pages: 33 Posted: 31 Aug 2010 Last Revised: 21 Nov 2017
Kris Boudt, Ellen C. S. Paulus and Dale W. R. Rosenthal
Ghent University, London Business School - Department of Finance and Parametric/Morgan Stanley
Downloads 561 (84,123)
Citation 1

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Financial distress, funding liquidity, market liquidity, systemic risk, two-regime model

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

National Bank of Belgium Working Paper No. 244
Number of pages: 40 Posted: 19 Nov 2013
Kris Boudt, Ellen C. S. Paulus and Dale W. R. Rosenthal
Ghent University, London Business School - Department of Finance and Parametric/Morgan Stanley
Downloads 104 (439,918)
Citation 30

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equity-collateralized funding liquidity; market liquidity; two-regime model; financial distress

4.

Market Structure, Counterparty Risk, and Systemic Risk

UIC College of Business Administration Research Paper No. 10-12
Number of pages: 57 Posted: 10 Apr 2010 Last Revised: 24 Jul 2014
Dale W. R. Rosenthal
Parametric/Morgan Stanley
Downloads 538 (89,652)
Citation 1

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central clearing, contagion, counterparty risk, systemic risk

5.

Approximating Correlated Defaults

University of Illinois at Chicago College of Business Administration Research Paper Series
Number of pages: 30 Posted: 19 Dec 2008 Last Revised: 02 Oct 2012
Dale W. R. Rosenthal
Parametric/Morgan Stanley
Downloads 333 (156,046)

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default-approximating portfolio, diversity score, default-relative diversification, robust CDO structuring, gamma Edgeworth expansion

6.

Transaction Taxes in a Price Maker/Taker Market

Midwest Finance Association 2013 Annual Meeting Paper, UIC College of Business Administration Research Paper No. 10-13
Number of pages: 65 Posted: 19 Mar 2010 Last Revised: 11 Nov 2014
Dale W. R. Rosenthal, Nordia D. M. Thomas and Hefei Wang
Parametric/Morgan Stanley, University of Wisconsin - La Crosse and University of Illinois at Chicago - Department of Finance
Downloads 319 (163,971)
Citation 1

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transaction tax, Tobin tax, market microstructure, limit order model, market makers, high-frequency trading, search costs

7.

Index Arbitrage and Refresh Time Bias in Covariance Estimation

Number of pages: 16 Posted: 15 Jan 2012 Last Revised: 23 Jan 2012
Dale W. R. Rosenthal and Jin Zhang
Parametric/Morgan Stanley and Bank of America
Downloads 307 (170,170)
Citation 1

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high-frequency volatility estimation, refresh times, bias, data cleaning

8.

Online Addendum: Modeling Trade Direction

Number of pages: 10 Posted: 18 Oct 2011
Dale W. R. Rosenthal
Parametric/Morgan Stanley
Downloads 241 (217,235)

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