Mehmet Saglam

Mehmet Saglam

Associate Professor

Professional Summary

Mehmet Saglam is the Johnson Assistant Professor of Finance at the Carl H. Lindner College of Business at University of Cincinnati. He received a B.Sc. from Cornell University and Ph.D. from Columbia University. His research focuses on asset pricing and market structure. Prior to joining University of Cincinnati, he spent one year at Bendheim Center for Finance at Princeton University as a postdoctoral research associate. In addition to his academic experience, he worked in the quantitative trading groups at BlackRock, JP Morgan Asset Management and Bank of America Merrill Lynch and worked as a management consultant at FMCG.

Education

Ph D, Columbia University New York, NY, 2012 (Business Administration)

BS, Cornell University Ithaca, NY, 2007

Positions and Work Experience

08-2013 - Assistant Professor of Finance, University of Cincinnati,

09-2012 -08-2013 Postdoctoral Research Associate, Princeton University,

01-15-2012 -03-31-2012 Associate, Algorithmic Trading, Bank of America Merrill Lynch,

Bad Format: 20100600 -08-15-2010 Summer Associate, Algorithmic Trading, Dynamic Portfolio Execution, Bank of America Merrill Lynch,

07-15-2007 -02-15-2008 Analyst, Risk Management, Corporate Finance, Valuation, First Manhattan Consulting Group,

06-01-2006 -08-15-2006 Summer Analyst, Asset Management, Leading Economic Indicators, JP Morgan Asset Management,

09-01-2005 -12-31-2005 Financial Modeling Intern, Portfolio Risk Management, BlackRock,

Research and Practice Interests

Asset Pricing, Market Structure

Publications

Other Publications

Collin-Dufresne, Pierre; Daniel, Kent D.; Saglam, Mehmet Liquidity Regimes and Optimal Dynamic Asset Allocation . Journal of Financial Economics

Saglam, Mehmet; Moallemi, Ciamac; Sotiropoulos, Michael (2019. ) Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality .42 , Journal of Financial Markets

Saglam, Mehmet Order Anticipation around Predictable Trades . Financial Management

Moallemi, Ciamac; Saglam, Mehmet (06-2017. ) Dynamic Portfolio Choice with Linear Rebalancing Rules .52 (3 ) , Journal of Financial and Quantitative Analysis

Moallemi, Ciamac; Saglam, Mehmet (2013. ) The Cost of Latency in High-Frequency Trading .61 (5 ) , Operations Research

Inaltekin, Hazer; Jarrow, Robert A.; Saglam, Mehmet; Yildirim, Yildiray (12-2011. ) Housing prices and the optimal time-on-the-market decision .8 (4 ) , Finance Research Letters

Stoikov, Sasha; Saglam, Mehmet (2009. ) Option Market Making under Inventory Risk .12 (1 ) , Review of Derivatives Research

Presentations

Invited Presentations

Saglam, Mehmet (08-2018. ) The Cost of Routing Orders to HFTs .Kepos Capital, New York, NY. Seminar. . Level:International

Saglam, Mehmet (05-2016. ) Discussion of "Correlated High-Frequency Trading" .Annual Conference on Financial Market Regulation, Lehigh University, SEC, University of Maryland, Washington, DC. Conference. . Level:International

Saglam, Mehmet (01-2016. ) Discussion of "Portfolio Choice with House Value Misperception" .ASSA Annual Meeting, AREUEA, San Francisco. Conference. . Level:International

Saglam, Mehmet (02-2015. ) Dynamic Asset Allocation with Predictable Returns and Transaction Costs .Princeton University ORFE Seminar, Princeton University, Princeton, NJ. Seminar. .

Saglam, Mehmet (01-2015. ) Discussion of "Optimal Strategies of High Frequency Traders" .AFA Annual Meeting, AFA, Boston, MA. Conference. . Level:International

Saglam, Mehmet (01-2014. ) Discussion of "REITs and Market Microstructure" .ASSA Annual Meeting, AREUEA, Philadelphia. Conference. . Level:International

Saglam, Mehmet (10-2012. ) Dynamic Asset Allocation with Predictable Returns and Transaction Costs .INFORMS Annual Meeting 2012, INFORMS, Phoenix, AZ. Conference. . Level:International

Saglam, Mehmet (10-2012. ) Short-Term Predictability and Price Impact .INFORMS Annual Meeting 2012, INFORMS, Phoenix, AZ. Conference. . Level:International

Saglam, Mehmet (12-2011. ) Dynamic Portfolio Choice with Linear Rebalancing Rules .Sixth Annual Conference on Advances in the Analysis of Hedge Fund Strategies, Imperial College, London, UK. Workshop. . Level:International

Saglam, Mehmet (11-2011. ) Dynamic Portfolio Choice with Linear Rebalancing Rules .INFORMS Annual Meeting 2011, INFORMS, Charlotte, NC. Conference. . Level:International

Honors and Awards

02-2019 Nominee, Lindner Research Excellence Emerging Scholar Award Level:College Type:Scholarship/Research

12-2017 Dean’s List of Teaching Excellence Level:College Type:Teaching

03-2017 Nominee, Michael L. Dean EXCEL Graduate Teaching Award This award recognizes excellence in graduate teaching. Level:College Type:Teaching

12-2016 Dean’s List of Teaching Excellence Level:College Type:Teaching

06-2016 Semi Finalist, Best Paper in Market Microstructure Level:International Type:Scholarship/Research

03-2015 Daniel J. Westerbeck Junior Faculty Graduate Teaching Award This award recognizes excellence in graduate teaching. Selection is driven by graduate students with particular emphasis placed on junior faculty. Level:College Type:Teaching

12-2014 Dean’s List of Teaching Excellence Level:College Type:Teaching

05-2014 Dean’s List of Teaching Excellence Level:College Type:Teaching

12-2013 Dean’s List of Teaching Excellence Level:College Type:Teaching

10-2011 AFA Student Travel Award Level:International Type:Scholarship/Research

10-2011 Winner, Best Student Research Paper Level:International Type:Scholarship/Research

07-2011 Eugene M. Lang Doctoral Student Grant Level:University Type:Scholarship/Research

05-2011 Deming Doctoral Reserch Fellowship Level:University Type:Scholarship/Research

Service

Finance Seminar Series Committee Member Type:Departmental Service Level:Department 07-2017

Capstone Coach Faculty Advisor Type:University/College Service Level:University 12-2016 -04-2017

Journal of Economic Theory Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2018

Annals of Operations Research Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2017

European Journal of Operational Research Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2017

Management Science Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2017

Annals of Operations Research Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2016

Review of Finance Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2016

Management Science Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2015

Operations Research Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2015

Finance and Stochastics Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2014

Journal of Economic Theory Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2014

Management Science Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2014

Operations Research Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2014

Review of Finance Reviewer, Journal Article Type:Prof. Org. Level:Service to Professional Associations -2014

Professional Affiliation

10-2016: Member Financial Management Association, International

11-2013: Member Western Finance Association, International

01-2010: Member American Finance Association, International

Courses Taught

AFAINVESTMENTS

INVESTMENTS

INVMTS

INVESTMENTS

INVMTS

INVMTS

Investments

Investments

Options and Futures

DERIVATIVES

INVESTMENTS

OPTIONS AND FUTURES

DERIVATIVES

Derivatives

Options and Futures