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
Research and Practice Interests
Asset Pricing, Market Structure
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,
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