Carl H. Lindner College of BusinessCarl H. Lindner College of BusinessUniversity of Cincinnati

Carl H. Lindner College of Business

Mehmet Sağlam

Johnson Professorship, Assistant Professor
Professional Summary
Mehmet Sağlam 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. He regularly performs consulting work with leading financial services companies.
Contact Information
E-mail:
Office:
408 Carl H. Lindner Hall
Phone:
513-556-9108
Fax:
513-556-0979
Teaching Interest
  • Derivatives and Investments
Research Interest
  • Asset Pricing, Market Structure
History

Institution:
University of Cincinnati
Title:
Assistant Professor of Finance


Institution:
Princeton University
Title:
Postdoctoral Research Associate
End Date:
2013-08-31


Institution:
Bank of America Merrill Lynch
Title:
Associate
End Date:
2012-03-31


Institution:
Bank of America Merrill Lynch
Title:
Summer Associate
End Date:
2010-08-15


Institution:
First Manhattan Consulting Group
Title:
Analyst
End Date:
2008-02-15


Institution:
JP Morgan Asset Management
Title:
Summer Analyst
End Date:
2006-08-15


Institution:
BlackRock
Title:
Financial Modeling Intern
End Date:
2005-12-31


Awards | Honors

Organization:
Carl H. Lindner College of Business
Name:
Finalist, Michael L. Dean EXCEL Graduate Teaching Award
Year Received:
2017


Organization:
Carl H. Lindner College of Business
Name:
Dean’s List of Teaching Excellence
Year Received:
2016


Organization:
Financial Management Association
Name:
Semi Finalist, Best Paper in Market Microstructure
Year Received:
2016


Organization:
Carl H. Lindner College of Business
Name:
Daniel J. Westerbeck Junior Faculty Graduate Teaching Award
Year Received:
2015


Organization:
Carl H. Lindner College of Business
Name:
Dean’s List of Teaching Excellence
Year Received:
2014


Organization:
Carl H. Lindner College of Business
Name:
Dean’s List of Teaching Excellence
Year Received:
2014


Organization:
Carl H. Lindner College of Business
Name:
Dean’s List of Teaching Excellence
Year Received:
2013


Organization:
American Finance Association
Name:
AFA Student Travel Award
Year Received:
2011


Organization:
INFORMS Financial Services Section
Name:
Winner, Best Student Research Paper
Year Received:
2011


Organization:
Columbia Business School
Name:
Eugene M. Lang Doctoral Student Grant
Year Received:
2011


Organization:
Columbia Business School
Name:
Deming Doctoral Reserch Fellowship
Year Received:
2011


Education

Institution:
Columbia University
Location:
New York, NY
Major:
Business Administration
Dissertation:
Dynamic Trading Strategies in the Presence of Market Frictions
Completed:
2012
Degree:
Ph D


Institution:
Cornell University
Location:
Ithaca, NY
Completed:
2007
Degree:
BS


Published Contributions

Ciamac  Moallemi, Mehmet Sağlam,  (2017). Dynamic Portfolio Choice with Linear Rebalancing Rules. Journal of Financial and Quantitative Analysis, 1247-1278.


Ciamac Moallemi, Mehmet Sağlam,  (2013). The Cost of Latency in High-Frequency Trading. Operations Research, 1070-1086.


Hazer Inaltekin, Robert  Jarrow, Mehmet Sağlam, Yildiray Yildirim,  (2011). Housing prices and the optimal time-on-the-market decision. Finance Research Letters, 171-179.


Sasha Stoikov, Mehmet Sağlam,  (2009). Option Market Making under Inventory Risk. Review of Derivatives Research, 55-79.



Accepted Contributions



Research in progress

Title:
Dynamic Asset Allocation with Predictable Returns and Transaction Costs


Status:
Writing Results

Research Type:
Scholarly


Title:
High Frequency Market Making: Implications for Liquidity


Status:
Writing Results

Research Type:
Scholarly


Title:
High Frequency Market Making: Optimal Quoting


Status:
Writing Results

Research Type:
Scholarly


Title:
Order Anticipation around Predictable Trades


Status:
Writing Results

Research Type:
Scholarly


Title:
Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality


Status:
Writing Results

Research Type:
Scholarly


Title:
Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch


Status:
Writing Results

Research Type:
Scholarly


Presentations

Title:
High Frequency Market Making
Organization:
Finance Theory Group
Location:
St. Louis, MO
Year:
2017


Title:
Order Anticipation around Predictable Trades
Organization:
Stockholm Business School
Location:
Stockholm, Sweden
Year:
2017


Title:
Order Anticipation around Predictable Trades
Organization:
UTS
Location:
Sydney, Australia
Year:
2017


Title:
Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality
Organization:
Financial Management Association
Location:
Las Vegas, NV
Year:
2016


Title:
Discussion of "Correlated High-Frequency Trading"
Organization:
Lehigh University, SEC, University of Maryland
Location:
Washington, DC
Year:
2016


Title:
Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality
Organization:
Midwest Finance Association
Location:
Atlanta, GA
Year:
2016


Title:
Discussion of "Portfolio Choice with House Value Misperception"
Organization:
AREUEA
Location:
San Francisco
Year:
2016


Title:
Dynamic Asset Allocation with Predictable Returns and Transaction Costs
Organization:
Princeton University
Location:
Princeton, NJ
Year:
2015


Title:
Discussion of "Optimal Strategies of High Frequency Traders"
Organization:
AFA
Location:
Boston, MA
Year:
2015


Title:
Dynamic Asset Allocation with Predictable Returns and Transaction Costs
Organization:
AFA
Location:
Boston, MA
Year:
2015


Title:
High Frequency Traders: Taking Advantage of Speed
Organization:
10th Annual Central Bank Workshop
Location:
Rome, Italy
Year:
2014


Title:
High Frequency Traders: Taking Advantage of Speed
Organization:
Midwest Finance Association
Location:
Orlando, FL
Year:
2014


Title:
Discussion of "REITs and Market Microstructure"
Organization:
AREUEA
Location:
Philadelphia
Year:
2014


Title:
Dynamic Asset Allocation with Predictable Returns and Transaction Costs
Organization:
INFORMS
Location:
Phoenix, AZ
Year:
2012


Title:
Short-Term Predictability and Price Impact
Organization:
INFORMS
Location:
Phoenix, AZ
Year:
2012


Title:
The Cost of Latency in High-Frequency Trading
Organization:
FMA
Location:
Istanbul, Turkey
Year:
2012


Title:
Dynamic Portfolio Choice with Linear Rebalancing Rules
Organization:
Imperial College
Location:
London, UK
Year:
2011


Title:
Dynamic Portfolio Choice with Linear Rebalancing Rules
Organization:
INFORMS
Location:
Charlotte, NC
Year:
2011


Title:
The Cost of Latency in High-Frequency Trading
Organization:
INFORMS
Location:
Charlotte, NC
Year:
2011


Title:
The Cost of Latency in High-Frequency Trading
Organization:
London Business School
Location:
London, UK
Year:
2011


Title:
The Cost of Latency in High-Frequency Trading
Organization:
Stevens Institute of Technology
Location:
Hoboken, NJ
Year:
2010