Mehmet Sağlam

Headshot of Mehmet Sağlam

Mehmet Sağlam

Johnson Professorship, Assistant Professor, Department of Finance, Real Estate, and Insurance and Risk Management

408 Carl H. Lindner Hall

513-556-9108

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.

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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: Dean’s List of Teaching Excellence

Year Received: 2017

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

Mehmet Sağlam, Ciamac Moallemi, Michael Sotiropoulos,  (2019). Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality. Journal of Financial Markets, 1-28.

Mehmet Sağlam,  (). Order Anticipation around Predictable Trades. Financial Management, .

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

Pierre Collin-Dufresne, Kent Daniel, Mehmet Sağlam,  (Accepted). Liquidity Regimes and Optimal Dynamic Asset Allocation. Journal of Financial Economics.

Presentations

Title: Rainy Day Liquidity

Organization: University of Cincinnati

Location: Chicago

Year: 2018

Title: The Cost of Routing Orders to HFTs

Organization: Kepos Capital

Location: New York, NY

Year: 2018

Title: Order Anticipation around Predictable Trades

Organization: Financial Management Association

Location: Boston, MA

Year: 2017

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