Mehmet Sağlam

Professor, Johnson Professorship

Academic Director, Johnson Investment Institute

Department of Finance, Real Estate and Insurance & Risk Management

Carl H. Lindner College of Business

University of Cincinnati

mehmet.saglam@uc.edu

Publications

"Rainy Day Liquidity?" (with Jingzhi Huang, Xin Li and Tong Yu)
Management Science, 2026, 72(3): 2634-2655.

"The Limits to Predatory Trading: Experimental Evidence" (with Brian Kluger)
Journal of Behavioral Finance, 2024, 27(1): 91-112.

"The Cost of Exposing Large Institutional Orders to Electronic Liquidity Providers" (with Robert Battalio and Brian Hatch)
Management Science, 2024, 70(6): 3381-4165.

"High Frequency Market Making: The Role of Speed" (with Yacine Ait-Sahalia)
Journal of Econometrics, 2024, 239: 105421.

"Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch" (with Vincent Bogousslavsky and Pierre Collin-Dufresne)
Journal of Financial Economics, 2021, 139(3): 922-949.

"Liquidity Regimes and Optimal Dynamic Asset Allocation" (with Pierre Collin-Dufresne and Kent Daniel)
Journal of Financial Economics, 2020, 136(2): 379-406.

"Order Anticipation around Predictable Trades"
Financial Management, 2020, 49(1): 33-67.

"Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality" (with Ciamac Moallemi and Michael Sotiropoulos)
Journal of Financial Markets, 2019, 42: 1-28.

"Dynamic Portfolio Choice with Linear Rebalancing Rules" (with Ciamac Moallemi)
Journal of Financial and Quantitative Analysis, 2017, 52(3): 1247-1278.

"The Cost of Latency in High Frequency Trading" (with Ciamac Moallemi)
Operations Research, 2013, 61(5): 1070-1086 (Lead Article).

"Housing Prices and Optimal Time-on-the-Market Decision" (with Hazer Inaltekin, Robert Jarrow, and Yildiray Yildirim)
Finance Research Letters, 2011, 8(4): 171-179.

"Option Market Making under Inventory Risk" (with Sasha Stoikov)
Review of Derivatives Research, 2009, 12(1): 55-79.

Working Papers

"Difficulties in obtaining a representative sample of retail trades from public data sources" (with Robert Battalio, Bob Jennings and Jun Wu)

FMA 2024, Microstructure Exchange 2023

"Pump and Dump: Price Manipulation in Experimental Markets" (with Brian Kluger)

SEA 2025, Experiments in FinTech

"Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands" (with Pierre Collin-Dufresne and Kent Daniel)

FMA 2022, Princeton SCFE conference

"Democratizing or Demoralizing: The Impact of Robinhood's Order Types on Retail Trading Costs" (with Preston Mantel)

FMA 2023, Microstructure Exchange 2023

Media: Bloomberg Opinion (September 2024)

"High Frequency Market Making: Implications for Liquidity" (with Yacine Ait-Sahalia)

AEA 2017, FTG Summer Conference 2017

"Do ETFs Increase Liquidity?" (with Tugkan Tuzun and Russ Wermers)

8th Luxembourg Asset Management Conference, EFA 2019, NFA 2018, 2nd SAFE Market Microstructure Conference

"Dynamic Asset Allocation with Predictable Returns and Transaction Costs" (with Pierre Collin-Dufresne, Kent Daniel, and Ciamac Moallemi)

AFA 2015, FRIC 2014: Conference on Financial Frictions, Ninth Imperial College Hedge Fund Conference, LSE Roundtable on Asset Management