Mehmet Saglam - Research



	Publications: "The Cost of Exposing Large Institutional Orders to Electronic Liquidity Providers" (with Robert Battalio and Brian Hatch) Management Science, Forthcoming. "High Frequency Market Making: The Role of Speed" (with Yacine Ait-Sahalia ) Journal of Econometrics, Forthcoming. "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: "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 "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 "The Limits to Predatory Trading: Experimental Evidence" (with Brian Kluger) SEA 2022 "Rainy Day Liquidity?" (with Jingzhi Huang, Xin Li and Tong Yu) FMA 2019, CICF 2019 "Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands" (with Pierre Collin-Dufresne and Kent Daniel) FMA 2022 "Retail Order Handling and Trading Costs: Evidence from Robinhood's Market Order Collaring" (with Preston Mantel)