UIC

Dale W.R. Rosenthal
Assistant Professor
Department of Finance
2421 University Hall
601 S Morgan (MC 168)
University of Illinois at Chicago
Tel: +1 312 996 7170
Email: daler@uic.edu
Education
Ph.D., Statistics, The University of Chicago, August 2008
B.S., Electrical Engineering, Cornell University, May 1995

Industry Experience
Proprietary Trader/Researcher, Morgan Stanley, Equity Trading Lab, 2000-2003
Strategist, Long-Term Capital Management, Equity Derivatives, 1995-2000

Curriculum Vitae (PDF) (HTML)      Bio
Teaching
Spring 2010: Finance 494, Commodities and Related Markets.     Tuesdays, 6:00-8:30pm, Lincoln Hall 308
- The only comprehensive commodities course in the US.
- Includes optional site visits and speakers.
- For advanced undergraduates and graduates. Email me for approval to enroll.
Spring 2010: Finance 510, Investments.     Wednesdays, 6:00-8:30pm, Lecture Center A7

Fall 2009: Finance 494, Market Microstructure and Electronic Trading.
Spring 2009: Finance 594, Commodity and Related Markets.
Spring 2009: Finance 510, Investments.
Fall 2008: Finance 594, Market Microstructure and Electronic Trading.
Research
- Financial market microstructure, especially electronic trading and liquidity
- Financial firm distress
- Financial econometrics (especially ultra-high-frequency and vast data)
- Commodity and related (weather, emissions, shipping) markets
Publications
All work may be found on my SSRN author page.

A Network Model of Counterparty Risk.
Performance Metrics for Algorithmic Traders.
Modeling Trade Direction. Submitted.
Approximating Correlated Defaults for Credit Default Options and Swaps. A reworking of "Data Delays". Useful if you trade CBOE CDOpts vs. CDSs.
Data Delays, Index Deletions, Prepayments, and Defaults. Defaults reworked in "Approximating Correlated Defaults". Index deletion work on hold. The rest of the paper is terrible and has been reworked. I suppose I keep it up as a form of intellectual honesty.
Conference
I help organize a conference on R in finance, April 16-17, here at UIC. The first conference was in 2009.
Presentations
Slides, Counterparty and Non-Random Risk (invited presentation), 20 August 2009, at the 57th Session of the International Statistical Institute, Durban, South Africa.
Poster, Approximating Correlated Defaults for Credit Default Options and Swaps, 12 June 2009, at the Society for Financial Econometrics first European conference.
Slides, Modeling Trade Direction, 7 March 2009, at the Midwest Finance Association 2009 annual meeting.
Poster, Modeling Trade Direction, 15 September 2008, at the Oxford-Man Institute of Quantitative Finance conference on Financial Econometrics and Vast Data.
Code
Code used for various articles.
Personal

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