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      Bio      Media Appearances
Research
- Financial market microstructure, especially liquidity and high-frequency trading
- Financial firm distress and systemic risk
- Financial econometrics (especially ultra-high-frequency and vast data)
- Delays in publishing/processing financial information

Slides from recent presentations.
Papers may be found on my SSRN author page.

Modeling Trade Direction. Forthcoming, Journal of Financial Econometrics.   (Online Addendum).

Increasing Shareholder Value? A Study of Share Repurchases. (joint with Nitish Sinha)
Index Arbitrage and Refresh Time Bias in Covariance Estimation. (joint with Jin Zhang)
Transaction Taxes in a Price Maker/Taker Market. (joint with Nordia Thomas)
Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model. (joint with Kris Boudt and Ellen C.S. Paulus) Submitted
Market Structure, Counterparty Risk, and Systemic Risk. Submitted
Performance Metrics for Algorithmic Traders. Submitted
Approximating Correlated Defaults. A reworking of "Data Delays". Develops metrics for default-approximating portfolio..
Teaching and Advice
Information about the courses I teach (microstructure/trading, commodities, investments).

My general advice about courses to take for those interested in graduate school or working in quantitative finance.
Miscellaneous

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