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
Fall 2009: Finance 494/594, Market Microstructure and Electronic Trading.     Tuesdays+Thursdays, 3:30-5:00pm, Lecture Center A7
- Yes: microstructure for undergraduates and graduates. Email me for approval to sign up.
- U of C, UIUC, and Northwestern students: Register via the CIC Traveling Scholar Program
- Practitioners: This will probably be offered through UIC External Education (as in Fall 2008). Watch this space for more info.

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
- Analysis of high-frequency multivariate financial data
- Commodity and related (weather, emissions, shipping) markets
- Effects of finance industry pay structures
- Likelihood asymptotics for market phenomena
Publications
All work may be found on my SSRN author page.

Modeling Trade Direction. Submitted.
Performance Metrics for Algorithmic Traders.
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.
Conference
I helped organize a conference on R in finance April 24-25 here at UIC. Stay tuned for information on the 2010 conference.
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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