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
I study trading and financial distress through the lenses of financial econometrics and market microstructure. I have also studied delays in disseminating information.

Recipient, QuantValley/FdR Quantitative Management Initiative research grant (€ 5,000), May 2012

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

Modeling Trade Direction. Journal of Financial Econometrics, 10(2), 2012, 390-415.   (Online Addendum).

Market Structure, Counterparty Risk, and Systemic Risk. Submitted.
Approximating Correlated Defaults. Submitted.
Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model. (joint with Kris Boudt and Ellen C.S. Paulus) In revision.
Performance Metrics for Algorithmic Traders. In revision.
Transaction Taxes in a Price Maker/Taker Market. (joint with Nordia Thomas)
Index Arbitrage and Refresh Time Bias in Covariance Estimation. (joint with Jin Zhang)
Increasing Shareholder Value? A Study of Share Repurchases. (joint with Nitish Sinha)
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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