Dale W.R. Rosenthal
Clinical Assistant Professor
Department of Finance

Tel: +1 312 399 2014
Email: dale.rosenthal@gmail.com

Leaving Academia! I am going back to industry and am still interviewing. Therefore, I am transitioning to an institution-agnostic website.
You can find my resume and most of what is here (plus some new material) at the new site.

Ph.D., Statistics, University of Chicago, August 2008
B.S., Electrical Engineering, Cornell University, May 1995

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

Curriculum Vitae       Bio

I study trading and financial distress using financial econometrics and market microstructure. I also study information dissemination delays.

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

Recipient, QuantValley/FdR Quantitative Management Initiative research grant, May 2012
Modeling Trade Direction. Journal of Financial Econometrics, 10(2), 2012, 390-415.   (Online Addendum,  Code).

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

Teaching and Advice
Information about the courses I teach (core: investments; advanced: microstructure/trading, commodities).
For fun, check out an animated yield curve (1990–2015 Q1; with SPX, TED spread, VIX) in a movie I made for Intro Investments students.

My advanced topics classes attract some of UIC's brightest students. If you are hiring, I highly recommend talking to them:
Commodities 2013 Resume Book.

My general advice about courses to take for those interested in graduate school or working in quantitative finance.
Advice on succeeding at UIC: UIC 2014 Orientation Slides.

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