Dale W.R. Rosenthal
Department of Statistics
The University of Chicago
5734 S. University Ave.
Chicago, IL, 60637, USA
drosenth@uchicago.edu
Education
The University of Chicago, Chicago, IL
Ph.D. in Statistics (specialization in financial econometrics), expected June 2008
Dissertation: The Trade Signing Problem and Nearly-Gamma Random Variables
Committee: Per Mykland (Advisor), Stephen Stigler, David Modest.
Cornell University, Ithaca, NY
B.S. in Electrical Engineering, June 1995
| • | Inaugural Plotnick Fellowship (one of two chosen), Physical Sciences Division, The University of Chicago | 2004-present |
| • | Nominee, Physical Sciences Division annual teaching prize | 2007 |
| • | Travel Award, Kent-Purdue Minisymposium on Mathematical Finance, Kent, OH | Spring 2007 |
| • | Admitted with full funding, Institute for Computational Economics, Argonne, IL | Summer 2005 |
Research Interests
| • | Financial market microstructure, especially electronic trading and liquidity effects |
| • | Analysis of multivariate high-frequency financial time series |
| • | Applications of random effects models to financial data |
| • | Dynamic modeling of the trading process and market microstructure |
| • | Incentives induced by financial industry pay and fee structures |
| • | Likelihood asymptotics for market phenomena |
Publications
| • | "Data Delays, Index Deletions, Prepayments, and Defaults." Submitted |
| • | "Modeling Trade Direction." Working Paper |
Teaching Experience
| The University of Chicago, Chicago, IL | ||
| • | Head TA, Financial Data Analysis (Stat 339/FinMath 331) | Fall 2007 |
| • | Sole TA, Statistical Inference for Financial Data (Stat 338) | Winter 2007 |
| ° Lectured for half of classes; focused on market microstructure and electronic trading. | ||
| • | Head TA, Applied Regression Analysis (Stat 224/HealthSt 324) | Fall 2006 |
| • | Sole TA, Linear Models and Experimental Design (Stat 222) | Spring 2006 |
| • | Sole TA, Design and Analysis of Experiments (Stat 345) | Winter 2006 |
| ° Critiqued code and wrote exemplar for estimating random effects via PL and REML. | ||
| • | Head TA, Statistical Inference and Applications to Trading (FinMath 333) | Spring 2005 |
| ° Advised on and graded all final projects (implementations of simple alpha strategies). | ||
| • | TA, Statistical Methods and Applications (Stat 220) | Fall 2004 |
Industry Experience
| Self-employed. Chicago, IL | June 2004-August 2004 | |
| • | Gathered data from myriad sources; computed daily metrics; and, calculated expected alphas | |
| • | Traded 6x6 name long-short equity portfolio to minimize time skew and market impact; hedged excess market risk with ETFs. | |
| • | Made 23% return (despite 18% cash reserve); daily P&L volatility of 1.4%. | |
| Morgan Stanley. New York, NY | March 2000-September 2003 | |
| Proprietary Researcher/Trader, Equity Trading Lab | ||
| • | Estimated alphas, researched hedge, and traded all sections of index rebalance trade. | |
| • | Modeled market impact via three datasets: 1.5MM US ticks, 4MM European ticks, and 250k real trades. | |
| • | Analyzed ECN transactions to measure hidden liquidity, execution speed, and depth. | |
| • | Analyzed market maker transactions to measure speed, depth, and auto-execution probability. | |
| • | Developed decomposition of trading performance into noise and skill components, allowing analysis of execution with 75% less data. | |
| • | Researched/automated trading of guaranteed benchmark (VWAP/close/part-day) orders and facilitation of customer orders. | |
| Long-Term Capital Management. Greenwich, CT | June 1995-February 2000 | |
| Strategist, Equity Derivatives | ||
| • | Wrote programs to create optimal equity baskets for index arb and synthetically hedging CBs/warrants. | • | Assisted with trading Japanese warrant strategy. |
| Goldman Sachs. New York, NY | September 1993-August 1994 |
| Intern Programmer/Analyst, Listed Equities |
Presentations
| • | "Modeling Trade Direction." Stuart School of Business, Illinois Institute of Technology | January 2008 |
| • | "Trade Signing and Nearly-Gamma Random Variables." Stevanovich Center for Financial Mathematics Seminar Series, The University of Chicago | December 2007 |
| • | "Critique of Liquidity Risk and Arbitrage Pricing Theory by Çetin, Jarrow, and Protter." Second Year Statistics Ph.D. Mini-seminars, The University of Chicago | March 2006 |
| • | "Review of A Study of the Augmented System and Column-Splitting Approaches for Solving Two-Stage Stochastic Linear Programs by Interior-Point Methods by Czyzyk, Fourer, and Mehrotra." Industrial Engineering and Management Science, Northwestern University | March 2006 | • | "Review of A New Statistic for Influence in Linear Regression by Peña." First Year Statistics Ph.D. Mini-seminars, The University of Chicago | May 2005 |
Memberships
| • | Institute of Mathematical Statistics (IMS) | 2005-present |
| • | American Statistical Association (ASA) | 2005-present |
| • | The Econometric Society | 2005-present |
| • | Society for Industrial and Applied Mathematics (SIAM) | 2007-present |
| • | Society for Financial Studies (SFS) | 2007-present |
| • | American Finance Association (AFA) | 2007-present |
| • | Society for Financial Econometrics (SoFiE) | 2008-present |