Dale W. R. Rosenthal

Q36 LLC

332 S. Michigan Ave.

Suite 900

Chicago, IL 60604

United States

http://www.q36llc.com

SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

Top 12,238

in Total Papers Downloads

4,884

SSRN CITATIONS
Rank 20,899

SSRN RANKINGS

Top 20,899

in Total Papers Citations

12

CROSSREF CITATIONS

37

Scholarly Papers (8)

1.

Performance Metrics for Algorithmic Traders

UIC College of Business Administration Research Paper No. 09-14
Number of pages: 30 Posted: 28 Jul 2009 Last Revised: 05 Jan 2012
Dale W. R. Rosenthal
Q36 LLC
Downloads 1,485 (15,301)
Citation 1

Abstract:

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trading performance, luck versus skill, order scheduling, price impact

2.
Downloads 1,213 ( 20,816)
Citation 2

Modeling Trade Direction

Number of pages: 25 Posted: 27 Nov 2007 Last Revised: 18 Oct 2011
Dale W. R. Rosenthal
Q36 LLC
Downloads 1,213 (20,459)
Citation 2

Abstract:

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trade classification, delay models, trade publishing delays, prevailing quotes, trade direction, flash crash detection

Modeling Trade Direction

Journal of Financial Econometrics, Vol. 10, No. 2, pp. 390-415, 2012
Posted: 08 Oct 2012
Dale W. R. Rosenthal
Q36 LLC

Abstract:

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delay models, flash crash detection, prevailing quotes, trade classification, trade direction, trade publishing delays

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

Journal of Empirical Finance, 43, 143-158, 2017
Number of pages: 33 Posted: 31 Aug 2010 Last Revised: 21 Nov 2017
Kris Boudt, Ellen C. S. Paulus and Dale W. R. Rosenthal
Ghent University, London Business School - Department of Finance and Q36 LLC
Downloads 536 (63,029)
Citation 1

Abstract:

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Financial distress, funding liquidity, market liquidity, systemic risk, two-regime model

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

National Bank of Belgium Working Paper No. 244
Number of pages: 40 Posted: 19 Nov 2013
Kris Boudt, Ellen C. S. Paulus and Dale W. R. Rosenthal
Ghent University, London Business School - Department of Finance and Q36 LLC
Downloads 75 (387,477)
Citation 24

Abstract:

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equity-collateralized funding liquidity; market liquidity; two-regime model; financial distress

4.

Market Structure, Counterparty Risk, and Systemic Risk

UIC College of Business Administration Research Paper No. 10-12
Number of pages: 57 Posted: 10 Apr 2010 Last Revised: 24 Jul 2014
Dale W. R. Rosenthal
Q36 LLC
Downloads 509 (67,997)
Citation 1

Abstract:

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central clearing, contagion, counterparty risk, systemic risk

5.

Approximating Correlated Defaults

University of Illinois at Chicago College of Business Administration Research Paper Series
Number of pages: 30 Posted: 19 Dec 2008 Last Revised: 02 Oct 2012
Dale W. R. Rosenthal
Q36 LLC
Downloads 312 (119,827)

Abstract:

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default-approximating portfolio, diversity score, default-relative diversification, robust CDO structuring, gamma Edgeworth expansion

6.

Transaction Taxes in a Price Maker/Taker Market

Midwest Finance Association 2013 Annual Meeting Paper, UIC College of Business Administration Research Paper No. 10-13
Number of pages: 65 Posted: 19 Mar 2010 Last Revised: 11 Nov 2014
Dale W. R. Rosenthal, Nordia D. M. Thomas and Hefei Wang
Q36 LLC, University of Wisconsin - La Crosse and University of Illinois at Chicago - Department of Finance
Downloads 283 (132,822)
Citation 1

Abstract:

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transaction tax, Tobin tax, market microstructure, limit order model, market makers, high-frequency trading, search costs

7.

Index Arbitrage and Refresh Time Bias in Covariance Estimation

Number of pages: 16 Posted: 15 Jan 2012 Last Revised: 23 Jan 2012
Dale W. R. Rosenthal and Jin Zhang
Q36 LLC and Bank of America
Downloads 266 (141,639)

Abstract:

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high-frequency volatility estimation, refresh times, bias, data cleaning

8.

Online Addendum: Modeling Trade Direction

Number of pages: 10 Posted: 18 Oct 2011
Dale W. R. Rosenthal
Q36 LLC
Downloads 205 (182,091)

Abstract:

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