CLICK HERE FOR ALL DOCUMENTS like application forms, reference guidelines etc.

Here is some research I have done, also here.

PhD reference request for Keith Siilats 11/30/00

I am applying for a PhD in US in finance and one of the most crucial requirements is a personal reference. Following is a brief summary of where I am going to apply, when and in what to make the reference more relevant. I understand that it is a hassle to write a reference, and I am very grateful for your time and try to make it as simple as possible.

Format of the reference required

I am applying for 5 universities for a PhD in finance. So I need 5 evaluation forms and 5 letters of reference in sealed envelopes with your signature over the back mailed to me. I will send you stamped and addressed envelopes with all the stuff as soon as I get your address. Here are the things I need in the order of importance:

A good reference should probably be relevant to the institution I am applying for and the relevant field so I include a list of the universities according to my preference. If you recognize some of the names or know them personally please let me know and use it in the reference.

All forms are also available from the web including this document should you need to reference it.

www.siilats.com/phd . This also has guides as to how to write the reference and this document.

You can email me at [email protected] , fax me at (+1) (707) 281 0517.

Please mail all things to

366 w 52 st apt 5B,

New York, NY, 10019

My phone is (646) 345 3758 (mobile) or (212) 350 8494 (work)

About my PhD

I want to do my PhD in US. The requirements are some relevant work experience (I have 2 years), a standard GRE exam test (I got maximum 800), good references (I have at least the best people so far), good PhD topic (Ideas follow) and a nice personal statement. Cambridge was financially very difficult, now it is a completely different story, so my motivation levels for going into PhD are pretty high.

PhD is going to be in finance, my first two choices are Stanford, and New York’s Stern.

My PhD Topic

In finance there are three interesting areas that I am considering. I will tour around Stanford, Stern and Boston in the next few weeks and figure it out exactly. Any recommendations are strongly welcome.

Market Microstructure

The idea is to look at how a stock exchange functions and then devise rules that can make money. I have worked with many online trading companies so I have access to nice databases of how people buy stocks. I also work for a money manager in New York in research so I see when they change the allocation of their portfolios and to what extent. Market microstructure is a new and exciting field, it requires considerable computing knowledge because the quantity of data is huge, thus I think I have a good advantage.

In Stanford there are two people that do it. Anat Admati and Paul C. Pfleiderer. They do things like “Sunshine Trading” analysis whereby some liquidity traders announce the size of the next orders.

My idea is to separate traders out into groups using data from online trading site. For example people that look at a given group of stocks and people that don’t. Now based on the relative holding size of those two groups (if people that frequently look hold a lot or not) one can make assumptions based on future short- term volatility of the stock. Those people that look at the stock are called liquidity traders, they will buy when a good opportunity arises and sell when it passes, thus keeping the market in balance and volatility low. However, they have a limit as to how much they can hold legally. Thus if they already hold a considerable size, then their volatility reducing activities are limited, and thus volatility will increase. This should be very valuable information for spot traders in setting their bid and ask spreads.

Asset Pricing

This is a classical PhD topic, theories of how much stocks should cost. My most relevant experience is the research work in New York, as I am in fixed income research, so the subtopic would probably be in pricing credit derivatives or figuring out the spread movements over time.

Financial Intermediaries

This has classically involved looking at how banks affect corporate finance. However, recently, especially in the west coast at Stanford, there is lots of research into e-commerce companies and venture capital. I have little theoretical experience with this, but I doubt anyone does. I have had lots of experience with different .com companies from the inside, as I am doing IT consulting for them. So this would be a less theoretical PhD, which would move me more into business side and increase the expected future earnings.

The places where I want to go

Stanford University

http://gsb-www.stanford.edu/phd/

http://gsb-www.stanford.edu/phd/faculty/roster.html

650.723.2146

Stanford Business School
Finance Department

518 Memorial Way
Stanford University
Stanford, CA 94305-5015

CLICK HERE FOR ALL DOCUMENTS like application forms, reference guidelines etc.

PhD reference request for Keith Siilats 11/30/00

Format of the reference required

About my PhD

My PhD Topic

Market Microstructure

Asset Pricing

Financial Intermediaries

The places where I want to go

Stanford University

David M. Kreps

Stern (New York University)

Michael Keenan

William H. Greene

Anthony Saunders

Xavier Martin

Harvard

John Y. Campbell

MIT Sloan School

Kenneth French

Ap Jiang Wang

[email protected]

Ap Gregory A.Willard

John C.Cox

Stephen A.Ross

Andy Lo

Stewart C.Myers

Columbia

My brief CV