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

Click here for Keiths homepage

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. . 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


Stanford Business School
Finance Department

518 Memorial Way
Stanford University
Stanford, CA 94305-5015

[email protected]


Program is called Stanford Business School PhD in finance. Stanford has one of the strongest finance departments (Duffie and Singleton), it is very close to Silicon Valley and has excellent resources (the climate and such :)

Following is a list of professors according to my PhD topic. If you know anyone give them a call at the above number and also mention them in the reference. If I have missed out anyone or you know some nice research URL-s they have let me know.


Asset Pricing

Venture cap. Financial int.

Other Finance



Anat R. Admati

Paul C. Pfleiderer


J. Darrell Duffie

Ming Huang

Harrison G. Hong

Kenneth J. Singleton

Manju Puri

Ilan Kremer

Peter DeMarzo

Steven R. Grenadier

John G. McDonald

George G. C. Parker

James C. Van Horne

Jeffrey H. Zwiebel

C. Lanier Benkard

Jeremy I. Bulow

Yossi Feinberg

Robert J. Flanagan

Thomas Hellmann

Peter B. Henry

David M. Kreps

Edward Lazear

John McMillan

Paul E. Oyer

Sven Rady

Peter C. Reiss

D. John Roberts

Paul Romer

Garth Saloner

Andrea Shepard

Andrzej Skrzypacz

V. Brian Viard

Matthew White

Robert B. Wilson

Stern (New York University)

phone: (212) 998-0740

fax: (212) 995-4214

e-mail: [email protected]

Leonard N. Stern School of Business

Doctoral Office, Tisch Hall

40 West Fourth Street, Suite 8-11

New York, NY 10012-1118


Stern is located in New York, which is very convenient, has extremely up-to-date research and lots of resources, very strong links with the Currant institute, which is one of the best applied math places in US. It has a lot larger faculty than Stanford.


Microstructure / Asset Pricing

Other Finance



Edward I. Altman

Yakov Amihud

Joel Hasbrouck

Matthew Richardson

Gideon Saar

Jacob (Kobi) Boudoukh

Menachem Brenner

Jennifer Carpenter

Matthew Clayton

Aswath Damodaran

Yakov Amihud

Stephen J. Brown

Edwin J. Elton

Stephen Figlewski

Joel Hasbrouck

Richard M. Levich

Crocker H. Liu

Zsuszanna Fluck


Martin J. Gruber

Kose John

Michael Keenan

Anthony W. Lynch

Vicente Madrigal

Rita Maldonado-Bear

Jianping Mei

Eli Ofek

Matthew P. Richardson

William L. Silber

Marti G. Subrahmanyam

Ingo Walter

Robert F. Whitelaw

David Yermack

Jarl G. Kallberg

[email protected]

Coordinator of the Finance PhD Program;

Marti Subhramanyan

William H. Greene

[email protected]

Coordinator of Economics PhD

Anthony Saunders

Xavier Martin

David K. Backus

Jose Manuel Campa

George Daly

Daniel Diamond

Nicholas Economides

Fredrick Flyer

Barbara G. Katz

Giuseppe Lopomo

Rita Maldonado-Bear

Thomas A. Pugel

Roy Radner

Ryuzo Sato

William L. Silber

Marti G. Subrahmanyam

Richard Sylla

Robert A. Kavesh

Nouriel Roubini

Paul Wachtel

Ingo Walter

Lawrence J. White

Holger C. Wolf

Clifford M. Hurvich [email protected]

Coordinator of Statistics









Harvard University, Office of Admissions

The Graduate School of Arts and Sciences

P.O. Box 9129, Cambridge, MA 02238-9129

(617) 496-6100 (Please call between 2:00 pm and 5:00 pm Eastern Standard Time)

e-mail: [email protected]


Harvard is a big place where you actually start your PhD in economics and then specialize in Finance.

It is a bit removed from all Internet activities though. Also my sister is already going there.



Asset Pricing

Other Finance


Sanjiv R. Das - na

[email protected]: (617) 496-2442 Li M-8

ap Samuel Thompson

[email protected]

(617) 496-1526

Office Hours: - 125

Tuesdays, 3:30-5:00 PM

George Chacko - das's friend

Tel: 617-495-6884 / Fax: 617-496-6592.

Email: [email protected]


Laurent Calvet

[email protected] (617) 495-4129 Li316

Rafael LaPorta

[email protected]

 (617) 495-9592 L- M-7

John Y. Campbell

Thursdays 11:30 AM - 12:30 PM and 1:30 PM - 2:30 PM

(617) 496-6448

[email protected]

Jeremy Stein

 (617) 496-6455

[email protected] L- Center Room 209

ap Tuomo Vuolteenaho

(617) 496-6284 L- 312

[email protected]

Mondays 2:00-3:30 PM

Jeffrey T. Slovin

Sundaram, R.


Gregory Mankiw  (617) 495-4301

[email protected]
Robert Barro


MIT Sloan School 

[email protected]

The Ph.D. Program in Management
MIT Sloan School
30 Memorial Dr., E60-321 Cambridge, MA 02139-4307

(617) 253-7188

This is a small extremely well resourced place that is highly recommended by the people I talked to about my PhD. Again its in Boston which is cold and in the middle of nowhere. However, the faculty is impressive, so it is sharing a third position with Harvard.



Asset Pricing

Venture Capital


Kenneth French

Office E52-454

Tel 617-258-8365

[email protected] 

Ap Dimitrios Vayanos

Office E52-437

Tel 617-253-2956

[email protected] 

Ap Jiang Wang

Office E52-435

Tel 617-253-2632

[email protected]

Ap Gregory A.Willard

Office E52-431

Tel 617-253-2933

[email protected]

John C.Cox

Office E52-476


[email protected] 

Jonathan W.Lewellen

Office E52-436

Tel 617-258-8408

[email protected] 

Stephen A.Ross

Office E52-443

Tel 617-258-8371

[email protected] 

Ap Raman Uppal

Office E52-410

Tel 617-253-7159

Andy Lo

S.P. Kothari

Office E52-325

Tel 617-253-0994

[email protected] 

Stewart C.Myers

Office E52-451

Tel 617-253-6696

[email protected] 

Rudi Dornbusch
Tel 617-253-3648 
 Email [email protected]  
Franco Modigliani
Office E53-417 
Tel 617-253-7153 
[email protected]  
Thomas M.Stoker


Columbia Business School

804 Uris, 3022 Broadway, Mail Code 9133

New York, NY 10027-6902

(212) 854-2836

Fax: (212) 932-2359

Doctoral Program is 2141


It is in New York and has a very good faculty, although Stern is better and this is like an insurance choice.


Asset Pricing

Financial Intermediaries

Franklin R. Edwards

Lawrence R. Glosten

ap Yasushi Hamao

Matthew Rhodes-Kropf


Michael Adler

John B. Donaldson

Bruce C. N. Greenwald

Geoffrey M. Heal

Robert J. Hodrick

Gur Huberman

Charles Jones

Larry Selden

Suresh M. Sundaresan

Michael van Biema

Finance Computer Science.

Zhenyu Wang

Suresh Sunderesan

Kyle Bagwell

Charles W. Calomiris


My brief CV

Cambridge University Economics in 1999. Full scholarship, finance, statistics and math as specialised subjects. BA degree with automatic MA.


Software development while Cambridge and after in New York for various companies. Mostly trading related. Online trading sites(, shipping space exchanges (


April 2000, Sanford Bernstein later merged into Alliance Capital. Money management. I was in fixed income research, larger projects where a scoring model for junk bonds and OLAP portfolio analysis tools.

I have written articles in Estonian economics newspapers and am certified in all major programming languages.


Publications in Estonia regarding currency board and tariffs.

Publications in IT communities including open source and large database issues.


The deadline for the applications is from 2nd of January onwards; ideally I would need the references two weeks before (so in two weeks).


Thanks a lot for your time!


Keith Siilats ([email protected] 646 345 3758)



[email protected]  

Geoffrey Edwards [email protected]

Uysal, Enis (212) 407-5938 [email protected]

Firoozye, Nick  (212) 756-5842 [email protected]

Gary Gottlieb

Mart Siiman

Alastair Fisher