Ciamac C. Moallemi

Columbia Business School - Decision Risk and Operations

Assistant Professor

New York, NY

United States

http://moallemi.com/ciamac

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 12,083

SSRN RANKINGS

Top 12,083

in Total Papers Downloads

3,147

CITATIONS
Rank 40,132

SSRN RANKINGS

Top 40,132

in Total Papers Citations

4

Scholarly Papers (13)

1.

The Cost of Latency in High-Frequency Trading

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 27 Feb 2013
Ciamac C. Moallemi and Mehmet Saglam
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 447 (42,014)
Citation 2

Abstract:

High-Frequency Trading, Latency

2.

Dynamic Portfolio Choice with Linear Rebalancing Rules

Number of pages: 59 Posted: 27 Feb 2012 Last Revised: 26 Mar 2015
Ciamac C. Moallemi and Mehmet Saglam
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 330 (46,784)
Citation 1

Abstract:

Portfolio Choice, Transaction Costs, Return Predictability, Portfolio Execution

3.

Welfare Analysis of Dark Pools

Number of pages: 45 Posted: 16 Apr 2012 Last Revised: 02 Dec 2016
Krishnamurthy Iyer, Ramesh Johari and Ciamac C. Moallemi
School of Operations Research and Information Engineering, Cornell University, Stanford University and Columbia Business School - Decision Risk and Operations
Downloads 263 (61,354)

Abstract:

dark pools, welfare, adverse selection, competitive markets

4.

Information Aggregation and Allocative Efficiency in Smooth Markets

Number of pages: 24 Posted: 02 Apr 2010 Last Revised: 01 Nov 2011
Krishnamurthy Iyer, Ramesh Johari and Ciamac C. Moallemi
School of Operations Research and Information Engineering, Cornell University, Stanford University and Columbia Business School - Decision Risk and Operations
Downloads 234 (97,102)
Citation 1

Abstract:

information aggregation, smooth markets, cost functions

5.

Hidden Illiquidity with Multiple Central Counterparties

Number of pages: 32 Posted: 07 Nov 2014
Paul Glasserman, Ciamac C. Moallemi and Kai Yuan
Columbia Business School, Columbia Business School - Decision Risk and Operations and Columbia University - Columbia Business School
Downloads 210 (75,608)

Abstract:

Central clearing, swaps, systemic risk

6.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics, Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 152 (87,087)

Abstract:

Dynamic Asset Allocation, Return Predictability, Transaction Costs

7.

Short-Term Trading Skill: An Analysis of Investor Heterogeneity and Execution Quality

Number of pages: 59 Posted: 11 Jul 2014 Last Revised: 28 Sep 2016
Mehmet Saglam, Ciamac C. Moallemi and Michael Sotiropoulos
University of Cincinnati - Department of Finance - Real Estate, Columbia Business School - Decision Risk and Operations and Bank of America - Bank of America Merrill Lynch
Downloads 144 (106,190)

Abstract:

Short-term Return Predictability, Institutional Trading, Execution Quality, Algorithmic Trading

8.

Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets

Columbia Business School Research Paper No. 14-13
Number of pages: 47 Posted: 05 Mar 2014
Costis Maglaras, Ciamac C. Moallemi and Hua Zheng
Columbia Business School - Decision Risk and Operations, Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 111 (156,596)

Abstract:

9.

Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model

Columbia Business School Research Paper No. 15-60
Number of pages: 37 Posted: 27 May 2015
Costis Maglaras, Ciamac C. Moallemi and Hua Zheng
Columbia Business School - Decision Risk and Operations, Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 97 (127,424)

Abstract:

market impact, electronic limit order book, applied stochastic models, market microstructure

10.

The Exploration-Exploitation Trade-off in the Newsvendor Problem

Columbia Business School Research Paper No. 14-61
Number of pages: 54 Posted: 26 Nov 2014 Last Revised: 09 Jun 2015
Omar Besbes, Juan Chaneton and Ciamac C. Moallemi
Columbia Business School - Decision Risk and Operations, Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 97 (125,035)

Abstract:

demand censoring, inventory management, dynamic learning, newsvendor, Bayesian analysis

11.

The Execution Game

Columbia Business School Research Paper Forthcoming
Number of pages: 42 Posted: 25 Aug 2011
Ciamac C. Moallemi
Columbia Business School - Decision Risk and Operations
Downloads 44 (297,926)

Abstract:

12.

Universal Reinforcement Learning

IEEE Transactions on Information Theory, Vol. 56, No. 5, pp. 2441-2454, May 2010, Columbia Business School Research Paper No. 11-22
Number of pages: 15 Posted: 20 Oct 2011
Ciamac C. Moallemi, Vivek F. Farias and Benjamin Van Roy
Columbia Business School - Decision Risk and Operations, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford University - Management Science & Engineering
Downloads 33 (359,835)

Abstract:

13.

Convergence of Min-Sum Message-Passing for Convex Optimization

IEEE Transactions on Information Theory, Vol. 56, No. 4, pp. 2041-2050, April 2010, Columbia Business School Research Paper No. 11-23
Number of pages: 11 Posted: 20 Oct 2011
Ciamac C. Moallemi and Benjamin Van Roy
Columbia Business School - Decision Risk and Operations and Stanford University - Management Science & Engineering
Downloads 13 (381,877)

Abstract: