Ciamac C. Moallemi

Columbia Business School - Decision Risk and Operations

Assistant Professor

New York, NY

United States

http://moallemi.com/ciamac

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 5,463

SSRN RANKINGS

Top 5,463

in Total Papers Downloads

8,351

SSRN CITATIONS
Rank 4,969

SSRN RANKINGS

Top 4,969

in Total Papers Citations

78

CROSSREF CITATIONS

162

Scholarly Papers (16)

1.
Downloads 3,518 ( 3,101)
Citation 59

An Economic Analysis of the Bitcoin Payment System

Columbia Business School Research Paper No. 17-92
Number of pages: 60 Posted: 28 Aug 2017 Last Revised: 15 Mar 2019
Gur Huberman, Jacob Leshno and Ciamac C. Moallemi
Columbia Business School - Finance and Economics, Chicago Booth and Columbia Business School - Decision Risk and Operations
Downloads 3,014 (3,958)
Citation 70

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Bitcoin, blockchain, monopoly, deadweight-loss, queueing, two-sided markets, market design, cryptocurrency

Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System

Bank of Finland Research Discussion Paper No. 27/2017
Number of pages: 56 Posted: 06 Sep 2017 Last Revised: 03 Dec 2017
Gur Huberman, Jacob Leshno and Ciamac C. Moallemi
Columbia Business School - Finance and Economics, Chicago Booth and Columbia Business School - Decision Risk and Operations
Downloads 503 (59,597)

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Bitcoin, blockchain, queueing, two-sided markets, market design, cryptocurrency

Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System

CEPR Discussion Paper No. DP12322
Number of pages: 55 Posted: 26 Sep 2017
Gur Huberman, Jacob Leshno and Ciamac C. Moallemi
Columbia Business School - Finance and Economics, Chicago Booth and Columbia Business School - Decision Risk and Operations
Downloads 1 (737,106)
Citation 4
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Bitcoin, blockchain, cryptocurrency, market design, queueing, Two-sided markets

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 618 (46,373)
Citation 18

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Portfolio Choice, Transaction Costs, Return Predictability, Portfolio Execution

3.

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 591 (49,159)
Citation 13

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High-Frequency Trading, Latency

4.

Welfare Analysis of Dark Pools

Number of pages: 52 Posted: 16 Apr 2012 Last Revised: 15 Jul 2018
Krishnamurthy Iyer, Ramesh Johari and Ciamac C. Moallemi
University of Minnesota - Twin Cities - Department of Industrial and Systems Engineering, Stanford University and Columbia Business School - Decision Risk and Operations
Downloads 585 (49,834)

Abstract:

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dark pools, welfare, adverse selection, competitive markets

5.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015
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 479 (64,052)
Citation 18

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

6.

A Model for Queue Position Valuation in a Limit Order Book

Columbia Business School Research Paper No. 17-70
Number of pages: 33 Posted: 05 Jul 2017
Ciamac C. Moallemi and Kai Yuan
Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 452 (68,941)
Citation 3

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7.

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 363 (89,054)
Citation 9

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

8.

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 Business School - Decision Risk and Operations
Downloads 358 (90,455)
Citation 7

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Central clearing, swaps, systemic risk

9.

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

Number of pages: 68 Posted: 11 Jul 2014 Last Revised: 09 Oct 2018
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 355 (91,338)
Citation 2

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

10.

The Exploration-Exploitation Trade-off in the Newsvendor Problem

Columbia Business School Research Paper No. 14-61
Number of pages: 69 Posted: 26 Nov 2014 Last Revised: 27 Jun 2019
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 324 (101,217)
Citation 5

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demand censoring, inventory management, dynamic learning, finite time analysis, newsvendor, myopic policy, exploration-exploitation trade-off, Bayesian analysis

11.

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
University of Minnesota - Twin Cities - Department of Industrial and Systems Engineering, Stanford University and Columbia Business School - Decision Risk and Operations
Downloads 282 (117,595)
Citation 3

Abstract:

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information aggregation, smooth markets, cost functions

12.

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

Columbia Business School Research Paper No. 14-13
Number of pages: 60 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 204 (162,076)
Citation 2

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13.

Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution

Columbia Business School Research Paper No. 19-4
Number of pages: 37 Posted: 20 Nov 2018
Seungki Min, Costis Maglaras 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 76 (340,178)

Abstract:

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portfolio execution, optimal liquidation, price impact

14.

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 64 (373,221)

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15.

Universal Reinforcement Learning

IEEE Transactions on Information Theory, Vol. 56, No. 5, pp. 2441-2454, May 2010
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 47 (430,464)

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16.

Convergence of Min-Sum Message-Passing for Convex Optimization

IEEE Transactions on Information Theory, Vol. 56, No. 4, pp. 2041-2050, April 2010
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 35 (480,469)

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