Ciamac C. Moallemi

Columbia University - Columbia Business School, Decision Risk and Operations

Assistant Professor

New York, NY

United States

http://moallemi.com/ciamac

SCHOLARLY PAPERS

19

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10,635

SSRN CITATIONS
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SSRN RANKINGS

Top 4,414

in Total Papers Citations

129

CROSSREF CITATIONS

176

Scholarly Papers (19)

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

Columbia Business School Research Paper No. 17-92
Number of pages: 77 Posted: 28 Aug 2017 Last Revised: 28 Jan 2021
Gur Huberman, Jacob Leshno and Ciamac C. Moallemi
Columbia University - Columbia Business School, Finance, Chicago Booth and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 3,640 (4,132)
Citation 96

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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: 18 Nov 2021
Gur Huberman, Jacob Leshno and Ciamac C. Moallemi
Columbia University - Columbia Business School, Finance, Chicago Booth and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 889 (37,420)

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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 University - Columbia Business School, Finance, Chicago Booth and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 2 (912,865)
Citation 9
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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 University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 676 (54,790)
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 University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 638 (59,083)
Citation 15

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High-Frequency Trading, Latency

4.

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 University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 637 (59,211)
Citation 5

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5.

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 University - Columbia Business School, Decision Risk and Operations
Downloads 612 (62,210)

Abstract:

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dark pools, welfare, adverse selection, competitive markets

6.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 570 (68,092)
Citation 20

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

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 University - Columbia Business School, Decision Risk and Operations, Columbia University - Columbia Business School, Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 452 (90,563)
Citation 9

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

8.

The Exploration-Exploitation Trade-off in the Newsvendor Problem

Columbia Business School Research Paper No. 14-61
Number of pages: 70 Posted: 26 Nov 2014 Last Revised: 04 Nov 2021
Omar Besbes, Juan Chaneton and Ciamac C. Moallemi
Columbia University - Columbia Business School, Decision Risk and Operations, Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 424 (97,335)
Citation 5

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

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 University - Columbia Business School, Decision Risk and Operations and Bank of America - Bank of America Merrill Lynch
Downloads 419 (98,658)
Citation 2

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

10.

Hidden Illiquidity with Multiple Central Counterparties

Number of pages: 32 Posted: 07 Nov 2014
Paul Glasserman, Ciamac C. Moallemi and Kai Yuan
Columbia University - Columbia Business School, Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 369 (114,080)
Citation 14

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Central clearing, swaps, systemic risk

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 University - Columbia Business School, Decision Risk and Operations
Downloads 294 (145,448)
Citation 3

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information aggregation, smooth markets, cost functions

12.

A Deep Learning Approach to Estimating Fill Probabilities in a Limit Order Book

Number of pages: 23 Posted: 30 Aug 2021
Costis Maglaras, Ciamac C. Moallemi and Muye Wang
Columbia University - Columbia Business School, Decision Risk and Operations, Columbia University - Columbia Business School, Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 261 (164,159)

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Deep Learning, Limit Order Fill Probabilities, Market Microstructure

13.

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 University - Columbia Business School, Decision Risk and Operations, Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 240 (178,142)
Citation 2

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14.

A Reinforcement Learning Approach to Optimal Execution

Number of pages: 38 Posted: 30 Aug 2021 Last Revised: 15 Nov 2021
Ciamac C. Moallemi and Muye Wang
Columbia University - Columbia Business School, Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 195 (216,227)

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Reinforcement Learning, Optimal Execution

15.

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
Korea Advanced Institute of Science and Technology (KAIST), Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 132 (298,077)
Citation 3

Abstract:

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portfolio execution, optimal liquidation, price impact

16.

The Execution Game

Columbia Business School Research Paper Forthcoming
Number of pages: 42 Posted: 25 Aug 2011
Ciamac C. Moallemi
Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 69 (450,197)

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17.

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 University - Columbia Business School, Decision Risk and Operations, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford University - Department of Management Science & Engineering
Downloads 53 (510,983)

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18.

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 University - Columbia Business School, Decision Risk and Operations and Stanford University - Department of Management Science & Engineering
Downloads 37 (587,981)

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19.

Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective

Number of pages: 60 Posted: 18 Mar 2022
Seungki Min, Ciamac C. Moallemi and Costis Maglaras
Korea Advanced Institute of Science and Technology (KAIST), Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 26 (656,017)

Abstract:

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optimal execution, algorithmic trading, conditional value-at-risk, risk measure