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Ciamac Moallemi: High-Frequency Trading and Market Microstructure

Biography

Columbia Business School
Associate Professor

Biography

Ciamac C. Moallemi is an Associate Professor in the Decision, Risk, and Operations Division of the Graduate School of Business at Columbia University, where he has been since 2007. He received S.B. degrees in Electrical Engineering & Computer Science and in Mathematics from the Massachusetts Institute of Technology (1996). He studied at the University of Cambridge, where he earned a Certificate of Advanced Study in Mathematics, with distinction (1997). He received a Ph.D. in Electrical Engineering from Stanford University (2007). Prior to his doctoral studies, he developed quantitative methods in a number of entrepreneurial ventures: as a partner in a $200 million fixed-income arbitrage hedge fund, as the director of scientific computing at an early-stage drug discovery start-up , and as the founder of a computer security software start-up. Professor Moallemi is an associate editor of Operations Research. He is a member of the IEEE and of INFORMS. He is the recipient of a British Marshall Scholarship (1996) and a Benchmark Stanford Graduate Fellowship (2003). His research interests are in the area of the optimization and control of large-scale stochastic systems, with an emphasis on applications in financial engineering.

Teaching

Fall 2017

Business Analytics (MBA)

Fall 2016

Business Analytics (MBA)

Fall 2015

Business Analytics (MBA)

Fall 2014

Business Analytics (MBA)

Spring 2014

Business Analytics (MBA)

Fall 2013

(PhD) Foundations of Optimization (PHD)

Fall 2012

(PhD) Foundations of Optimization (PHD)

Spring 2012

Quantitative Finance: Models and Computation (MBA)

Research

Journal articles

Dynamic portfolio choice with linear rebalancing rules In Journal of Financial and Quantitative Analysis (forthcoming)
Coauthor(s): Ciamac Moallemi, Mehmet Saglam

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Hidden illiquidity with multiple central counterparties In Operations Research (2016)
Coauthor(s): Paul Glasserman, Ciamac Moallemi, Kai Yuan

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Risk estimation via regression In Operations Research (2015)
Coauthor(s): Mark Broadie, Yiping Du, Ciamac Moallemi

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Information aggregation and allocative efficiency in smooth markets In Management Science (2014)
Coauthor(s): Kris Iyer, Ramesh Johari, Ciamac Moallemi

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An axiomatic approach to systemic risk In Management Science (2013)
Coauthor(s): Chen Chen, Garud Iyengar, Ciamac Moallemi

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The cost of latency in high-frequency trading In Operations Research (2013)
Coauthor(s): Ciamac Moallemi, Mehmet Saglam

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Pathwise optimization for optimal stopping problems In Management Science (2012)
Coauthor(s): Vijay Desai, Vivek Farias, Ciamac Moallemi

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Strategic execution in the presence of an uninformed arbitrageur In Journal of Financial Markets (2012)
Coauthor(s): Ciamac Moallemi, Beomsoo Park, Benjamin Van Roy

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Approximate dynamic programming via a smoothed linear program In Operations Research (2012)
Coauthor(s): Vijay Desai, Vivek Farias, Ciamac Moallemi

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Efficient Risk Estimation via Nested Sequential Simulation In Management Science (2011)
Coauthor(s): Mark Broadie, Yiping Du, Ciamac Moallemi

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Resource allocation via message passing In INFORMS Journal on Computing (2011)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy

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Universal reinforcement learning In IEEE Transactions on Information Theory (2010)
Coauthor(s): Vivek Farias, Ciamac Moallemi, Benjamin Van Roy, Tsachy Weissman

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Convergence of min-sum message-passing for convex optimization In IEEE Transactions on Information Theory (2010)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy

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Convergence of min-sum message passing for quadratic optimization In IEEE Transactions on Information Theory (2009)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy

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Consensus propagation In IEEE Transactions on Information Theory (2006)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy

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Mapping protein pockets through their potential small-molecule binding volumes: QSCD applied to biological protein structures In Journal of Computer-Aided Molecular Design (2004)
Coauthor(s): Keith Mason, Nehal Patel, Aric Ledel, Ciamac Moallemi, Edward Wintner

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Protein family annotation in a multiple alignment viewer In Bioinformatics (2003)
Coauthor(s): Jason Johnson, Keith Mason, Ciamac Moallemi, Hualin Xi, Shyamal Somaroo, Enoch Huang

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Quantized surface complementarity diversity (QSCD): A model based on small molecule-target complementarity In Journal of Medicinal Chemistry (2000)
Coauthor(s): Edward Wintner, Ciamac Moallemi

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Classifying cells for cancer diagnosis using neural networks In IEEE Expert (1991)
Coauthor(s): Ciamac Moallemi

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Chapters

Bounds for Markov decision processes In Reinforcement Learning and Approximate Dynamic Programming for Feedback Control (2012)
Coauthor(s): Vijay Desai, Vivek Farias, Ciamac Moallemi

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Information aggregation in smooth markets In EC ''10 Proceedings of the 11th ACM Conference on Electronic Commerce (2010)
Coauthor(s): Kris Iyer, Ramesh Johari, Ciamac Moallemi

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Distributed optimization in adaptive networks In Advances in Neural Information Processing Systems 16 (2004)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy

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Working papers

Queueing dynamics and state space collapse in fragmented limit order book markets (2017)
Coauthor(s): Costis Maglaras, Ciamac Moallemi, Hua Zheng

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The Exploration-Exploitation Trade-off in the Newsvendor Problem (2017)
Coauthor(s): Omar Besbes, Juan Manuel Chaneton, Ciamac Moallemi

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A model for queue position valuation in a limit order book (2017)
Coauthor(s): Ciamac Moallemi, Kai Yuan

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Near optimal A-B testing (2017)
Coauthor(s): Nikhil Bhat, Vivek Farias, Ciamac Moallemi, Deeksha Sinha

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Short-term trading skill: An analysis of investor heterogeneity and execution quality (2016)
Coauthor(s): Ciamac Moallemi, Mehmet Saglam, Michael Sotiropoulos

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Welfare analysis of dark pools (2015)
Coauthor(s): Kris Iyer, Ramesh Johari, Ciamac Moallemi

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Optimal execution in a limit order book and an associated microstructure market impact model (2015)
Coauthor(s): Costis Maglaras, Ciamac Moallemi, Hua Zheng

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Asset-based contagion models for systemic risk (2014)
Coauthor(s): Chen Chen, Garud Iyengar, Ciamac Moallemi

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Strategic Asset Allocation with Predictable Returns and Transaction Costs (2014)
Coauthor(s): Pierre Collin-Dufresne, Kent Daniel, Ciamac Moallemi, Mehmet Saglam

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Non-parametric approximate dynamic programming via the kernel method (2012)
Coauthor(s): Nikhil Bhat, Vivek Farias, Ciamac Moallemi

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A multiclass model of limit order book dynamics and its application to optimal trade execution (2011)
Coauthor(s): Costis Maglaras, Ciamac Moallemi

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Optimal order flow routing, exchange competition, and the effect of make/take fees (2011)
Coauthor(s): Costis Maglaras, Ciamac Moallemi, Hua Zhang

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On the flow-level dynamics of a packet-switched network (2009)
Coauthor(s): Ciamac Moallemi, Devavrat Shah

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The Execution Game (2008)
Coauthor(s): Ciamac Moallemi

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