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  1. Directory
  2. Faculty
  3. Ciamac Moallemi

Ciamac Moallemi

William von Mueffling Professor of Business
Decision, Risk, and Operations Division
Ciamac Moallemi
Areas of Expertise
Artificial Intelligence (AI), Asset Management, Financial Engineering, Financial Institutions
Contact
Office: 1196 Kravis
E-mail: [email protected]
Links
Personal Website
Curriculum Vitae

Ciamac C. Moallemi is the William von Mueffling Professor of Business in the Decision, Risk, and Operations Division of the Graduate School of Business at Columbia University, where he has been since 2007. He also develops quantitative trading strategies at Bourbaki LLC, a quantitative investment advisor. A high school dropout, 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 Master of Advanced Study degree in Mathematics (Part III of the Mathematical Tripos), 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 and as the director of scientific computing at an early-stage drug discovery start-up. He holds editorial positions at the journals Operations Research and Management Science. He is a past recipient of the British Marshall Scholarship (1996), the Benchmark Stanford Graduate Fellowship (2003), first place in the INFORMS Junior Faculty Paper Competition (2011), and the Best Simulation Publication Award of the INFORMS Simulation Society (2014). His research interests are in the area of the optimization and control of large-scale stochastic systems and decision-making under uncertainty, with an emphasis on applications in financial engineering.

Education
BS, Massachusetts Institute of Technology, 1996; Cert. Adv. Study, University of Cambridge, 1997; PhD, Stanford University, 2007
Joined CBS
2007

All Activities

  • Research
  • Teaching
  • Awards and Honors
  • Press
  • CaseWorks
  • Journal articles
  • Working papers
  • Articles
  • Books
  • Chapters
Journal Article
Maglaras, Costis, Seungki Min, and Ciamac Moallemi
. “Thompson Sampling with Information Relaxation Penalties.”
Management Science
(Forthcoming).
Explore Further about Thompson Sampling with Information Relaxation Penalties
Download PDF on Thompson Sampling with Information Relaxation Penalties
Journal Article
Min, Seungki, Costis Maglaras , and Ciamac Moallemi
. “Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution.”
Operations Research
vol.
20
, no.
2
(January 01, 2022):
830
-
846
.
Explore Further about Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution
Journal Article
Huberman, Gur, Jacob D. Leshno, and Ciamac Moallemi
. “Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System.”
Review of Economic Studies
vol.
88
, no.
6
(November 01, 2021):
3011
-
3040
.
Explore Further about Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System
Journal Article
Maglaras, Costis, Ciamac Moallemi , and Hua Zheng
. “Queueing dynamics and state space collapse in fragmented limit order book markets.”
Operations Research
vol.
69
, no.
4
(July 01, 2021):
1324
-
1348
.
Explore Further about Queueing dynamics and state space collapse in fragmented limit order book markets
Download PDF on Queueing dynamics and state space collapse in fragmented limit order book markets
Journal Article
Maglaras, Costis, Ciamac Moallemi , and Muye Wang
. “A Deep Learning Approach to Estimating Fill Probabilities in a Limit Order Book.”
Under review, Quantitative Finance
vol.
22
, no.
11
(January 01, 2021):
1989
-
2003
.
Explore Further about A Deep Learning Approach to Estimating Fill Probabilities in a Limit Order Book.
Download PDF on A Deep Learning Approach to Estimating Fill Probabilities in a Limit Order Book.
Journal Article
Huberman, Gur, Jacob Leshno, and Ciamac Moallemi
. “An Economist’s Perspective on the Bitcoin Payment System.”
AEA Papers and Proceedings
vol.
109
, (May 01, 2019):
93
-
96
.
Explore Further about An Economist’s Perspective on the Bitcoin Payment System
Journal Article
Glasserman, Paul, Ciamac Moallemi , and Kai Yuan
. “Hidden illiquidity with multiple central counterparties.”
Operations Research
vol.
64
, (January 01, 2016):
1143
-
1158
.
Explore Further about Hidden illiquidity with multiple central counterparties
Download PDF on Hidden illiquidity with multiple central counterparties
Journal Article
Broadie, Mark, Yiping Du, and Ciamac Moallemi
. “Risk estimation via regression.”
Operations Research
vol.
63
, (January 01, 2015):
1077
-
1097
.
Explore Further about Risk estimation via regression
Download PDF on Risk estimation via regression
Journal Article
Iyer, Kris, Ramesh Johari, and Ciamac Moallemi
. “Information aggregation and allocative efficiency in smooth markets.”
Management Science
vol.
60
, (July 01, 2014):
2509
-
2524
.
Explore Further about Information aggregation and allocative efficiency in smooth markets
Download PDF on Information aggregation and allocative efficiency in smooth markets
Journal Article
Chen, Chen, Garud Iyengar, and Ciamac Moallemi
. “An axiomatic approach to systemic risk.”
Management Science
vol.
59
, (June 01, 2013):
1373
-
1388
.
Explore Further about An axiomatic approach to systemic risk
Download PDF on An axiomatic approach to systemic risk
Journal Article
Moallemi, Ciamac and Mehmet Saglam
. “The cost of latency in high-frequency trading.”
Operations Research
vol.
61
, (January 01, 2013):
1070
-
1086
.
Explore Further about The cost of latency in high-frequency trading
Download PDF on The cost of latency in high-frequency trading
Journal Article
Desai, Vijay, Vivek Farias, and Ciamac Moallemi
. “Pathwise optimization for optimal stopping problems.”
Management Science
vol.
58
, (December 01, 2012):
2292
-
2308
.
Explore Further about Pathwise optimization for optimal stopping problems
Download PDF on Pathwise optimization for optimal stopping problems
Journal Article
Moallemi, Ciamac, Beomsoo Park, and Benjamin Van Roy
. “Strategic execution in the presence of an uninformed arbitrageur.”
Journal of Financial Markets
vol.
15
, (November 01, 2012):
361
-
391
.
Explore Further about Strategic execution in the presence of an uninformed arbitrageur
Download PDF on Strategic execution in the presence of an uninformed arbitrageur
Journal Article
Desai, Vijay, Vivek Farias, and Ciamac Moallemi
. “Approximate dynamic programming via a smoothed linear program.”
Operations Research
vol.
60
, (January 01, 2012):
655
-
674
.
Explore Further about Approximate dynamic programming via a smoothed linear program
Download PDF on Approximate dynamic programming via a smoothed linear program
Journal Article
Broadie, Mark, Yiping Du, and Ciamac Moallemi
. “Efficient Risk Estimation via Nested Sequential Simulation.”
Management Science
vol.
57
, (June 01, 2011):
1172
-
1194
.
Explore Further about Efficient Risk Estimation via Nested Sequential Simulation
Download PDF on Efficient Risk Estimation via Nested Sequential Simulation
Journal Article
Moallemi, Ciamac and Benjamin Van Roy
. “Resource allocation via message passing.”
INFORMS Journal on Computing
vol.
23
, (January 01, 2011):
205
-
219
.
Explore Further about Resource allocation via message passing
Download PDF on Resource allocation via message passing
Journal Article
Farias, Vivek, Ciamac Moallemi , Benjamin Van Roy, and Tsachy Weissman
. “Universal reinforcement learning.”
IEEE Transactions on Information Theory
vol.
56
, (May 01, 2010):
2441
-
2454
.
Explore Further about Universal reinforcement learning
Download PDF on Universal reinforcement learning
Journal Article
Moallemi, Ciamac and Benjamin Van Roy
. “Convergence of min-sum message-passing for convex optimization.”
IEEE Transactions on Information Theory
vol.
56
, (April 01, 2010):
2041
-
2050
.
Explore Further about Convergence of min-sum message-passing for convex optimization
Download PDF on Convergence of min-sum message-passing for convex optimization
Journal Article
Moallemi, Ciamac and Benjamin Van Roy
. “Convergence of min-sum message passing for quadratic optimization.”
IEEE Transactions on Information Theory
vol.
55
, (May 01, 2009):
2413
-
2423
.
Explore Further about Convergence of min-sum message passing for quadratic optimization
Download PDF on Convergence of min-sum message passing for quadratic optimization
Journal Article
Moallemi, Ciamac and Benjamin Van Roy
. “Consensus propagation.”
IEEE Transactions on Information Theory
vol.
52
, (November 01, 2006):
4753
-
4766
.
Explore Further about Consensus propagation
Download PDF on Consensus propagation
Journal Article
Mason, Keith, Nehal Patel, Aric Ledel, Ciamac Moallemi , and Edward Wintner
. “Mapping protein pockets through their potential small-molecule binding volumes: QSCD applied to biological protein structures.”
Journal of Computer-Aided Molecular Design
vol.
18
, (January 01, 2004):
55
-
70
.
Explore Further about Mapping protein pockets through their potential small-molecule binding volumes: QSCD applied to biological protein structures
Journal Article
Johnson, Jason, Keith Mason, Ciamac Moallemi , Hualin Xi, Shyamal Somaroo, and Enoch Huang
. “Protein family annotation in a multiple alignment viewer.”
Bioinformatics
vol.
19
, (January 01, 2003):
544
-
545
.
Explore Further about Protein family annotation in a multiple alignment viewer
Journal Article
Wintner, Edward and Ciamac Moallemi
. “Quantized surface complementarity diversity (QSCD): A model based on small molecule-target complementarity.”
Journal of Medicinal Chemistry
vol.
43
, (January 01, 2000):
1990
-
2006
.
Explore Further about Quantized surface complementarity diversity (QSCD): A model based on small molecule-target complementarity
Journal Article
Moallemi, Ciamac
. “Classifying cells for cancer diagnosis using neural networks.”
IEEE Expert
vol.
6
, (December 01, 1991):
8, 10
-
12
.
Explore Further about Classifying cells for cancer diagnosis using neural networks
Download PDF on Classifying cells for cancer diagnosis using neural networks
Working Paper
Moallemi, Ciamac, Vivek F. Farias, Tianyi Peng, and Andy T. Zheng
. Synthetically Controlled Bandits. December 22, 2022.
Explore Further about Synthetically Controlled Bandits
Download PDF on Synthetically Controlled Bandits
Working Paper
Min, Seungki, Ciamac Moallemi , and Costis Maglaras
. Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective. January 01, 2022.
Explore Further about Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
Download PDF on Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
Working Paper
Besbes, Omar, Juan Manuel Chaneton, and Ciamac Moallemi
. The Exploration-Exploitation Trade-off in the Newsvendor Problem. November 04, 2021.
Explore Further about The Exploration-Exploitation Trade-off in the Newsvendor Problem
Working Paper
Bhat, Nikhil, Vivek Farias, Ciamac Moallemi , and Deeksha Sinha
. Near optimal A-B testing. January 01, 2017.
Explore Further about Near optimal A-B testing
Download PDF on Near optimal A-B testing
Working Paper
Moallemi, Ciamac and Kai Yuan
. A model for queue position valuation in a limit order book. January 01, 2017.
Explore Further about A model for queue position valuation in a limit order book
Download PDF on A model for queue position valuation in a limit order book
Working Paper
Moallemi, Ciamac, Mehmet Saglam, and Michael Sotiropoulos
. Short-term trading skill: An analysis of investor heterogeneity and execution quality. September 01, 2016.
Explore Further about Short-term trading skill: An analysis of investor heterogeneity and execution quality
Download PDF on Short-term trading skill: An analysis of investor heterogeneity and execution quality
Working Paper
Iyer, Kris, Ramesh Johari, and Ciamac Moallemi
. Welfare analysis of dark pools. September 10, 2015.
Explore Further about Welfare analysis of dark pools
Download PDF on Welfare analysis of dark pools
Working Paper
Maglaras, Costis, Ciamac Moallemi , and Hua Zheng
. Optimal execution in a limit order book and an associated microstructure market impact model. May 01, 2015.
Explore Further about Optimal execution in a limit order book and an associated microstructure market impact model
Download PDF on Optimal execution in a limit order book and an associated microstructure market impact model
Working Paper
Besbes, Omar, Juan Manuel Chaneton, and Ciamac Moallemi
. The exploration-exploitation tradeoff in the newsvendor problem. November 01, 2014.
Explore Further about The exploration-exploitation tradeoff in the newsvendor problem
Download PDF on The exploration-exploitation tradeoff in the newsvendor problem
Working Paper
Chen, Chen, Garud Iyengar, and Ciamac Moallemi
. Asset-based contagion models for systemic risk. October 01, 2014.
Explore Further about Asset-based contagion models for systemic risk
Download PDF on Asset-based contagion models for systemic risk
Working Paper
Collin-Dufresne, Pierre, Kent Daniel , Ciamac Moallemi , and Mehmet Saglam
. Strategic Asset Allocation with Predictable Returns and Transaction Costs. January 01, 2014.
Explore Further about Strategic Asset Allocation with Predictable Returns and Transaction Costs
Download PDF on Strategic Asset Allocation with Predictable Returns and Transaction Costs
Working Paper
Bhat, Nikhil, Vivek Farias, and Ciamac Moallemi
. Non-parametric approximate dynamic programming via the kernel method. October 01, 2012.
Explore Further about Non-parametric approximate dynamic programming via the kernel method
Download PDF on Non-parametric approximate dynamic programming via the kernel method
Working Paper
Maglaras, Costis and Ciamac Moallemi
. A multiclass model of limit order book dynamics and its application to optimal trade execution. February 15, 2011.
Explore Further about A multiclass model of limit order book dynamics and its application to optimal trade execution
Working Paper
Maglaras, Costis, Ciamac Moallemi , and Hua Zhang
. Optimal order flow routing, exchange competition, and the effect of make/take fees. February 15, 2011.
Explore Further about Optimal order flow routing, exchange competition, and the effect of make/take fees
Working Paper
Moallemi, Ciamac and Devavrat Shah
. On the flow-level dynamics of a packet-switched network. November 01, 2009.
Explore Further about On the flow-level dynamics of a packet-switched network
Download PDF on On the flow-level dynamics of a packet-switched network
Working Paper
Moallemi, Ciamac, Beomsoo Park, and Benjamin Van Roy
. The Execution Game. April 28, 2008.
Explore Further about The Execution Game
Download PDF on The Execution Game
Newspaper/Magazine Article
Moallemi, Ciamac and Mehmet Saglam
. “Dynamic portfolio choice with linear rebalancing rules.”
Journal of Financial and Quantitative Analysis
. Forthcoming.
Explore Further about Dynamic portfolio choice with linear rebalancing rules
Download PDF on Dynamic portfolio choice with linear rebalancing rules
Chapter
Desai, Vijay, Vivek Farias, and Ciamac Moallemi
. “Bounds for Markov decision processes.” In
Reinforcement Learning and Approximate Dynamic Programming for Feedback Control
, edited by
F.L. Lewis and D. Liu
,
452
-
473
.
New York
:
Wiley-IEEE Press
, 2012.
Explore Further about Bounds for Markov decision processes
Download PDF on Bounds for Markov decision processes
Chapter
Iyer, Kris, Ramesh Johari, and Ciamac Moallemi
. “Information aggregation in smooth markets.” In
EC '10 Proceedings of the 11th ACM Conference on Electronic Commerce
,
199
-
206
.
New York, NY
:
ACM
, 2010.
Explore Further about Information aggregation in smooth markets
Chapter
Moallemi, Ciamac and Benjamin Van Roy
. “Distributed optimization in adaptive networks.” In
Advances in Neural Information Processing Systems 16
, edited by
Sebastian Thrun, Lawrence K. Saul, and Bernhard Scholkopf
,
887
-
894
.
Cambridge, MA
:
MIT Press
, 2004.
Explore Further about Distributed optimization in adaptive networks
Download PDF on Distributed optimization in adaptive networks
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Course
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Course
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In the Media

The Technology Skills Every Employee Should Have Today

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In the Media

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Marketplace Radio
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Robinhood Limits Trades of GameStop, Other Companies Amid Market Volatility

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In the Media

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In the Media

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Bloomberg News (Podcast)
Article

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  • CaseWorks
Case ID
210204

Music Streaming

Would the listener base for music streaming services continue to grow—and would services be able to differentiate themselves in this increasingly competitive industry?

View Case on Music Streaming

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