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  1. Directory
  2. Faculty
  3. Costis Maglaras

Costis Maglaras

Dean
Dean's Office
David and Lyn Silfen Professor of Business
Decision, Risk, and Operations Division
Dean Costis Maglaras
Areas of Expertise
Artificial Intelligence (AI), Financial Engineering, Operations & Supply Chain Management
Contact
Office: 352 Kravis
Phone: (212) 8540443
E-mail: [email protected]
Links
Curriculum Vitae

Costis Maglaras is the 16th Dean of Columbia Business School, and the David and Lyn Silfen Professor of Business at Columbia University. Costis received his BS in Electrical Engineering from Imperial College, London, in 1990, and his MS and PhD in Electrical Engineering from Stanford University in 1991 and 1998, respectively. He joined Columbia Business School in 1998, when he joined the Decision, Risk and Operations Division. Prior to becoming dean he served as chair of the Decision, Risk & Operations division at the Business School, Director of the School's doctoral program, and was a member of the executive committee of the University's Data Science Institute.

His research lies on the interface between applied mathematics, economics and engineering, with emphasis on stochastic networks, financial engineering, and algorithmic pricing and revenue management. Recent work has focused on market microstructure of electronic (financial) limit order book markets; the diffusion of information over social networks; the economics and control of queueing networks with strategic agents, such as the ones encountered in ride-hailing; and the application of algorithmic pricing in the residential real-estate market. His work has been recognized through several research awards. and he has advised 20 doctoral students that have gone to academia and industry.

Costis teaches courses in the MBA and PhD programs, and he has also received the Dean's award at Columbia Business School for teaching excellence for the core course Managerial Statistics, and the Dean's award for Teaching Innovation for his work on the Technology and Analytics curriculum in Columbia's MBA and EMBA programs.

Outside of the Business School, his experience has been focused on financial technology, asset management and markets, and digital technology. From 1991 to 1993 he served as a research scientist at Canon Research Center America, working on image processing and optical character recognition. In 2007, Costis helped found Mismi Inc., a venture-backed financial technology firm that introduced quantitative trading algorithms and transaction analytics tools to the equities market. Mismi was a broker dealer and an Alternative Trading System (ATS; dark pool). As chief scientist he co-developed all the firm’s IP, built and directed the quantitative research and engineering teams, and served as president of the firm until 2014. In the last decade he has worked with major financial institutions and hedge funds, including a long-standing collaboration with Goldman Sachs’ Global Markets Division focusing on quantitative research and equity trading. He is a Fellow of INFORMS, an Honorary Fellow of the Foreign Policy Association, and a Member of the Economic Club of New York. He serves on the Board of Trustees of Athens College.

Costis is married to Niki Kouri and lives in Manhattan with their three daughters.

Education
BSEE, Imperial College, London 1990; MSEE, Stanford, 1991; PhDEE, 1998
Joined CBS
1998

All Activities

  • Research
  • Teaching
  • Awards and Honors
  • Press
  • CaseWorks
  • Students
  • Research Interests
  • Previously Taught Courses
  • 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
Afèche, Philipp, Zhe Liu, and Costis Maglaras
. “Ride-Hailing Networks with Strategic Drivers: The Impact of Platform Control Capabilities on Performance.”
Manufacturing & Service Operations Management
(July 03, 2023).
Explore Further about Ride-Hailing Networks with Strategic Drivers: The Impact of Platform Control Capabilities on Performance
Download PDF on Ride-Hailing Networks with Strategic Drivers: The Impact of Platform Control Capabilities on Performance
Journal Article
Maglaras, Costis, Marco Scarsini, Dongwook Shin, and Stefano Vaccari
. “Social Learning in the Presence of Choice.”
Operations Research
vol.
71
, no.
4
(September 26, 2022):
1136
-
1153
.
Explore Further about Social Learning in the Presence of Choice
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
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
. “Is 9-to-5 over? Maybe it should be.”
Collection: America in the world: visionaries speak, Foreign Policy Association Operations Research
(July 01, 2021).
Explore Further about Is 9-to-5 over? Maybe it should be.
Download PDF on Is 9-to-5 over? Maybe it should be.
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
Maglaras, Costis and R. Cont
. “Stochastic Market Microstructure Models of Limit Order Books (abstract + video).”
Invited Tutorial INFORMS Fall Conference
(January 01, 2020).
Explore Further about Stochastic Market Microstructure Models of Limit Order Books (abstract + video)
Journal Article
Maglaras, Costis, B. Ifrach, M. Scarsini, and A. Zseleva
. “Bayesian Social Learning with Consumer Reviews.”
Operations Research
vol.
67
, no.
5
(September 01, 2019):
1209
-
1221
.
Explore Further about Bayesian Social Learning with Consumer Reviews
Download PDF on Bayesian Social Learning with Consumer Reviews
Journal Article
Maglaras, Costis, J. Yao, and A. Zeevi
. “Optimal price and delay differentation in queueing systems.”
Management Science
vol.
64
, no.
5
(January 01, 2018):
2427
-
2444
.
Explore Further about Optimal price and delay differentation in queueing systems
Download PDF on Optimal price and delay differentation in queueing systems
Journal Article
Crapis, Davide, Marco Scarsini, Costis Maglaras , and Bar Ifrach
. “Monopoly pricing in the presence of social learning.”
Management Science
vol.
63
, no.
11
(September 06, 2016):
3586
-
3608
.
Explore Further about Monopoly pricing in the presence of social learning
Download PDF on Monopoly pricing in the presence of social learning
Journal Article
Eren, Serkan and Costis Maglaras
. “A maximum entropy joint demand estimation and capacity control policy.”
POMS
vol.
24
, no.
3
(January 01, 2014):
438
-
450
.
Explore Further about A maximum entropy joint demand estimation and capacity control policy
Journal Article
Besbes, Omar and Costis Maglaras
. “Dynamic Pricing with Financial Milestones: Feedback-Form Policies.”
Management Science
vol.
58
, no.
9
(September 01, 2012):
1715
-
1731
.
Explore Further about Dynamic Pricing with Financial Milestones: Feedback-Form Policies
Download PDF on Dynamic Pricing with Financial Milestones: Feedback-Form Policies
Journal Article
Maglaras, Costis
. “Guest Editorial to a Special Issue.”
Journal of Revenue and Pricing Management
vol.
9
, (October 20, 2010):
383
-
385
.
Explore Further about Guest Editorial to a Special Issue
Journal Article
Maglaras, Costis and Joern Meissner
. “Dynamic Pricing Strategies for Multi-Product Revenue Management Problems.”
Manufacturing & Service Operations Management
vol.
8
, (January 01, 2010):
136
-
148
.
Explore Further about Dynamic Pricing Strategies for Multi-Product Revenue Management Problems
Download PDF on Dynamic Pricing Strategies for Multi-Product Revenue Management Problems
Journal Article
Besbes, Omar and Costis Maglaras
. “Revenue Optimization for a Make-to-Order Queue in an Uncertain Market Environment.”
Operations Research
vol.
57
, no.
6
(November 01, 2009):
1438
-
1450
.
Explore Further about Revenue Optimization for a Make-to-Order Queue in an Uncertain Market Environment
Journal Article
Gurvich, Itay, Mor Armony, and Costis Maglaras
. “Cross-selling in a call center with a heterogeneous customer population.”
Operations Research
vol.
57
, (March 01, 2009):
299
-
313
.
Explore Further about Cross-selling in a call center with a heterogeneous customer population
Download PDF on Cross-selling in a call center with a heterogeneous customer population
Journal Article
Eren, Serkan and Costis Maglaras
. “Monopoly pricing with limited demand information.”
Journal of Revenue & Pricing Management
vol.
9
, no.
1
(January 01, 2009):
23
-
48
.
Explore Further about Monopoly pricing with limited demand information
Download PDF on Monopoly pricing with limited demand information
Journal Article
Bansal, Matulya and Costis Maglaras
. “Dynamic pricing when customers strategically time their purchase: Asymptotic optimality of a two-price policy.”
Journal of Revenue and Pricing Management
vol.
8
, (January 01, 2009):
42
-
66
.
Explore Further about Dynamic pricing when customers strategically time their purchase: Asymptotic optimality of a two-price policy
Download PDF on Dynamic pricing when customers strategically time their purchase: Asymptotic optimality of a two-price policy
Journal Article
Celik, Sabri and Costis Maglaras
. “Dynamic pricing and lead-time quotation for a multiclass make-to-order queue.”
Management Science
vol.
54
, (June 01, 2008):
1132
-
1146
.
Explore Further about Dynamic pricing and lead-time quotation for a multiclass make-to-order queue
Download PDF on Dynamic pricing and lead-time quotation for a multiclass make-to-order queue
Journal Article
Maglaras, Costis and Sabri Celik
. “Joint pricing and leadtime management in make-to-order systems.”
Management Science
vol.
54
, (January 01, 2008):
1132
-
1146
.
Explore Further about Joint pricing and leadtime management in make-to-order systems
Download PDF on Joint pricing and leadtime management in make-to-order systems
Journal Article
Apte, Uday, Costis Maglaras , and Michael Pinedo
. “Operations in the service industries: Introduction to the special issue.”
Production and Operations Management
vol.
17
, (January 01, 2008):
235
-
237
.
Explore Further about Operations in the service industries: Introduction to the special issue
Download PDF on Operations in the service industries: Introduction to the special issue
Journal Article
Maglaras, Costis
. “Revenue Management for a Multiclass Make-to-Order Queue.”
Operations Research
vol.
54
, no.
5
(September 01, 2006):
914
-
932
.
Explore Further about Revenue Management for a Multiclass Make-to-Order Queue
Download PDF on Revenue Management for a Multiclass Make-to-Order Queue
Journal Article
Maglaras, Costis
. “Revenue management for a multi-class single-server queue.”
Operations Reserach
vol.
54
, no.
5
(January 01, 2006):
914
-
932
.
Explore Further about Revenue management for a multi-class single-server queue
Download PDF on Revenue management for a multi-class single-server queue
Journal Article
Maglaras, Costis and Jan Van Mieghem
. “Queueing Systems with Lead-Time Constraints: A fluid model approach for admission and sequencing control.”
European Journal of Operational Research
vol.
167
, (November 01, 2005):
167, 179
-
207
.
Explore Further about Queueing Systems with Lead-Time Constraints: A fluid model approach for admission and sequencing control
Download PDF on Queueing Systems with Lead-Time Constraints: A fluid model approach for admission and sequencing control
Journal Article
Maglaras, Costis and Assaf Zeevi
. “Pricing and Design of Differential Services: Approximate Analysis and Structural Insights.”
Operations Research
vol.
53
, no.
2
(March 01, 2005):
242
-
262
.
Explore Further about Pricing and Design of Differential Services: Approximate Analysis and Structural Insights
Download PDF on Pricing and Design of Differential Services: Approximate Analysis and Structural Insights
Journal Article
Maglaras, Costis and A Zeevi
. “Pricing and Design of Differentiated Services: Approximate analysis and structural insights.”
Operations Research
vol.
53
, no.
2
(January 01, 2005):
242
-
262
.
Explore Further about Pricing and Design of Differentiated Services: Approximate analysis and structural insights
Download PDF on Pricing and Design of Differentiated Services: Approximate analysis and structural insights
Journal Article
Armony, Mor and Costis Maglaras
. “On Customer Contact Centers with a Call-Back Option: Customer Decisions, Routing Rules and System Design.”
Operations Research
vol.
52
, (January 01, 2004):
271
-
92
.
Explore Further about On Customer Contact Centers with a Call-Back Option: Customer Decisions, Routing Rules and System Design
Download PDF on On Customer Contact Centers with a Call-Back Option: Customer Decisions, Routing Rules and System Design
Journal Article
Maglaras, Costis and Assaf Zeevi
. “Diffusion Approximations for a Markovian Multi-Class Service System with 'Guaranteed' and 'Best-Effort' Service Levels.”
Mathematics of Operations Research
vol.
29
, no.
4
(January 01, 2004):
786
-
813
.
Explore Further about Diffusion Approximations for a Markovian Multi-Class Service System with 'Guaranteed' and 'Best-Effort' Service Levels
Download PDF on Diffusion Approximations for a Markovian Multi-Class Service System with 'Guaranteed' and 'Best-Effort' Service Levels
Journal Article
Armony, Mor and Costis Maglaras
. “Contact Centers with a Call-Back Option and Real-Time Delay Information.”
Operations Research
vol.
52
, (January 01, 2004):
527
-
445
.
Explore Further about Contact Centers with a Call-Back Option and Real-Time Delay Information
Download PDF on Contact Centers with a Call-Back Option and Real-Time Delay Information
Journal Article
Maglaras, Costis
. “Continuous-review tracking policies for dynamic control of stochastic networks.”
Queueing Systems
vol.
43
, (January 01, 2003):
43
-
80
.
Explore Further about Continuous-review tracking policies for dynamic control of stochastic networks
Download PDF on Continuous-review tracking policies for dynamic control of stochastic networks
Journal Article
Maglaras, Costis and Assaf Zeevi
. “Pricing and Capacity Sizing for Systems with Shared Resources: Scaling Relations and Approximate Solutions.”
Management Science
vol.
49
, (January 01, 2003):
1018
-
38
.
Explore Further about Pricing and Capacity Sizing for Systems with Shared Resources: Scaling Relations and Approximate Solutions
Download PDF on Pricing and Capacity Sizing for Systems with Shared Resources: Scaling Relations and Approximate Solutions
Journal Article
Vulcano, Gustavo, Garrett van Ryzin , and Costis Maglaras
. “Optimal dynamic auctions for revenue management.”
Management Science
vol.
48
, (January 01, 2002):
1388
-
1407
.
Explore Further about Optimal dynamic auctions for revenue management
Download PDF on Optimal dynamic auctions for revenue management
Journal Article
Maglaras, Costis
. “Discrete-review policies for scheduling stochastic networks: Trajectory tracking and fluid-scale asymptotic optimality.”
The Annals of Applied Probability
vol.
10
, (August 01, 2000):
897
-
929
.
Explore Further about Discrete-review policies for scheduling stochastic networks: Trajectory tracking and fluid-scale asymptotic optimality
Download PDF on Discrete-review policies for scheduling stochastic networks: Trajectory tracking and fluid-scale asymptotic optimality
Journal Article
Maglaras, Costis
. “Dynamic scheduling in multiclass queueing networks: Stability under discrete-review policies.”
Queueing Systems
vol.
31
, (January 01, 1999):
171
-
206
.
Explore Further about Dynamic scheduling in multiclass queueing networks: Stability under discrete-review policies
Download PDF on Dynamic scheduling in multiclass queueing networks: Stability under discrete-review policies
Journal Article
Maglaras, Costis, C. Toumazou, and N. Battersbee
. “High-Performance Algorithmic Switched-Current Memory Cell.”
Electronics Letters
vol.
26
, no.
19
(September 01, 1990):
1593
-
1595
.
Explore Further about High-Performance Algorithmic Switched-Current Memory Cell
Download PDF on High-Performance Algorithmic Switched-Current Memory Cell
Working Paper
Maglaras, Costis and S. Kumar
. Capacity Realization in Stochastic Batch-Processing Networks Using Discrete-Review Policies. Forthcoming.
Explore Further about Capacity Realization in Stochastic Batch-Processing Networks Using Discrete-Review Policies
Download PDF on Capacity Realization in Stochastic Batch-Processing Networks Using Discrete-Review Policies
Working Paper
Maglaras, Costis and C. Kilcioglu
. Revenue Maximization for Cloud Computing Services. Forthcoming.
Explore Further about Revenue Maximization for Cloud Computing Services
Download PDF on Revenue Maximization for Cloud Computing Services
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
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
Chapter
Maglaras, Costis, Ying-Ju Chen, and Gustavo Vulcano
. “Modeling and analysis of an aggregated market for procurement.” In
Sharing Economy: Making Supply Meet Demand
, edited by
M. Hu
,
Switzerland
:
Springer
, 2018.
Explore Further about Modeling and analysis of an aggregated market for procurement
Download PDF on Modeling and analysis of an aggregated market for procurement
Chapter
Maglaras, Costis
. “Dynamic pricing strategies for multi-product revenue management problems.” In
Wiley Encyclopedia of Operations Research and Management
,
Hoboken, NJ
:
Wiley
, 2010.
Explore Further about Dynamic pricing strategies for multi-product revenue management problems
Download PDF on Dynamic pricing strategies for multi-product revenue management problems
Chapter
Bansal, Matulya and Costis Maglaras
. “Product design in a market with satisficing customers.” In
Consumer-Driven Demand and Operations Management Models
, edited by
Serguei Netessine and Christopher S. Tang
,
37
-
62
.
New York
:
Springer US
, 2009.
Explore Further about Product design in a market with satisficing customers
Download PDF on Product design in a market with satisficing customers
  • Courses
  • Case Studies
Course
B8104: Technology Breakthroughs
View Course on Technology Breakthroughs
Case Study
Maglaras, Costis
. Demand modeling mini case for managerial statistics.  2010.
Explore Further about Demand modeling mini case for managerial statistics
Case Study
Maglaras, Costis
. A dynamic pricing problem for a retailer.  2010.
Explore Further about A dynamic pricing problem for a retailer
  • Awards & Honors
  • In the Media
  • Articles
In the Media

Columbia Launches Masters Degree in Climate Finance

ESG Today
In the Media

India’s Clean Energy Revolution: How ReNew Is Leading the Charge

Times of India
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India’s Clean Energy Revolution: How ReNew is Leading the Charge

CBS Insights
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How universities can help fill the climate jobs gap

GreenBiz
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The Technology Skills Every Employee Should Have Today

The Wall Street Journal
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Climate Change Has (Finally) Arrived at Business School

GreenBiz
In the Media

Columbia Business School is Giving MBA Students More of What They Want: Tech and ESG Classes

Fortune
In the Media

Columbia Business School Is Giving MBA Students More of What They Want: Tech and ESG Classes

Fortune
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Business Schools Are Beginning to Embrace Stakeholder Inclusion

Bloomberg Businessweek
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Climate Response Will 'Change the World Over the Next 75 Years,' Columbia Business School Dean Says

Yahoo! Finance
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Best MBA Programs if You Want to Get Poached by Apple or Google

Fortune
In the Media

How Wall Street's Love Affair with Data Science Has Business Schools like Wharton and Columbia Scrambling to Train the Next Generation of Investment Bankers and Private Equity Dealmakers

Business Insider
In the Media

10 Business Schools to Watch in 2022

Poets and Quants
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10 Business Schools To Watch In 2022

Poets & Quants
In the Media

As It Relocates to a Sparkling New Home, Columbia Touts Its Shiniest Jobs Report Yet

Poets and Quants
In the Media

Columbia Business School Is Making Big Moves Heading into 2022-here's What It Tells Us about the Future of Business

Fortune
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Columbia Business School's Big Bet on Climate Change

Poets and Quants
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Slow Progress on Race Hampers Business School Diversity Push

The Financial Times
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An M7 School Joins The Consortium

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The New M.B.A.: Flexible, Cheaper and Lifelong

The Wall Street Journal
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It's Time to Reconsider the 9 to 5 Work Schedule

Forbes
In the Media

Columbia University Suspends Travel Abroad, Could Go to Remote Classes

Bloomberg News
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Every MBA Needs Tech Skills-not Just Those Headed for Silicon Valley

Bloomberg News
In the Media

50 Business School Deans Supporting Immigration Reform

Poets and Quants
Article

The Future of Work Begins Now

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India’s Clean Energy Revolution: How ReNew is Leading the Charge

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The Future of AI at Columbia Business School

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Fireside Chat on AI and Innovation - Dean Costis Maglaras and Prof Sheena Iyengar 対談: 「AIとイノベーション」

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Keynote by Dean Costis Maglaras, Columbia Business School コスティース・マグララス 学院長

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Alumnae Fundraise over $400,000 in Honor of CBS Women in Asia

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Meeting the Moment on Climate Education

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Reid Hoffman on AI's 'Cognitive Industrial Revolution'

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Forging the Future of Finance

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The Future of Capitalism: How Business Leaders Should Prepare

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Elevating Stories of Black Excellence

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Climate and Clean Energy Policy in the Post-inflation Reduction Act World

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A New Vision Of The Digital Future

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Becoming Data Fluent

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Dean's Remarks and Eight Reasons Why Mechanism Design for Blockchains is Hard (and Fascinating)

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Columbia Business School Launches New Technology Initiative

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Columbia Business School Expands Technology Initiative

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Columbia Business School Launches New Digital Future Initiative

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The Climate Call to Action

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A Roundup of What’s Happening in the Five Pillars

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Welcome to Manhattanville – A conversation with Dean Costis Maglaras

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CBS Panel at COP27 Tackles Financing the Transition to Net Zero

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Understanding the Impact of Breakthrough Technologies

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Welcome to the Future

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A Look Back on Leadership and Ethics Week

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Welcome to the 2021-2022 academic year

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Statement by Dean Maglaras on the Derek Chauvin Verdict

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MBAs Who Code

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  • CaseWorks
Case ID
112104

Did General Motors Produce to Match Demand?

What does the analysis of the data for the Chevy Cavalier suggest about how well management aligns production and sales?

View Case on Did General Motors Produce to Match Demand?
Case ID
100206

Hannah Montana and the Tour of Doom

With scalpers and online secondary markets like eBay driving up the cost of concert tickets, is there a better way to set prices that would protect revenue without inciting the ire of fans?

View Case on Hannah Montana and the Tour of Doom
Case ID
90206

EveryDay Medical - Keyword Bidding Optimization

How should a medical equipment provider optimally mange its internet advertising campaign?

View Case on EveryDay Medical - Keyword Bidding Optimization
Case ID
70201

Personal Training at the New York Health Club

When a health club manager grows concerned about undisciplined pricing for personal training, how might he overhaul the club's rates?

View Case on Personal Training at the New York Health Club
Case ID
80208

Analyzing the Analysts

Is there statistical evidence to support claims that analysts include a positive bias in their earnings estimates?

View Case on Analyzing the Analysts
Case ID
70203

Markdown Pricing Optimization at Bloomingdale's (A and B)

Do the benefits of a new markdown pricing optimization system outweigh the costs?

View Case on Markdown Pricing Optimization at Bloomingdale's (A and B)


Graduate students that I served as their primary or secondary adviser.

  • Nur Ayvaz -- dynamic pricing; sequential negotiations.
  • Matulya Bansal -- JP Morgan
  • Omar Besbes -- Professor, Columbia Business School (primary adviser A. Zeevi)
  • Sabri Celik -- Barclays Capital
  • Davide Crapis -- social learning, networks -- Lyft
  • Ying-Ju Chen -- Professor HKUST
  • Serkan Eren -- RBC Captial Markets
  • Itai Gurvich -- Professor, Kellogg School, Northwestern University (primary adviser W. Whitt)
  • Bar Ifrach -- Uber Freight
  • Arseniy Kukanov -- Tower Research
  • Joern Meissner -- Professor, Kühne Logistics University, Hamburg, GE
  • Gustavo Vulcano -- Associate Professor, Stern School, NYU (primary adviser G. van Ryzin)
  • John Yao -- stochastic networks, revenue management
  • Hua Zheng -- Citadel
  • Cinar Kilcioglu -- data science; revenue management -- Uber
  • Davide Crapis -- Lyft; now stealth startup
  • Zhe Liu -- data science; supply chain management
  • Stefano Vaccari -- data scientist Enel
  • Muye Wang -- Two Sigma
  • Seungki Min -- Assistand Professor KAIST, Seoul


In order of recency:

  • Quantitative finance: high-frequency market microstructure; trade execution algorithms; quant asset management; dark pools
  • Social networks: diffusion of information over social networks; the effect of review on information diffusion
  • Economics of congestion: ride-hailing networks and platform controls and incentives; queues in equilibrium; optimal (congestion) pricing; product design and customer choice; characterization of economically optimal operating regimes
  • Data science: exploration / exploitation; applications of ML in finance
  • Algorithmic pricing and revenue management: multi-product pricing; strategic consumer behavior; joint learning and revenue optimization; data-driven, large-scale segmentation and price optimization
  • Real estate: quantitative pricing, risk management, valuation of large-scale real-estate portfolios
  • Stochastic networks: fluid models; Brownian models; control; stability
  • Service operations: multi-server queues; call centers; design, control and performance analysis of such systems; customer behavior; segmentation and revenue optimization
  • Joint learning and control of stochastic systems
  • Asymptotic analysis: applications to queues; quantitative pricing and revenue management

2019

  • B6014: Managerial Statistics (MBA core course; Fall semester)
  • B8816: Quantitative Pricing and Revenue Analytics (MBA elective course; offered annually in the Fall semester)

    Pricing and revenue optimization --or revenue management as it is also called-- focuses on how a firm should set and update pricing and product availability decisions across its various selling channels in order to maximize its profitability. A familiar example comes from the airline industry. The adoption of such systems has transformed the transportation and hospitality industries, and is increasingly important in retail, telecommunications, entertainment, financial services, health care and manufacturing. In parallel, pricing and revenue optimization has become a rapidly expanding practice in consulting services, and a growing area of software and IT development. In this course students learn to identify and exploit opportunities for revenue optimization in different business contexts. This includes a review of the main methodologies that are used in each of these areas, and a survey of current practices in different industries. The course is about evenly split between lectures, cases and guest speakers.

Spring-A 2016

  • Advanced MBA/PhD course on Electronic trading in limit order book markets (Spring-A 2016)

Older courses

  • Stochastic Processing Networks. I taught this course in 1999 and covered topics on product form networks, fluid models and their role in stability analysis and control, heavy traffic approximations of single server queues, and Brownian network models.
  • Seminar in Operations Management. I taught this course in 2001 and mostly covered topics in revenue management and the economics of queues, circa 2000.
  • Seminar on Revenue Management. I have taught this course several times, often jointly with Garrett van Ryzin. It reviews basic topics in the area as covered in the book by Talluri and van Ryzin, plus a collection of "current" papers on various topics in that field. The attached syllabus is from 2004, and is a bit dated. A version of this course will be offered by Garrett van Ryzin in the Fall 2009.

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