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1

Short-term trading skill: An analysis of investor heterogeneity and execution quality

Sağlam, Mehmet, Moallemi, Ciamac C., Sotiropoulos, Michael G.

Journal:

Journal of Financial Markets

Year:

2019

Language:

english

File:

PDF, 741 KB

english, 2019

2

OR Forum—The Cost of Latency in High-Frequency Trading

Moallemi, Ciamac C., Sağlam, Mehmet

Journal:

Operations Research

Year:

2013

Language:

english

File:

PDF, 483 KB

english, 2013

3

An Economist’s Perspective on the Bitcoin Payment System

Huberman, Gur, Leshno, Jacob D., Moallemi, Ciamac

Journal:

American Economic Association Papers and Proceedings

Year:

2019

File:

PDF, 480 KB

2019

4

Efficient Risk Estimation via Nested Sequential Simulation

Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

Journal:

Management Science

Year:

2011

Language:

english

File:

PDF, 485 KB

english, 2011

5

Approximate Dynamic Programming via a Smoothed Linear Program

Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.

Journal:

Operations Research

Year:

2012

Language:

english

File:

PDF, 366 KB

english, 2012

6

Pathwise Optimization for Optimal Stopping Problems

Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.

Journal:

Management Science

Year:

2012

Language:

english

File:

PDF, 343 KB

english, 2012

7

Dynamic Portfolio Choice with Linear Rebalancing Rules

Moallemi, Ciamac C., Sağlam, Mehmet

Journal:

Journal of Financial and Quantitative Analysis

Year:

2017

Language:

english

File:

PDF, 396 KB

english, 2017

8

An Axiomatic Approach to Systemic Risk

Chen, Chen, Iyengar, Garud, Moallemi, Ciamac C.

Journal:

Management Science

Year:

2013

Language:

english

File:

PDF, 237 KB

english, 2013

9

Information Aggregation and Allocative Efficiency in Smooth Markets

Iyer, Krishnamurthy, Johari, Ramesh, Moallemi, Ciamac C.

Journal:

Management Science

Year:

2014

Language:

english

File:

PDF, 375 KB

english, 2014

10

Risk Estimation via Regression

Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

Journal:

Operations Research

Year:

2015

Language:

english

File:

PDF, 584 KB

english, 2015

11

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

Huberman, Gur, Leshno, Jacob D., Moallemi, Ciamac C.

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 844 KB

english, 2017

12

Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model

Maglaras, Costis, Moallemi, Ciamac C., Zheng, Hua

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 785 KB

english, 2015

13

Near-Optimal A-B Testing

Bhat, Nikhil, Farias, Vivek F., Moallemi, Ciamac C., Sinha, Deeksha

Journal:

Management Science

Year:

2020

File:

PDF, 1.03 MB

2020

14

Mapping protein pockets through their potential small-molecule binding volumes: QSCD applied to biological protein structures

Keith Mason, Nehal M. Patel, Aric Ledel, Ciamac C. Moallemi, Edward A. Wintner

Journal:

Journal of Computer-Aided Molecular Design

Year:

2004

Language:

english

File:

PDF, 1.30 MB

english, 2004

15

Strategic execution in the presence of an uninformed arbitrageur

Ciamac C. Moallemi, Beomsoo Park, Benjamin Van Roy

Journal:

Journal of Financial Markets

Year:

2012

Language:

english

File:

PDF, 685 KB

english, 2012

16

Quantized Surface Complementarity Diversity (QSCD): A Model Based on Small Molecule−Target Complementarity

Wintner, Edward A., Moallemi, Ciamac C.

Journal:

Journal of Medicinal Chemistry

Year:

2000

Language:

english

File:

PDF, 1.31 MB

english, 2000

17

[IEEE 2011 Winter Simulation Conference - (WSC 2011) - Phoenix, AZ, USA (2011.12.11-2011.12.14)] Proceedings of the 2011 Winter Simulation Conference (WSC) - Risk estimation via weighted regression

Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

Year:

2011

Language:

english

File:

PDF, 296 KB

english, 2011

18

Resource Allocation via Message Passing

Moallemi, Ciamac C., Van Roy, Benjamin

Journal:

INFORMS Journal on Computing

Year:

2011

Language:

english

File:

PDF, 311 KB

english, 2011

19

[ACM Press the 13th ACM Conference - Valencia, Spain (2012.06.04-2012.06.08)] Proceedings of the 13th ACM Conference on Electronic Commerce - EC '12 - Information and the value of execution guarantees

Iyer, Krishnamurthy, Johari, Ramesh, Moallemi, Ciamac C.

Year:

2012

Language:

english

File:

PDF, 278 KB

english, 2012

20

On the flow-level dynamics of a packet-switched network

Moallemi, Ciamac, Shah, Devavrat

Journal:

ACM SIGMETRICS Performance Evaluation Review

Year:

2010

Language:

english

File:

PDF, 608 KB

english, 2010

21

Hidden Illiquidity with Multiple Central Counterparties

Glasserman, Paul, Moallemi, Ciamac C., Yuan, Kai

Journal:

Operations Research

Year:

2015

Language:

english

File:

PDF, 354 KB

english, 2015

22

Dynamic Portfolio Choice with Linear Rebalancing Rules

Moallemi, Ciamac C., Saglam, Mehmet

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 715 KB

english, 2012

23

Information Aggregation and Allocative Efficiency in Smooth Markets

Iyer, Krishnamurthy, Johari, Ramesh, Moallemi, Ciamac C.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 313 KB

english, 2010

24

Short-Term Predictability and Price Impact

Moallemi, Ciamac C., Saglam, Mehmet, Sotiropoulos, Michael

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 670 KB

english, 2014

25

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Collin-Dufresne, Pierre, Daniel, Kent D., Moallemi, Ciamac C., Saglam, Mehmet

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 618 KB

english, 2015

26

The Execution Game

Moallemi, Ciamac C.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 561 KB

english, 2008

27

A Model for Queue Position Valuation in a Limit Order Book

Moallemi, Ciamac C., Yuan, Kai

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 623 KB

english, 2016

28

Hidden Illiquidity with Multiple Central Counterparties

Glasserman, Paul, Moallemi, Ciamac C., yuan, kai

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 770 KB

english, 2014

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