Source: https://moallemi.com/ciamac/research-interests.php?sort=topic
Timestamp: 2019-04-20 04:38:56+00:00

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My research is focused on the optimal control of large-scale stochastic systems, with an emphasis on applications in financial engineering.
G. Huberman, J. Leshno, C. C. Moallemi. An economist's perspective on the Bitcoin payment system. In American Economic Association Papers and Proceedings, forthcoming, January 2019.
S. Min, C. Maglaras, C. C. Moallemi. Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution. Working paper. Initial version: November 2018.
G. Huberman, J. Leshno, C. C. Moallemi. The economics of the Bitcoin payment system. Vox EU, December 2017.
G. Huberman, J. Leshno, C. C. Moallemi. An economic analysis of the Bitcoin payment system. Working paper. Initial version: August 2017. Revised: March 2019.
C. C. Moallemi, K. Yuan. A model for queue position valuation in a limit order book. Working paper. Initial version: December 2016. Revised: June 2017.
C. Maglaras, C. C. Moallemi, H. Zheng. Optimal execution in a limit order book and an associated microstructure market impact model. Working paper. Initial version: May 2015.
P. Glasserman, C. C. Moallemi, K. Yuan. Hidden illiquidity with multiple central counterparties. Operations Research, 64(5):1143–1158, September–October 2016.
K. Iyer, R. Johari, C. C. Moallemi. Welfare analysis of dark pools. Working paper. Initial version: October 2014. Revised: June 2018.
C. Chen, G. Iyengar, C. C. Moallemi. Asset price-based contagion models for systemic risk. Working paper. Initial version: October 2014.
C. C. Moallemi, M. Sağlam, M. Sotiropoulos. Short-term trading skill: An analysis of investor heterogeneity and execution quality. Journal of Financial Markets, forthcoming, November 2018.
P. Collin-Dufresne, K. Daniel, C. C. Moallemi, M. Sağlam. Strategic asset allocation with predictable returns and transaction costs. Working paper. Initial version: August 2013. Revised: June 2015.
C. Maglaras, C. C. Moallemi, H. Zheng. Queueing dynamics and state space collapse in fragmented limit order book markets. Working paper. Initial version: May 2012. Revised: July 2017.
C. C. Moallemi, M. Sağlam. Dynamic portfolio choice with linear rebalancing rules. Journal of Financial and Quantitative Analysis, forthcoming, March 2015.
M. Broadie, Y. Du, C. C. Moallemi. Risk estimation via regression. Operations Research, 63(5):1077–1097, September–October 2015.
M. Broadie, Y. Du, C. C. Moallemi. Risk estimation via weighted regression. In Proceedings of the 2011 Winter Simulation Conference, pages 3854–3865, December 2011.
C. Chen, G. Iyengar, C. C. Moallemi. An axiomatic approach to systemic risk. Management Science, 56(6):1373-1388, June 2013.
V. V. Desai, V. F. Farias, C. C. Moallemi. Pathwise optimization for optimal stopping problems. Management Science, 58(12):2292–2308, December 2012.
M. Broadie, Y. Du, C. C. Moallemi. Efficient risk estimation via nested sequential simulation. Management Science, 57(6):1172–1194, June 2011.
K. Iyer, R. Johari, C. C. Moallemi. Information aggregation and allocative efficiency in smooth markets. Management Science, 60(10):2509–2524, July 2014.
K. Iyer, R. Johari, C. C. Moallemi. Information aggregation in smooth markets. In EC '10: Proceedings of the 11th ACM Conference on Electronic Commerce, pages 199–206, June 2010.
C. C. Moallemi, M. Sağlam. The cost of latency in high-frequency trading. Operations Research, 61(5):1070–1086, September–October 2013.
C. C. Moallemi, B. Park, B. Van Roy. Strategic execution in the presence of an uninformed arbitrageur. Journal of Financial Markets, 15(4):361–391, January 2012.
S. Min, C. Maglaras, C. C. Moallemi. Thompson sampling with information relaxation penalties. Working paper. Initial version: February 2019.
N. Bhat, V. F. Farias, C. C. Moallemi, D. Sinha. Near optimal A-B testing. Management Science, forthcoming, September 2018.
O. Besbes, J. M. Chaneton, C. C. Moallemi. The exploration-exploitation tradeoff in the newsvendor problem. Working paper. Initial version: November 2014. Revised: May 2017.
N. Bhat, V. F. Farias, C. C. Moallemi. Non-parametric approximate dynamic programming via the kernel method. Working paper. Initial version: October 2012. Revised: January 2018.
N. Bhat, V. F. Farias, C. C. Moallemi. Non-parametric approximate dynamic programming via the kernel method. In Advances in Neural Information Processing Systems 22, pages 395–403, 2012.
V. V. Desai, V. F. Farias, C. C. Moallemi. Bounds for Markov decision processes. Chapter in Reinforcement Learning and Approximate Dynamic Programming for Feedback Control (F. L. Lewis, D. Liu, eds.), IEEE Press, pages 452–473, December 2012.
V. V. Desai, V. F. Farias, C. C. Moallemi. Approximate dynamic programming via a smoothed linear program. Operations Research, 60(3):655-674, May–June 2012.
V. V. Desai, V. F. Farias, C. C. Moallemi. A smoothed approximate linear program. In Advances in Neural Information Processing Systems 22, pages 459–467, 2009.
V. F. Farias, C. C. Moallemi, B. Van Roy, T. Weissman. Universal reinforcement learning. IEEE Transactions on Information Theory, 56(5):2441–2454, May 2010.
V. F. Farias, C. C. Moallemi, B. Van Roy, T. Weissman. A universal scheme for learning. In Proceedings of the IEEE International Symposium on Information Theory, pages 1158–1162, Adelaide, Australia, September 2005.
C. C. Moallemi, S. Kumar, B. Van Roy. Approximate and data-driven dynamic programming for queueing networks. Working paper. Initial version: December 2006. Revised: January 2013.
C. C. Moallemi, B. Van Roy. Distributed optimization in adaptive networks. In Advances in Neural Information Processing Systems 16, MIT Press, pages 887–894, 2004.
C. C. Moallemi, B. Van Roy. Decentralized protocols for optimization of sensor networks. In Proceedings of the 42nd Allerton Conference on Communication, Control and Computing, Monticello, IL, September 2003.
C. C. Moallemi, D. Shah. On the flow-level dynamics of a packet-switched network. Working paper. Initial version: November 2009. Revised: October 2012.
C. C. Moallemi, D. Shah. On the flow-level dynamics of a packet-switched network. In SIGMETRICS '10: Proceedings of the ACM SIGMETRICS International Conference on Measurement and Modeling of Computer Systems, pages 83–94, June 2010.
V. F. Farias, C. C. Moallemi, B. Prabhakar. Load balancing with migration penalties. In Proceedings of the IEEE International Symposium on Information Theory, pages 558–562, Adelaide, Australia, September 2005.
C. C. Moallemi. A Message-Passing Paradigm for Optimization. Ph.D. thesis, Stanford University, September 2007.
C. C. Moallemi, B. Van Roy. Resource allocation via message passing. INFORMS Journal of Computing, 23(2):205–219, Spring 2011.
C. C. Moallemi, B. Van Roy. Convergence of min-sum message passing for convex optimization. IEEE Transactions on Information Theory, 56(4):2041–2050, April 2010.
C. C. Moallemi, B. Van Roy. Convergence of the min-sum algorithm for convex optimization. In Proceedings of the 45th Allerton Conference on Communication, Control and Computing, pages 840–847, Monticello, IL, September 2007.
C. C. Moallemi, B. Van Roy. Convergence of min-sum message passing for quadratic optimization. IEEE Transactions on Information Theory, 55(5):2413–2423, May 2009.
C. C. Moallemi, B. Van Roy. Consensus propagation. IEEE Transactions on Information Theory, 52(11):4753–4766, November 2006.
C. C. Moallemi, B. Van Roy. Consensus propagation. In Advances in Neural Information Processing Systems 18, MIT Press, pages 899–906, 2006.
J. M. Johnson, K. Mason, C. C. Moallemi, H. Xi, S. Somaroo, E. Huang. Protein family annotation in a multiple alignment viewer. Bioinformatics, 19(4):544–545, 2003.
K. Mason, N. M. Patel, A. Ledell, C. C. Moallemi, E. A. Wintner. Mapping protein pockets through their potential small-molecule binding volumes: QSCD applied to biological protein structures. Journal of Computer-Aided Molecular Design, 18(1):55–70, 2004.
E. A. Wintner, C. C. Moallemi. Quantized Surface Complementarity Diversity (QSCD): A model based on small molecule-target complementarity. Journal of Medicinal Chemistry, 43(10):1993–2006, 2000.
C. C. Moallemi. Neural networks in the computer analysis of voided urine cells for bladder cancer. IEEE Expert, 6(6):8–12, December 1991.

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