Ciamac C. Moallemi
William von Mueffling Professor of Business
Decision, Risk, and Operations
BS, Massachusetts Institute of Technology, 1996; Cert. Adv. Study, University of Cambridge, 1997; PhD, Stanford University, 2007
Joined CBS in 2007
Office:
1196
Kravis
E-mail:
[email protected]
Fax:
212-316-9180
Personal Website
Curriculum Vitae
Biography
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.
Teaching
Spring 2022
Spring 2021
The Analytics Advantage
(MBA)
DRO Topics Seminar
(PHD)
Fall 2021
Fall 2020
Fall 2019
Fall 2018
Columbia Caseworks cases
Music Streaming
(2020)
Coauthor(s): Omar Besbes, Mark Broadie, Ciamac C. Moallemi
Research
Journal articles
Dynamic portfolio choice with linear rebalancing rules
In Journal of Financial and Quantitative Analysis
(forthcoming)
Coauthor(s): Ciamac Moallemi, Mehmet Saglam
Hidden illiquidity with multiple central counterparties
In Operations Research
(2016)
Coauthor(s): Paul Glasserman, Ciamac Moallemi, Kai Yuan
Risk estimation via regression
In Operations Research
(2015)
Coauthor(s): Mark Broadie, Yiping Du, Ciamac Moallemi
Information aggregation and allocative efficiency in smooth markets
In Management Science
(2014)
Coauthor(s): Kris Iyer, Ramesh Johari, Ciamac Moallemi
An axiomatic approach to systemic risk
In Management Science
(2013)
Coauthor(s): Chen Chen, Garud Iyengar, Ciamac Moallemi
The cost of latency in high-frequency trading
In Operations Research
(2013)
Coauthor(s): Ciamac Moallemi, Mehmet Saglam
Pathwise optimization for optimal stopping problems
In Management Science
(2012)
Coauthor(s): Vijay Desai, Vivek Farias, Ciamac Moallemi
Strategic execution in the presence of an uninformed arbitrageur
In Journal of Financial Markets
(2012)
Coauthor(s): Ciamac Moallemi, Beomsoo Park, Benjamin Van Roy
Approximate dynamic programming via a smoothed linear program
In Operations Research
(2012)
Coauthor(s): Vijay Desai, Vivek Farias, Ciamac Moallemi
Efficient Risk Estimation via Nested Sequential Simulation
In Management Science
(2011)
Coauthor(s): Mark Broadie, Yiping Du, Ciamac Moallemi
Resource allocation via message passing
In INFORMS Journal on Computing
(2011)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy
Universal reinforcement learning
In IEEE Transactions on Information Theory
(2010)
Coauthor(s): Vivek Farias, Ciamac Moallemi, Benjamin Van Roy, Tsachy Weissman
Convergence of min-sum message-passing for convex optimization
In IEEE Transactions on Information Theory
(2010)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy
Convergence of min-sum message passing for quadratic optimization
In IEEE Transactions on Information Theory
(2009)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy
Consensus propagation
In IEEE Transactions on Information Theory
(2006)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy
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
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
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
Classifying cells for cancer diagnosis using neural networks
In IEEE Expert
(1991)
Coauthor(s): Ciamac Moallemi
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
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
Distributed optimization in adaptive networks
In Advances in Neural Information Processing Systems 16
(2004)
Coauthor(s): Ciamac Moallemi, Benjamin Van Roy
Working papers
The Exploration-Exploitation Trade-off in the Newsvendor Problem
In Stochastic Systems
(2021)
Coauthor(s): Omar Besbes, Juan Manuel Chaneton, Ciamac Moallemi
A model for queue position valuation in a limit order book
(2017)
Coauthor(s): Ciamac Moallemi, Kai Yuan
Near optimal A-B testing
(2017)
Coauthor(s): Nikhil Bhat, Vivek Farias, Ciamac Moallemi, Deeksha Sinha
Short-term trading skill: An analysis of investor heterogeneity and execution quality
(2016)
Coauthor(s): Ciamac Moallemi, Mehmet Saglam, Michael Sotiropoulos
Welfare analysis of dark pools
(2015)
Coauthor(s): Kris Iyer, Ramesh Johari, Ciamac Moallemi
Optimal execution in a limit order book and an associated microstructure market impact model
(2015)
Coauthor(s): Costis Maglaras, Ciamac Moallemi, Hua Zheng
Asset-based contagion models for systemic risk
(2014)
Coauthor(s): Chen Chen, Garud Iyengar, Ciamac Moallemi
Strategic Asset Allocation with Predictable Returns and Transaction Costs
(2014)
Coauthor(s): Pierre Collin-Dufresne, Kent Daniel, Ciamac Moallemi, Mehmet Saglam
Non-parametric approximate dynamic programming via the kernel method
(2012)
Coauthor(s): Nikhil Bhat, Vivek Farias, Ciamac Moallemi
A multiclass model of limit order book dynamics and its application to optimal trade execution
(2011)
Coauthor(s): Costis Maglaras, Ciamac Moallemi
Optimal order flow routing, exchange competition, and the effect of make/take fees
(2011)
Coauthor(s): Costis Maglaras, Ciamac Moallemi, Hua Zhang
On the flow-level dynamics of a packet-switched network
(2009)
Coauthor(s): Ciamac Moallemi, Devavrat Shah
The Execution Game
(2008)
Coauthor(s): Ciamac Moallemi
Ideas and Insights
In The Media
FTX Crypto Debacle Fuels Conservative Attacks on "Woke" Business
GameStop Timeline: A Closer Look at the Saga That Upended Wall Street
How Can a Company like GameStop Profit from Stock Price Surges?
How to Keep Your Cool in a GameStop Market
Robinhood Limits Trades of GameStop, Other Companies Amid Market Volatility