Efficient Risk Estimation via Nested Sequential Simulation von Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

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Risk Estimation via Regression von Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

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An Axiomatic Approach to Systemic Risk von Chen, Chen, Iyengar, Garud, Moallemi, Ciamac C.

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Approximate Dynamic Programming via a Smoothed Linear Program von Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.

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Near-Optimal A-B Testing von Bhat, Nikhil, Farias, Vivek F., Moallemi, Ciamac C., Sinha, Deeksha

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Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution von Min, Seungki, Maglaras, Costis, Moallemi, Ciamac C.

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Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets von Maglaras, Costis, Moallemi, Ciamac C., Zheng, Hua

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A deep learning approach to estimating fill probabilities in a limit order book von Maglaras, Costis, Moallemi, Ciamac C., Wang, Muye

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A reinforcement learning approach to optimal execution von Moallemi, Ciamac C., Wang, Muye

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Hidden Illiquidity with Multiple Central Counterparties von Glasserman, Paul, Moallemi, Ciamac C., Yuan, Kai

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Hybrid Scheduling with Mixed-Integer Programming at Columbia Business School von Moallemi, Ciamac C., Patange, Utkarsh

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Pathwise Optimization for Optimal Stopping Problems von Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.

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Dynamic Portfolio Choice with Linear Rebalancing Rules von Moallemi, Ciamac C., Sağlam, Mehmet

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Information Aggregation and Allocative Efficiency in Smooth Markets von Iyer, Krishnamurthy, Johari, Ramesh, Moallemi, Ciamac C.

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Consensus Propagation von Moallemi, C.C., Van Roy, B.

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OR Forum-The Cost of Latency in High-Frequency Trading von Moallemi, Ciamac C., Sağlam, Mehmet

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Convergence of Min-Sum Message Passing for Quadratic Optimization von Moallemi, C.C., Van Roy, B.

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Short-term trading skill: An analysis of investor heterogeneity and execution quality von Sağlam, Mehmet, Moallemi, Ciamac C., Sotiropoulos, Michael G.

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Complexity-Approximation Trade-Offs in Exchange Mechanisms: AMMs vs. LOBs von Milionis, Jason, Moallemi, Ciamac C., Roughgarden, Tim

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Extended Abstract: The Effect of Trading Fees on Arbitrage Profits in Automated Market Makers von Milionis, Jason, Moallemi, Ciamac C., Roughgarden, Tim

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