Search Results - "Moallemi, Ciamac"

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

“…Systemic risk refers to the risk of collapse of an entire complex system as a result of the actions taken by the individual component entities or agents that…”
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Efficient Risk Estimation via Nested Sequential Simulation by Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

“…We analyze the computational problem of estimating financial risk in a nested simulation. In this approach, an outer simulation is used to generate financial…”
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Near-Optimal A-B Testing by Bhat, Nikhil, Farias, Vivek F., Moallemi, Ciamac C., Sinha, Deeksha

“…We consider the problem of A-B testing when the impact of the treatment is marred by a large number of covariates. Randomization can be highly inefficient in…”
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Risk Estimation via Regression by Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

“…We introduce a regression-based nested Monte Carlo simulation method for the estimation of financial risk. An outer simulation level is used to generate…”
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A deep learning approach to estimating fill probabilities in a limit order book by Maglaras, Costis, Moallemi, Ciamac C., Wang, Muye

“…Deciding between the use of market orders and limit orders is an important question in practical optimal trading problems. A key ingredient in making this…”
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A reinforcement learning approach to optimal execution by Moallemi, Ciamac C., Wang, Muye

“…We consider the problem of execution timing in optimal execution. Specifically, we formulate the optimal execution problem of an infinitesimal order as an…”
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Hidden Illiquidity with Multiple Central Counterparties by Glasserman, Paul, Moallemi, Ciamac C., Yuan, Kai

“…Regulatory changes are transforming the multitrillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through…”
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Pathwise Optimization for Optimal Stopping Problems by Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.

“…We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the "price") of…”
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Dynamic Portfolio Choice with Linear Rebalancing Rules by Moallemi, Ciamac C., Sağlam, Mehmet

“…We consider a broad class of dynamic portfolio optimization problems that allow for complex models of return predictability, transaction costs, trading…”
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Information Aggregation and Allocative Efficiency in Smooth Markets by Iyer, Krishnamurthy, Johari, Ramesh, Moallemi, Ciamac C.

“…Recent years have seen extensive investigation of the information aggregation properties of markets. However, relatively little is known about conditions under…”
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Approximate Dynamic Programming via a Smoothed Linear Program by Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.

“…We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP…”
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OR Forum-The Cost of Latency in High-Frequency Trading by Moallemi, Ciamac C., Sağlam, Mehmet

“…Modern electronic markets have been characterized by a relentless drive toward faster decision making. Significant technological investments have led to…”
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Consensus Propagation by Moallemi, C.C., Van Roy, B.

“…We propose consensus propagation, an asynchronous distributed protocol for averaging numbers across a network. We establish convergence, characterize the…”
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Short-term trading skill: An analysis of investor heterogeneity and execution quality by Sağlam, Mehmet, Moallemi, Ciamac C., Sotiropoulos, Michael G.

“…We examine short-horizon return predictability using a novel data set of institutional trades on large-cap U.S. stocks. We estimate investor-specific…”
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Convergence of Min-Sum Message Passing for Quadratic Optimization by Moallemi, C.C., Van Roy, B.

“…We establish the convergence of the min-sum message passing algorithm for minimization of a quadratic objective function given a convex decomposition. Our…”
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Convergence of Min-Sum Message-Passing for Convex Optimization by Moallemi, C.C., Van Roy, B.

“…We establish that the min-sum message-passing algorithm and its asynchronous variants converge for a large class of unconstrained convex optimization problems,…”
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Strategic execution in the presence of an uninformed arbitrageur by Moallemi, Ciamac C., Park, Beomsoo, Van Roy, Benjamin

“…We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur…”
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Universal Reinforcement Learning by Farias, Vivek F, Moallemi, Ciamac C, Van Roy, Benjamin, Weissman, Tsachy

“…We consider an agent interacting with an unmodeled environment. At each time, the agent makes an observation, takes an action, and incurs a cost. Its actions…”
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Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System by Huberman, Gur, Leshno, Jacob D, Moallemi, Ciamac

“…Abstract Bitcoin provides its users with transaction-processing services which are similar to those of traditional payment systems. This article models the…”
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Thompson Sampling with Information Relaxation Penalties by Min, Seungki, Maglaras, Costis, Moallemi, Ciamac C.

“…We consider a finite-horizon multiarmed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With…”
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