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Ciamac C. Moallemi

13 works· latest 2022· 1 institutionscluster: provisionalORCID 0000-0002-4489-9260

h-index13

i1013

Citations839

Works here13

Most cited in this library

An Axiomatic Approach to Systemic Risk2013 · 186 citations
Efficient Risk Estimation via Nested Sequential Simulation2011 · 109 citations
Risk Estimation via Regression2015 · 94 citations
Pathwise Optimization for Optimal Stopping Problems2012 · 87 citations
Dynamic Portfolio Choice with Linear Rebalancing Rules2017 · 61 citations

Works

13 shown

Automated Market Making and Loss-Versus-Rebalancing

RePEc: Research Papers in Economics·2022·4 authors·preprint·Open access

49citations

Dynamic Portfolio Choice with Linear Rebalancing Rules

Journal of Financial and Quantitative Analysis·2017·2 authors·Open access

61citations

A Model for Queue Position Valuation in a Limit Order Book

SSRN Electronic Journal·2016·1 author·preprint·Open access

31citations

Hidden Illiquidity with Multiple Central Counterparties

Operations Research·2015·2 authors·Open access

47citations

Risk Estimation via Regression

Operations Research·2015·2 authors

94citations

The Exploration-Exploitation Trade-off in the Newsvendor Problem

Stochastic Systems·2014·3 authors·Open access

22citations

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

Operations Research·2013·2 authors

56citations

An Axiomatic Approach to Systemic Risk

Management Science·2013·3 authors

186citations

Pathwise Optimization for Optimal Stopping Problems

Management Science·2012·2 authors

87citations

Strategic execution in the presence of an uninformed arbitrageur

Journal of Financial Markets·2012·3 authors·Open access

43citations

Efficient Risk Estimation via Nested Sequential Simulation

Management Science·2011·2 authors

109citations

The Cost of Latency

SSRN Electronic Journal·2011·2 authors·preprint·Open access

28citations

Approximate and Data-Driven Dynamic Programming for Queueing Networks

·2008·3 authors

26citations