Details about Ciamac Cyrus Moallemi

Access statistics for papers by Ciamac Cyrus Moallemi.

Last updated 2026-07-18. Update your information in the RePEc Author Service.

Short-id: pmo1607

Working Papers

2026

1. Latency Advantages in Common-Value Auctions
   Papers, arXiv.org
2. Risk-Based Auto-Deleveraging
   Papers, arXiv.org
3. Volatility in Prediction Markets: A Structural Approach
   Papers, arXiv.org

2025

4. Automated Market Making and Arbitrage Profits in the Presence of Fees
   Papers, arXiv.org View citations (18)
5. What Drives Liquidity on Decentralized Exchanges? Evidence from the Uniswap Protocol
   Papers, arXiv.org
6. am-AMM: An Auction-Managed Automated Market Maker
   Papers, arXiv.org

2024

7. Automated Market Making and Loss-Versus-Rebalancing
   Papers, arXiv.org View citations (7)
8. Loss-Versus-Fair: Efficiency of Dutch Auctions on Blockchains
   Papers, arXiv.org
9. Quantifying Price Improvement in Order Flow Auctions
   Papers, arXiv.org

2023

10. A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers
    Papers, arXiv.org View citations (8)
11. Complexity-Approximation Trade-offs in Exchange Mechanisms: AMMs vs. LOBs
    Papers, arXiv.org View citations (2)

2022

12. Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
    Papers, arXiv.org

2018

13. Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution
    Papers, arXiv.org View citations (2)
    See also Journal Article Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution, Operations Research, INFORMS (2022) View citations (3) (2022)

2017

14. Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System
    CEPR Discussion Papers, Centre for Economic Policy Research View citations (73)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (2017) View citations (6)
    See also Journal Article Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System, The Review of Economic Studies, Review of Economic Studies Ltd (2021) View citations (103) (2021)

2015

15. Hidden Illiquidity with Multiple Central Counterparties
    Working Papers, Office of Financial Research, US Department of the Treasury View citations (16)
    See also Journal Article Hidden Illiquidity with Multiple Central Counterparties, Operations Research, INFORMS (2016) View citations (14) (2016)

Journal Articles

2025

1. Thompson Sampling with Information Relaxation Penalties
   Management Science, 2025, 71, (3), 1988-2010

2024

2. Hybrid Scheduling with Mixed-Integer Programming at Columbia Business School
   Interfaces, 2024, 54, (3), 222-240

2022

3. A deep learning approach to estimating fill probabilities in a limit order book
   Quantitative Finance, 2022, 22, (11), 1989-2003 View citations (4)
4. A reinforcement learning approach to optimal execution
   Quantitative Finance, 2022, 22, (6), 1051-1069 View citations (7)
5. Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution
   Operations Research, 2022, 70, (2), 830-846 View citations (3)
   See also Working Paper Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution, Papers (2018) View citations (2) (2018)

2021

6. Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System
   (Blockchain Economics)
   The Review of Economic Studies, 2021, 88, (6), 3011-3040 View citations (103)
   See also Working Paper Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System, CEPR Discussion Papers (2017) View citations (73) (2017)
7. Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets
   Operations Research, 2021, 69, (4), 1324-1348 View citations (1)

2020

8. Near-Optimal A-B Testing
   Management Science, 2020, 66, (10), 4477-4495 View citations (8)

2019

9. An Economist's Perspective on the Bitcoin Payment System
   AEA Papers and Proceedings, 2019, 109, 93-96 View citations (5)
10. Short-term trading skill: An analysis of investor heterogeneity and execution quality
    Journal of Financial Markets, 2019, 42, (C), 1-28 View citations (9)

2017

11. Dynamic Portfolio Choice with Linear Rebalancing Rules
    Journal of Financial and Quantitative Analysis, 2017, 52, (3), 1247-1278 View citations (15)

2016

12. Hidden Illiquidity with Multiple Central Counterparties
    Operations Research, 2016, 64, (5), 1143-1158 View citations (14)
    See also Working Paper Hidden Illiquidity with Multiple Central Counterparties, Working Papers (2015) View citations (16) (2015)

2015

13. Risk Estimation via Regression
    Operations Research, 2015, 63, (5), 1077-1097 View citations (57)

2014

14. Information Aggregation and Allocative Efficiency in Smooth Markets
    Management Science, 2014, 60, (10), 2509-2524 View citations (8)

2013

15. An Axiomatic Approach to Systemic Risk
    Management Science, 2013, 59, (6), 1373-1388 View citations (106)
16. OR Forum---The Cost of Latency in High-Frequency Trading
    Operations Research, 2013, 61, (5), 1070-1086 View citations (7)

2012

17. Approximate Dynamic Programming via a Smoothed Linear Program
    Operations Research, 2012, 60, (3), 655-674 View citations (7)
18. Pathwise Optimization for Optimal Stopping Problems
    Management Science, 2012, 58, (12), 2292-2308 View citations (38)

2011

19. Efficient Risk Estimation via Nested Sequential Simulation
    Management Science, 2011, 57, (6), 1172-1194 View citations (53)