Ciamac C. Moallemi

Barbara and Meyer Feldberg Associate 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

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Ciamac Moallemi

Office
416 Uris

Phone
212-854-0570

E-mail
ciamac@gsb.columbia.edu

Fax
212-316-9180

Teaching and research interest

Ciamac C. Moallemi is an Associate Professor in the Decision, Risk, and Operations Division of the Graduate School of Business at Columbia University, where he has been since 2007. 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 Certificate of Advanced Study in Mathematics, 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, as the director of scientific computing at an early-stage drug discovery start-up , and as the founder of a computer security software start-up. Professor Moallemi is an associate editor of Operations Research. He is a member of the IEEE and of INFORMS. He is the recipient of a British Marshall Scholarship (1996) and a Benchmark Stanford Graduate Fellowship (2003). His research interests are in the area of the optimization and control of large-scale stochastic systems, with an emphasis on applications in financial engineering.

Chapters

Information aggregation in smooth markets In EC '10 Proceedings of the 11th ACM Conference on Electronic Commerce (2010)
Author(s): Kris Iyer, Ramesh Johari, Ciamac Moallemi

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Distributed optimization in adaptive networks In Advances in Neural Information Processing Systems 16 (2004)
Author(s): Ciamac Moallemi, Benjamin Van Roy

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Journal articles

Efficient Risk Estimation via Nested Sequential Simulation In Management Science (2011)
Author(s): Mark Broadie, Yiping Du, Ciamac Moallemi

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Resource allocation via message passing In INFORMS Journal on Computing (2011)
Author(s): Ciamac Moallemi, Benjamin Van Roy

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Universal reinforcement learning In IEEE Transactions on Information Theory (2010)
Author(s): Vivek Farias, Ciamac Moallemi, Benjamin Van Roy, Tsachy Weissman

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Convergence of min-sum message-passing for convex optimization In IEEE Transactions on Information Theory (2010)
Author(s): Ciamac Moallemi, Benjamin Van Roy

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Convergence of min-sum message passing for quadratic optimization In IEEE Transactions on Information Theory (2009)
Author(s): Ciamac Moallemi, Benjamin Van Roy

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Consensus propagation In IEEE Transactions on Information Theory (2006)
Author(s): Ciamac Moallemi, Benjamin Van Roy

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Mapping protein pockets through their potential small-molecule binding volumes: QSCD applied to biological protein structures In Journal of Computer-Aided Molecular Design (2004)
Author(s): Keith Mason, Nehal Patel, Aric Ledel, Ciamac Moallemi, Edward Wintner

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Protein family annotation in a multiple alignment viewer In Bioinformatics (2003)
Author(s): Jason Johnson, Keith Mason, Ciamac Moallemi, Hualin Xi, Shyamal Somaroo, Enoch Huang

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Quantized surface complementarity diversity (QSCD): A model based on small molecule-target complementarity In Journal of Medicinal Chemistry (2000)
Author(s): Edward Wintner, Ciamac Moallemi

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Classifying cells for cancer diagnosis using neural networks In IEEE Expert (1991)
Author(s): Ciamac Moallemi

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Working Papers

Strategic Asset Allocation with Predictable Returns and Transaction Costs (2012)
Author(s): Pierre Collin-Dufresne, Kent Daniel, Ciamac Moallemi, Mehmet Saglam

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An Axiomatic Approach to Systemic Risk Working Paper (2011)
Author(s): Chen Chen, Garud Iyengar, Ciamac Moallemi

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A multiclass model of limit order book dynamics and its application to optimal trade execution Working paper (2011)
Author(s): Costis Maglaras, Ciamac Moallemi

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Optimal order flow routing, exchange competition, and the effect of make/take fees Working paper (2011)
Author(s): Costis Maglaras, Ciamac Moallemi, Hua Zhang

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The Execution Game Working Paper (2008)
Author(s): Ciamac Moallemi

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