Ciamac Cyrus Moallemi

Available identifiers

Publication	Date of Publication	Type
Nonparametric Approximate Dynamic Programming via the Kernel Method	2024-02-23	Paper
The Exploration-Exploitation Trade-off in the Newsvendor Problem	2023-01-23	Paper
A deep learning approach to estimating fill probabilities in a limit order book	2022-11-18	Paper
Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution	2022-05-31	Paper
A reinforcement learning approach to optimal execution	2022-05-27	Paper
Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets	2022-02-16	Paper
Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System	2022-01-19	Paper
Convergence of Min-Sum Message Passing for Quadratic Optimization	2017-08-08	Paper
Universal Reinforcement Learning	2017-07-27	Paper
Convergence of Min-Sum Message-Passing for Convex Optimization	2017-07-27	Paper
Hidden Illiquidity with Multiple Central Counterparties	2016-12-20	Paper
Risk Estimation via Regression	2016-03-22	Paper
OR Forum—The Cost of Latency in High-Frequency Trading	2014-06-26	Paper
Approximate Dynamic Programming via a Smoothed Linear Program	2012-11-08	Paper
Resource Allocation via Message Passing	2012-07-28	Paper
Efficient Risk Estimation via Nested Sequential Simulation	2011-08-09	Paper
Consensus Propagation	2008-12-21	Paper
Strategic Execution in the Presence of an Uninformed Arbitrageur	2008-01-18	Paper
Convergence of the Min-Sum Algorithm for Convex Optimization	2007-05-29	Paper

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