Ciamac Cyrus Moallemi : Citation Profile

Columbia University

8

H index

8

i10 index

572

Citations

RESEARCH PRODUCTION:

19

Articles

16

Papers

RESEARCH ACTIVITY:

   15 years (2011 - 2026). See details.
   Cites by year: 38
   Journals where Ciamac Cyrus Moallemi has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 4 (0.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmo1607
   Updated: 2026-08-29    RAS profile: 2026-07-18    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ciamac Cyrus Moallemi.

Is cited by:

Asongu, Simplice (18)

Auer, Raphael (13)

Csóka, Péter (9)

Herings, P. Jean-Jacques (8)

Menkveld, Albert (7)

Chiu, Jonathan (7)

Odhiambo, Nicholas (6)

Brunnermeier, Markus (5)

Yolande, Eteke (5)

masciandaro, donato (5)

le Roux, Sara (5)

Cites to:

Foucault, Thierry (11)

Milgrom, Paul (6)

Biais, Bruno (5)

Bessembinder, Hendrik (5)

Cespa, Giovanni (5)

Kyle, Albert (5)

Lo, Andrew (5)

Artzner, Philippe (4)

Huberman, Gur (4)

Easley, David (4)

Menkveld, Albert (4)

Main data

Where Ciamac Cyrus Moallemi has published?

Journals with more than one article published# docs
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org13

Recent works citing Ciamac Cyrus Moallemi (2026 and 2025)

YearTitle of citing document
2026Systemic risk measures with markets volatility. (2019). Hu, Yijun ; Sun, Fei. In: Papers. RePEc:arx:papers:1812.06185.

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2025Dual representations of quasiconvex compositions with applications to systemic risk. (2021). Aygun, Mucahit ; Ararat, Ccaugin. In: Papers. RePEc:arx:papers:2108.12910.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2026Efficient Risk Estimation for the Credit Valuation Adjustment. (2024). Giles, Michael B ; Spence, Jonathan ; Haji-Ali, Abdul-Lateef. In: Papers. RePEc:arx:papers:2301.05886.

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2026A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2024). Cr, St'Ephane ; Frikha, Noufel ; Louzi, Azar. In: Papers. RePEc:arx:papers:2304.01207.

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2025Arbitrageurs profits, LVR, and sandwich attacks: batch trading as an AMM design response. (2025). Canidio, Andrea ; Fritsch, Robin. In: Papers. RePEc:arx:papers:2307.02074.

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2025Primal and dual optimal stopping with signatures. (2025). Pelizzari, Luca ; Schoenmakers, John ; Bayer, Christian. In: Papers. RePEc:arx:papers:2312.03444.

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2026Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. (2024). Yu, Fenghui ; Lokin, Felix. In: Papers. RePEc:arx:papers:2403.02572.

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2026Growth rate of liquidity providers wealth in G3Ms. (2025). Wang, Tai-Ho ; Tung, Shen-Ning ; Lee, Cheuk Yin. In: Papers. RePEc:arx:papers:2403.18177.

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2026Optimal Design of Automated Market Makers on Decentralized Exchanges. (2024). Zhou, Yutian ; He, Xuedong ; Yang, Chen. In: Papers. RePEc:arx:papers:2404.13291.

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2025Adaptive Curves for Optimally Efficient Market Making. (2025). Nadkarni, Viraj ; Kulkarni, Sanjeev ; Viswanath, Pramod. In: Papers. RePEc:arx:papers:2406.13794.

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2025On the Viability of Open-Source Financial Rails: Economic Security of Permissionless Consensus. (2025). Pass, Rafael ; Leshno, Jacob D ; Shi, Elaine. In: Papers. RePEc:arx:papers:2409.08951.

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2026Market Simulation under Adverse Selection. (2025). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2409.12721.

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2025Impermanent loss and loss-vs-rebalancing I: some statistical properties. (2024). Fritz, Lars ; Alexander, Abe. In: Papers. RePEc:arx:papers:2410.00854.

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2025Computing Systemic Risk Measures with Graph Neural Networks. (2024). Weber, Niklas ; Meyer-Brandis, Thilo ; Gonon, Lukas. In: Papers. RePEc:arx:papers:2410.07222.

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2025Pricing American options under rough volatility using deep-signatures and signature-kernels. (2025). Pelizzari, Luca ; Bayer, Christian ; Zhu, Jia-Jie. In: Papers. RePEc:arx:papers:2501.06758.

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2025Liquidity provision of utility indifference type in decentralized exchanges. (2025). Wunsch, Marcus ; Maire, Basile ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2502.01931.

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2025Impermanent loss and Loss-vs-Rebalancing II. (2025). Fritz, Lars ; Lambert, Guillaume ; Alexander, Abe. In: Papers. RePEc:arx:papers:2502.04097.

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2025Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security. (2025). Zongxia, Liang ; Runhuan, Feng ; Yilun, Song. In: Papers. RePEc:arx:papers:2502.13742.

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2025Equilibrium Reward for Liquidity Providers in Automated Market Makers. (2025). , Leandro ; Bergault, Philippe ; Aqsha, Alif. In: Papers. RePEc:arx:papers:2503.22502.

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2025Forecasting Intraday Volume in Equity Markets with Machine Learning. (2025). Cucuringu, Mihai ; Zhang, Chao ; Li, Kang. In: Papers. RePEc:arx:papers:2505.08180.

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2026Liquidity provision with $\tau$-reset strategies: a dynamic historical liquidity approach. (2025). Urusov, Andrey ; Berezovskiy, Rostislav ; Kornilov, Andrei ; Krestenko, Anatoly. In: Papers. RePEc:arx:papers:2505.15338.

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2025Function approximations for counterparty credit exposure calculations. (2025). Demeterfi, Domagoj ; Glau, Kathrin ; Wunderlich, Linus. In: Papers. RePEc:arx:papers:2507.09004.

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2025Optimal Decisions for Liquid Staking: Allocation and Exit Timing. (2025). Tang, Wenpin ; Yao, David ; Cai, Zhebiao ; Ma, Ruofei. In: Papers. RePEc:arx:papers:2507.14810.

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2025Modeling Loss-Versus-Rebalancing in Automated Market Makers via Continuous-Installment Options. (2025). Singh, Srisht Fateh ; Wu, Yuntao ; Gaskin, Samuel ; Michalopoulos, Panagiotis ; Klinck, Jeffrey ; Veneris, Andreas ; Ke, Reina. In: Papers. RePEc:arx:papers:2508.02971.

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2025Optimal Exit Time for Liquidity Providers in Automated Market Makers. (2025). Bergault, Philippe ; Bieber, S'Ebastien. In: Papers. RePEc:arx:papers:2509.06510.

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2025A Microstructure Analysis of Coupling in CFMMs. (2025). Adams, Austin ; Sterrett, Althea. In: Papers. RePEc:arx:papers:2510.06095.

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2025Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations. (2025). Pages, Gilles ; Truc, Mathieu ; Lemaire, Vincent ; Cherchali, Adel ; Boumezoued, Alexandre. In: Papers. RePEc:arx:papers:2510.18995.

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2026ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016.

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2025JaxMARL-HFT: GPU-Accelerated Large-Scale Multi-Agent Reinforcement Learning for High-Frequency Trading. (2025). Mohl, Valentin ; Leyland, Reuben ; Frey, Sascha ; Nigmatulin, George ; Zohren, Stefan ; Cucuringu, Mihai ; Calinescu, Anisoara ; Foerster, Jakob. In: Papers. RePEc:arx:papers:2511.02136.

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2026Amortizing Perpetual Options. (2026). Feinstein, Zachary. In: Papers. RePEc:arx:papers:2512.06505.

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2026Reliable Real-Time Value at Risk Estimation via Quantile Regression Forest with Conformal Calibration. (2026). Zhu, Qianwen ; Zhang, Kun ; Liang, Guo ; Wang, Du-Yi. In: Papers. RePEc:arx:papers:2602.01912.

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2026How can the dual martingale help solving the primal optimal stopping problem?. (2026). Lelong, J'Erome ; Kebaier, Ahmed ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2602.09950.

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2026RAmmStein: Regime Adaptation in Mean-reverting Markets with Stein Thresholds -- Optimal Impulse Control in Concentrated AMMs. (2026). Anchuri, Pranay. In: Papers. RePEc:arx:papers:2602.19419.

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2026Model Predictive Control For Trade Execution. (2026). Ushenin, Andrey ; Li, Yuchao ; Liew, Samuel ; McAuliffe, Thomas P ; Tsagaris, Theodoros ; Bertsekas, Dimitri P ; Tasoulis, Dimitris ; Pearce, Jack ; Tasos, Alexandros ; Wang, Chihang. In: Papers. RePEc:arx:papers:2603.28898.

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2026Inertial Mining: Equilibrium Implementation of the Bitcoin Protocol. (2026). Tamuz, Omer ; Pan, Minghao ; Mueller-Frank, Manuel. In: Papers. RePEc:arx:papers:2604.06092.

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2026Memory-Induced Supra-Competitive Outcomes Between Deep Reinforcement Learning Agents in Optimal Trade Execution. (2026). Campajola, Carlo ; Koulouris, Christos Spyridon. In: Papers. RePEc:arx:papers:2605.20348.

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2026Strategic Users in a Priority Queue with Bulk Service on Blockchains. (2026). Kim, Kyoung-Kuk ; Seo, Donghwa. In: Papers. RePEc:arx:papers:2606.01274.

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2026Mind the Gap in the Mining Game. (2026). Seo, Donghwa ; Kim, Kyoung-Kuk. In: Papers. RePEc:arx:papers:2606.03153.

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2026Geometrically convex return risk measures on AM-algebras. (2026). Laudag, Christian. In: Papers. RePEc:arx:papers:2606.26031.

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2025Stablecoins vs CBDCs: the Digital Money Race in the Scientific and Social Networks. (2025). Masciandaro, Donato ; Gurrado, Giuseppe. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25254.

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2026Reassessing Risk Integration in Investment Appraisal: A Comparative Evaluation of Traditional and Simplified Analytical Models. (2026). Eze, Ogbonnaya Nweze ; Alu, Chituru ; Ahannaya, Gandolph Chinedu ; Adebawojo, Oladipupo Akindehinde ; Enyi, Patrick Enyi. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:10:y:2026:i:2:p:7873-7887.

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2026Who owns crypto in the euro area? Drivers of crypto adoption, payment use, and its interaction with fiat cash. (2026). Zamora-Prez, Alejandro. In: Working Paper Series. RePEc:ecb:ecbwps:20263215.

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2025Economics of Ethereum. (2025). John, Kose ; Schwarz-Schilling, Caspar ; Monnot, Barnab ; Mueller, Peter ; Saleh, Fahad. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119924001809.

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2025The economics of Constant Function Market Makers. (2025). Fabi, Michele ; Prat, Julien. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119925000057.

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2026What data have told us about decentralized finance. (2026). Len, Jaime Castillo ; Lehar, Alfred. In: Journal of Corporate Finance. RePEc:eee:corfin:v:96:y:2026:i:c:s0929119925001841.

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2025Does textual risk information from individual banks exacerbate systemic risk? Evidence from the Chinese banking system. (2025). Li, Zhinan ; Ren, Yaqi ; Shen, Peilong ; Zhang, Can. In: Economic Modelling. RePEc:eee:ecmode:v:152:y:2025:i:c:s0264999325002469.

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2025Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis. (2025). Jackson Young, Laura ; Civelli, Andrea. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000452.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2025Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands. (2025). Ch, Georg ; Maier, Sebastian ; Glanzer, Martin. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:162-173.

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2025Does digital transformation affect systemic risk? Evidence from the banking sector in China. (2025). Sun, Naili ; Xia, Yufei ; Li, Yawen. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925002248.

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2025What determines Bitcoins price over the past decade?. (2025). Zhang, Xinyu ; Wei, Yunjie ; Wang, Shouyang ; Chen, Muying. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002613.

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2025Bitcoin arbitrage and exchange default risk. (2025). Intini, Silvia ; Guo, Weiwei ; Jahanshahloo, Hossein. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s154461232401393x.

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2025Are cryptocurrencies priced in the cross-section? A portfolio approach. (2025). Ekponon, Adelphe ; Assamoi, Vincent K ; Guo, Zihan. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014661.

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2025A data-driven prediction method for multi-period portfolio optimization using the real options approach. (2025). Arasteh, Abdollah. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006634.

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2026Transaction fee mechanisms robust to welfare-increasing collusion. (2026). Yaish, Aviv ; Gafni, Yotam. In: Games and Economic Behavior. RePEc:eee:gamebe:v:157:y:2026:i:c:p:351-375.

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2025Will technological advancement affect Bitcoin trading and pricing? Evidence from BRC-20 tokens. (2025). Wang, Ziwei ; Yang, Haijun ; Li, Zhen. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000316.

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2025Approximations of multi-period liability values by simple formulas. (2025). Engler, Nils ; Lindskog, Filip. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:123:y:2025:i:c:s0167668725000599.

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2025Transformers-based least square Monte Carlo for solvency calculation in life insurance. (2025). Scognamiglio, Salvatore ; Zanetti, Paolo ; Perla, Francesca ; Spadaro, Andrea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:125:y:2025:i:c:s0167668725001106.

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2025Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence. (2025). Swan, Peter L ; De, Frederick H ; Lin, Yiping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002449.

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2025Distributed ledgers and the governance of money. (2025). Auer, Raphael ; Shin, Hyun Song ; Monnet, Cyril. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000340.

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2025Maximal extractable value and allocative inefficiencies in public blockchains. (2025). Jia, Ruizhe ; Capponi, Agostino ; Ye, Kanye. In: Journal of Financial Economics. RePEc:eee:jfinec:v:172:y:2025:i:c:s0304405x25001400.

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2025Does what happens on-chain stays on-chain? The dynamics of blockchain token transactions and prices. (2025). Benedetti, Hugo ; Rodrguez-Garnica, Gabriel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:158:y:2025:i:c:s0261560625001433.

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2026Impermanent loss in cryptocurrency. (2026). Li, Xiao ; Dowling, Michael ; Chu, Gang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:160:y:2026:i:c:s0261560625002116.

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2025Tokenomics: Optimal monetary and fee policies. (2025). Xiang, Haotian ; Jermann, Urban. In: Journal of Monetary Economics. RePEc:eee:moneco:v:155:y:2025:i:c:s0304393225000790.

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2025Cross−impact and price bubbles in hybrid financial markets. (2025). Giannetti, Caterina ; Cordoni, Francesco ; Chapkovski, Philipp ; Lillo, Fabrizio. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:118:y:2025:i:c:s2214804325000643.

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2025Token-Based Platform Governance. (2025). Abadi, Joseph ; Brunnermeier, Markus K. In: Working Papers. RePEc:fip:fedpwp:100006.

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2025Order Book Liquidity on Crypto Exchanges. (2025). Hanke, Michael ; Gramlich, Marius ; Angerer, Martin. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:124-:d:1601444.

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2025The Nonsense of Bitcoin in Portfolio Analysis. (2025). Shalit, Haim. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:125-:d:1602154.

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2025A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2024). Louzi, Azar ; Crepey, Stephane ; Frikha, Noufel. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328.

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2025Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method. (2025). Song, Eunhye ; Feng, Ben Mingbin. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:37:y:2025:i:3:p:723-742.

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2025Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels. (2025). Lai, Qidong ; Zhang, Kun ; Liu, Guangwu. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:37:y:2025:i:4:p:1087-1105.

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2025Does Mining Fuel Bubbles? An Experimental Study on Cryptocurrency Markets. (2025). Sofianos, Andis ; Xu, Yilong ; Lambrecht, Marco. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:3:p:1865-1888.

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2025A Theory of Credit Rating Criteria. (2025). Kou, Steven ; Wang, Ruodu ; Guo, Nan. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:4:p:3583-3599.

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2025Global Sensitivity Analysis via Optimal Transport. (2025). Savar, Giuseppe ; Borgonovo, Emanuele ; Plischke, Elmar ; Figalli, Alessio. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:5:p:3809-3828.

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2025Nonstationary A/B Tests: Optimal Variance Reduction, Bias Correction, and Valid Inference. (2025). Zhang, Zuohua ; Zheng, Zeyu ; Wu, Yuhang ; Wang, Chu. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:6:p:4707-4727.

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2025Multi-armed Bandit Experimental Design: Online Decision-Making and Adaptive Inference. (2025). Simchi-Levi, David ; Wang, Chonghuan. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:6:p:4828-4846.

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2025Extubation Decisions with Predictive Information for Mechanically Ventilated Patients in the ICU. (2025). Zheng, Zhichao ; Ooi, Oon Cheong ; Xie, Jingui ; Luo, Haidong ; Cheng, Guang. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:7:p:6069-6091.

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2026An Economic Model of a Decentralized Exchange with Concentrated Liquidity. (2026). Rivera, Thomas J ; Hasbrouck, Joel ; Saleh, Fahad. In: Management Science. RePEc:inm:ormnsc:v:72:y:2026:i:5:p:3666-3683.

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2024Stochastic Liquidity as a Proxy for Nonlinear Price Impact. (2024). Wang, Zexin ; Webster, Kevin ; Muhle-Karbe, Johannes. In: Operations Research. RePEc:inm:oropre:v:72:y:2024:i:2:p:444-458.

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2025Price Interpretability of Prediction Markets: A Convergence Analysis. (2025). Wang, Zizhuo ; Wu, Weiping ; Gao, Jianjun ; Yu, Dian. In: Operations Research. RePEc:inm:oropre:v:73:y:2025:i:1:p:157-177.

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2025Trading with Concave Price Impact and Impact Decay—Theory and Evidence. (2025). Hey, Natascha ; Webster, Kevin ; Muhle-Karbe, Johannes ; Mastromatteo, Iacopo. In: Operations Research. RePEc:inm:oropre:v:73:y:2025:i:3:p:1230-1247.

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2026Post-trade Netting and Contagion. (2026). Zhang, Yuliang ; Maria, Luitgard Anna. In: Operations Research. RePEc:inm:oropre:v:74:y:2026:i:2:p:667-681.

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2025Is Monopolization Inevitable in Proof-of-Work Blockchains? Insights from Miner Scale Analysis. (2025). Zhang, LI ; Li, Jiashun ; Gong, KE ; Luo, Xueting. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10755-6.

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2025Transactions Market in Bitcoin: Empirical Analysis of the Demand and Supply Block Space Curves. (2025). ARGUEDAS SANZ, RAQUEL ; Arguedas-Sanz, Raquel ; Rico-Pea, Juan Jess ; Lpez-Martn, Carmen. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:4:d:10.1007_s10614-024-10775-2.

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2025Measurement and Early Warning of Systemic Financial Risk in China: Markov Switching Models. (2025). Wang, Yingdong. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:6:d:10.1007_s10614-025-10873-9.

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2026Pricing High-Dimensional Bermudan Options via Kernel-Based Dual Variance Minimization. (2026). Li, Nan. In: Computational Economics. RePEc:kap:compec:v:67:y:2026:i:3:d:10.1007_s10614-025-10933-0.

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2026Design and valuation of cryptocurrencies. (2026). Shi, Yanghua ; Eska, Fabian E ; Uhrig-Homburg, Marliese ; Theissen, Erik. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:67:y:2026:i:1:d:10.1007_s11156-025-01447-9.

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2025Financial Risk Under Shortfall Level Uncertainty. (2025). Racine, Jeffrey ; Soof, Ehsan S ; Asadi, Majid ; Wu, Shaomin. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2025-04.

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2026Central Counterparty Management of Liquid and Prefunded Resources. (2026). Heilbron, John ; Schwartz, Nick. In: Working Papers. RePEc:ofr:wpaper:26-04.

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2025Liquidity provision of utility indifference type in decentralized exchanges. (2025). Wunsch, Marcus ; Maire, Basile ; Fukasawa, Masaaki. In: Digital Finance. RePEc:spr:digfin:v:7:y:2025:i:2:d:10.1007_s42521-025-00128-5.

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2025A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation. (2025). Frikha, Noufel ; Louzi, Azar ; Crpey, Stphane. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:4:d:10.1007_s00780-025-00573-5.

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2026Reinforcement learning for continuous-time optimal execution: actor–critic algorithm and error analysis. (2026). Li, Lingfei ; Gao, Xuefeng ; Wang, Boyu. In: Finance and Stochastics. RePEc:spr:finsto:v:30:y:2026:i:2:d:10.1007_s00780-026-00589-5.

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2026An Economic Analysis of Difficulty Adjustment Algorithms in Proof‐of‐Work Blockchain Systems. (2026). Okumura, Kyohei ; Noda, Shunya ; Hashimoto, Yoshinori. In: International Economic Review. RePEc:wly:iecrev:v:67:y:2026:i:1:p:259-285.

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Works by Ciamac Cyrus Moallemi:

YearTitleTypeCited
2019An Economists Perspective on the Bitcoin Payment System In: AEA Papers and Proceedings.
[Full Text][Citation analysis]		article5
2018Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution In: Papers.
[Full Text][Citation analysis]		paper5
2022Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution.(2022) In: Operations Research.
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This paper has nother version. Agregated cites: 5		article
2022Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective In: Papers.
[Full Text][Citation analysis]		paper0
2026Automated Market Making and Loss-Versus-Rebalancing In: Papers.
[Full Text][Citation analysis]		paper7
2023Complexity-Approximation Trade-offs in Exchange Mechanisms: AMMs vs. LOBs In: Papers.
[Full Text][Citation analysis]		paper2
2023A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers In: Papers.
[Full Text][Citation analysis]		paper8
2025Automated Market Making and Arbitrage Profits in the Presence of Fees In: Papers.
[Full Text][Citation analysis]		paper17
2025am-AMM: An Auction-Managed Automated Market Maker In: Papers.
[Full Text][Citation analysis]		paper0
2024Quantifying Price Improvement in Order Flow Auctions In: Papers.
[Full Text][Citation analysis]		paper0
2024Loss-Versus-Fair: Efficiency of Dutch Auctions on Blockchains In: Papers.
[Full Text][Citation analysis]		paper0
2025What Drives Liquidity on Decentralized Exchanges? Evidence from the Uniswap Protocol In: Papers.
[Full Text][Citation analysis]		paper0
2026Latency Advantages in Common-Value Auctions In: Papers.
[Full Text][Citation analysis]		paper0
2026Risk-Based Auto-Deleveraging In: Papers.
[Full Text][Citation analysis]		paper0
2026Volatility in Prediction Markets: A Structural Approach In: Papers.
[Full Text][Citation analysis]		paper0
2017Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper179
2021Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System.(2021) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 179		article
2017Monopoly without a monopolist: An economic analysis of the bitcoin payment system.(2017) In: Bank of Finland Research Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 179		paper
2017Dynamic Portfolio Choice with Linear Rebalancing Rules In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article15
2019Short-term trading skill: An analysis of investor heterogeneity and execution quality In: Journal of Financial Markets.
[Full Text][Citation analysis]		article8
2024Hybrid Scheduling with Mixed-Integer Programming at Columbia Business School In: Interfaces.
[Full Text][Citation analysis]		article0
2011Efficient Risk Estimation via Nested Sequential Simulation In: Management Science.
[Full Text][Citation analysis]		article52
2012Pathwise Optimization for Optimal Stopping Problems In: Management Science.
[Full Text][Citation analysis]		article39
2013An Axiomatic Approach to Systemic Risk In: Management Science.
[Full Text][Citation analysis]		article107
2014Information Aggregation and Allocative Efficiency in Smooth Markets In: Management Science.
[Full Text][Citation analysis]		article8
2020Near-Optimal A-B Testing In: Management Science.
[Full Text][Citation analysis]		article8
2025Thompson Sampling with Information Relaxation Penalties In: Management Science.
[Full Text][Citation analysis]		article0
2012Approximate Dynamic Programming via a Smoothed Linear Program In: Operations Research.
[Full Text][Citation analysis]		article6
2013OR Forum---The Cost of Latency in High-Frequency Trading In: Operations Research.
[Full Text][Citation analysis]		article7
2015Risk Estimation via Regression In: Operations Research.
[Full Text][Citation analysis]		article57
2016Hidden Illiquidity with Multiple Central Counterparties In: Operations Research.
[Full Text][Citation analysis]		article30
2015Hidden Illiquidity with Multiple Central Counterparties.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2021Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets In: Operations Research.
[Full Text][Citation analysis]		article1
2022A deep learning approach to estimating fill probabilities in a limit order book In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2022A reinforcement learning approach to optimal execution In: Quantitative Finance.
[Full Text][Citation analysis]		article7

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