March 20, 2014: IAQF/Thalesians Seminar Series

Abstract

Driven by technological advances, modern financial markets have become an electronic world dominated by automated agents that interact algorithmically. Markets are now characterized by decision-making that evolves on a microsecond timescale, with activity fragmented across many exchanges and alternative market structures. This has led to challenging new decision problems for
market participants. This talks explores some of the basic questions and develops quantitative models to address issues that have arisen in modern market microstructure.

Biography
Ciamac C. Moallemi is the Barbara and Meyer Feldberg 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.  He is an associate editor at the journals Operations Research and Management Science. He is a member of INFORMS, the AFA, and the IEEE. 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 and decision-making under uncertainty, with an emphasis on applications in financial engineering