IDEAS home Printed from https://ideas.repec.org/f/c/pmo1607.html

Ciamac Cyrus Moallemi

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jason Milionis & Ciamac C. Moallemi & Tim Roughgarden, 2023. "Complexity-Approximation Trade-offs in Exchange Mechanisms: AMMs vs. LOBs," Papers 2302.11652, arXiv.org, revised Apr 2023.

    Cited by:

    1. Andrew W. Macpherson, 2024. "Do backrun auctions protect traders?," Papers 2401.08302, arXiv.org.
    2. Guillermo Angeris & Tarun Chitra & Theo Diamandis & Alex Evans & Kshitij Kulkarni, 2023. "The Geometry of Constant Function Market Makers," Papers 2308.08066, arXiv.org.

  2. Jason Milionis & Ciamac C. Moallemi & Tim Roughgarden, 2023. "Automated Market Making and Arbitrage Profits in the Presence of Fees," Papers 2305.14604, arXiv.org, revised Jul 2025.

    Cited by:

    1. Abe Alexander & Guillaume Lambert & Lars Fritz, 2025. "Impermanent loss and Loss-vs-Rebalancing II," Papers 2502.04097, arXiv.org, revised May 2025.
    2. Lioba Heimbach & Vabuk Pahari & Eric Schertenleib, 2024. "Non-Atomic Arbitrage in Decentralized Finance," Papers 2401.01622, arXiv.org, revised Apr 2024.
    3. Fabi, Michele & Prat, Julien, 2025. "The economics of Constant Function Market Makers," Journal of Corporate Finance, Elsevier, vol. 91(C).
    4. Cheuk Yin Lee & Shen-Ning Tung & Tai-Ho Wang, 2024. "Growth rate of liquidity provider's wealth in G3Ms," Papers 2403.18177, arXiv.org, revised Apr 2026.
    5. Viraj Nadkarni & Sanjeev Kulkarni & Pramod Viswanath, 2024. "Adaptive Curves for Optimally Efficient Market Making," Papers 2406.13794, arXiv.org, revised Mar 2025.
    6. Althea Sterrett & Austin Adams, 2025. "A Microstructure Analysis of Coupling in CFMMs," Papers 2510.06095, arXiv.org.
    7. Pablo D. Azar & Adrian Casillas & Maryam Farboodi, 2024. "Natural Centralization in Decentralized Finance," Staff Reports 1102, Federal Reserve Bank of New York.
    8. Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
    9. 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision," Papers 2309.08431, arXiv.org, revised Jun 2024.
    10. Matthew Willetts & Christian Harrington, 2024. "Rebalancing-versus-Rebalancing: Improving the fidelity of Loss-versus-Rebalancing," Papers 2410.23404, arXiv.org.
    11. Alif Aqsha & Philippe Bergault & Leandro S'anchez-Betancourt, 2025. "Equilibrium Reward for Liquidity Providers in Automated Market Makers," Papers 2503.22502, arXiv.org.
    12. Andrea Canidio & Robin Fritsch, 2023. "Arbitrageurs' profits, LVR, and sandwich attacks: batch trading as an AMM design response," Papers 2307.02074, arXiv.org, revised Feb 2025.
    13. Joseph Najnudel & Shen-Ning Tung & Kazutoshi Yamazaki & Ju-Yi Yen, 2024. "An arbitrage driven price dynamics of Automated Market Makers in the presence of fees," Papers 2401.01526, arXiv.org.
    14. Masaaki Fukasawa & Basile Maire & Marcus Wunsch, 2025. "Liquidity provision of utility indifference type in decentralized exchanges," Digital Finance, Springer, vol. 7(2), pages 255-273, June.
    15. Austin Adams & Benjamin Y Chan & Sarit Markovich & Xin Wan, 2023. "Don't Let MEV Slip: The Costs of Swapping on the Uniswap Protocol," Papers 2309.13648, arXiv.org, revised Apr 2024.
    16. Shen-Ning Tung & Tai-Ho Wang, 2024. "A mathematical framework for modelling CLMM dynamics in continuous time," Papers 2412.18580, arXiv.org.
    17. Masaaki Fukasawa & Basile Maire & Marcus Wunsch, 2025. "Liquidity provision of utility indifference type in decentralized exchanges," Papers 2502.01931, arXiv.org.
    18. Ciamac C. Moallemi & Dan Robinson, 2024. "Loss-Versus-Fair: Efficiency of Dutch Auctions on Blockchains," Papers 2406.00113, arXiv.org, revised Jul 2024.

  3. Jason Milionis & Ciamac C. Moallemi & Tim Roughgarden, 2023. "A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers," Papers 2303.00208, arXiv.org, revised Nov 2023.

    Cited by:

    1. Sascha Hägele, 2024. "Centralized exchanges vs. decentralized exchanges in cryptocurrency markets: A systematic literature review," Electronic Markets, Springer;IIM University of St. Gallen, vol. 34(1), pages 1-21, December.
    2. Pranay Anchuri, 2026. "RAmmStein: Regime Adaptation in Mean-reverting Markets with Stein Thresholds -- Optimal Impulse Control in Concentrated AMMs," Papers 2602.19419, arXiv.org, revised Mar 2026.
    3. Viraj Nadkarni & Sanjeev Kulkarni & Pramod Viswanath, 2024. "Adaptive Curves for Optimally Efficient Market Making," Papers 2406.13794, arXiv.org, revised Mar 2025.
    4. Philippe Bergault & S'ebastien Bieber & Leandro S'anchez-Betancourt, 2025. "Optimal Exit Time for Liquidity Providers in Automated Market Makers," Papers 2509.06510, arXiv.org, revised Oct 2025.
    5. Michael J. Curry & Zhou Fan & David C. Parkes, 2024. "Optimal Automated Market Makers: Differentiable Economics and Strong Duality," Papers 2402.09129, arXiv.org.
    6. Guillermo Angeris & Tarun Chitra & Theo Diamandis & Alex Evans & Kshitij Kulkarni, 2023. "The Geometry of Constant Function Market Makers," Papers 2308.08066, arXiv.org.
    7. Xue Dong He & Chen Yang & Yutian Zhou, 2024. "Optimal Design of Automated Market Makers on Decentralized Exchanges," Papers 2404.13291, arXiv.org, revised Aug 2026.
    8. Andrey Urusov & Rostislav Berezovskiy & Anatoly Krestenko & Andrei Kornilov & Yury Yanovich, 2025. "Dynamic Liquidity Provision in Decentralized Markets: Strategy Optimization and Performance Evaluation in Concentrated Liquidity AMMs," Papers 2505.15338, arXiv.org, revised Mar 2026.

  4. Jason Milionis & Ciamac C. Moallemi & Tim Roughgarden & Anthony Lee Zhang, 2022. "Automated Market Making and Loss-Versus-Rebalancing," Papers 2208.06046, arXiv.org, revised Aug 2026.

    Cited by:

    1. Abe Alexander & Lars Fritz, 2024. "Impermanent loss and loss-vs-rebalancing I: some statistical properties," Papers 2410.00854, arXiv.org, revised May 2025.
    2. Abe Alexander & Guillaume Lambert & Lars Fritz, 2025. "Impermanent loss and Loss-vs-Rebalancing II," Papers 2502.04097, arXiv.org, revised May 2025.
    3. Srisht Fateh Singh & Reina Ke Xin Li & Samuel Gaskin & Yuntao Wu & Jeffrey Klinck & Panagiotis Michalopoulos & Zissis Poulos & Andreas Veneris, 2025. "Modeling Loss-Versus-Rebalancing in Automated Market Makers via Continuous-Installment Options," Papers 2508.02971, arXiv.org.
    4. Tobias Bitterli & Fabian Schar, 2023. "Decentralized Exchanges: The Profitability Frontier of Constant Product Market Makers," Papers 2302.05219, arXiv.org, revised Mar 2023.
    5. Ruofei Ma & Zhebiao Cai & Wenpin Tang & David Yao, 2025. "Optimal Decisions for Liquid Staking: Allocation and Exit Timing," Papers 2507.14810, arXiv.org, revised Dec 2025.
    6. Althea Sterrett & Austin Adams, 2025. "A Microstructure Analysis of Coupling in CFMMs," Papers 2510.06095, arXiv.org.
    7. Zachary Feinstein, 2025. "Amortizing Perpetual Options," Papers 2512.06505, arXiv.org, revised May 2026.

  5. Seungki Min & Costis Maglaras & Ciamac C. Moallemi, 2018. "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution," Papers 1811.05524, arXiv.org.

    Cited by:

    1. Natascha Hey & Iacopo Mastromatteo & Johannes Muhle-Karbe & Kevin Webster, 2025. "Trading with Concave Price Impact and Impact Decay—Theory and Evidence," Operations Research, INFORMS, vol. 73(3), pages 1230-1247, May.
    2. De Rossi, Giuliano & Steliaros, Michael, 2022. "The Shift from Active to Passive and its Effect on Intraday Stock Dynamics," Journal of Banking & Finance, Elsevier, vol. 143(C).
    3. Chapkovski, Philipp & Cordoni, Francesco & Giannetti, Caterina & Lillo, Fabrizio, 2025. "Cross−impact and price bubbles in hybrid financial markets," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 118(C).
    4. Johannes Muhle-Karbe & Zexin Wang & Kevin Webster, 2024. "Stochastic Liquidity as a Proxy for Nonlinear Price Impact," Operations Research, INFORMS, vol. 72(2), pages 444-458, March.
    5. Mihai Cucuringu & Kang Li & Chao Zhang, 2025. "Forecasting Intraday Volume in Equity Markets with Machine Learning," Papers 2505.08180, arXiv.org.
    6. Shen, Yiwen & Shi, Meiqi, 2024. "Intraday variation in cross-sectional stock comovement and impact of index-based strategies," Journal of Financial Markets, Elsevier, vol. 68(C).
    7. Masamitsu Ohnishi & Makoto Shimoshimizu, 2022. "Optimal Pair–Trade Execution with Generalized Cross–Impact," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 253-289, June.

  6. Huberman, Gur & Leshno, Jacob & Moallemi, Ciamac C., 2017. "Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System," CEPR Discussion Papers 12322, Centre for Economic Policy Research.

    Cited by:

    1. Jonathan Chiu & Thorsten V. Koeppl, 2018. "Blockchain-based Settlement For Asset Trading," Working Paper 1397, Economics Department, Queen's University.
    2. Zamora-Pérez, Alejandro, 2026. "Who owns crypto in the euro area? Drivers of crypto adoption, payment use, and its interaction with fiat cash," Working Paper Series 3215, European Central Bank.
    3. Makarov, Igor & Schoar, Antoinette, 2018. "Trading and Arbitrage in Cryptocurrency Markets," LSE Research Online Documents on Economics 118909, London School of Economics and Political Science, LSE Library.
    4. Jermann, Urban & Xiang, Haotian, 2025. "Tokenomics: Optimal monetary and fee policies," Journal of Monetary Economics, Elsevier, vol. 155(C).
    5. Bertucci, Louis, 2024. "Bitcoin Ordinals: Determinants and impact on total transaction fees," Research in International Business and Finance, Elsevier, vol. 70(PA).
    6. Jonathan Chiu, 2019. "The Economics of Cryptocurrencies -- Bitcoin and Beyond," 2019 Meeting Papers 425, Society for Economic Dynamics.
    7. Klaus Grobys, 2021. "When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1267-1279, August.
    8. Makarov, Igor & Schoar, Antoinette, 2020. "Trading and arbitrage in cryptocurrency markets," LSE Research Online Documents on Economics 100409, London School of Economics and Political Science, LSE Library.
    9. Grym, Aleksi, 2018. "The great illusion of digital currencies," BoF Economics Review 1/2018, Bank of Finland.
    10. Hitoshi Matsushima & Shunya Noda, 2020. "Mechanism Design with Blockchain Enforcement," KIER Working Papers 1027, Kyoto University, Institute of Economic Research.
    11. Joshua S. Gans & Hanna Halaburda, 2023. ""Zero Cost'' Majority Attacks on Permissionless Blockchains," Papers 2308.06568, arXiv.org.
    12. Chu, Gang & Dowling, Michael & Li, Xiao, 2026. "Impermanent loss in cryptocurrency," Journal of International Money and Finance, Elsevier, vol. 160(C).
    13. Yulin Liu & Yuxuan Lu & Kartik Nayak & Fan Zhang & Luyao Zhang & Yinhong Zhao, 2022. "Empirical Analysis of EIP-1559: Transaction Fees, Waiting Time, and Consensus Security," Papers 2201.05574, arXiv.org, revised Apr 2023.
    14. Peter Zimmerman, 2020. "Blockchain structure and cryptocurrency prices," Bank of England Staff Working Paper series 855, Bank of England.
    15. Hinzen, Franz J. & John, Kose & Saleh, Fahad, 2022. "Bitcoin’s limited adoption problem," Journal of Financial Economics, Elsevier, vol. 144(2), pages 347-369.
    16. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2018. "Between Cash, Deposit And Bitcoin: Would We Like A Central Bank Digital Currency? Money Demand And Experimental Economics," BAFFI CAREFIN Working Papers 1875, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    17. Auer, Raphael, 2019. "Embedded supervision: how to build regulation into blockchain finance," CEPR Discussion Papers 14095, Centre for Economic Policy Research.
    18. Bruno Biais & Albert Menkveld & Catherine Casamatta & Christophe Bisière & Matthieu Bouvard, 2019. "Equilibrium Bitcoin Pricing," 2019 Meeting Papers 360, Society for Economic Dynamics.
    19. Charles M. Kahn & Maarten R.C. van Oordt, 2022. "The Demand for Programmable Payments," Tinbergen Institute Discussion Papers 22-076/IV, Tinbergen Institute.
    20. Raphael A. Auer, 2022. "Embedded Supervision: How to Build Regulation into Decentralised Finance," CESifo Working Paper Series 9771, CESifo.
    21. Nick Arnosti & S. Matthew Weinberg, 2022. "Bitcoin: A Natural Oligopoly," Management Science, INFORMS, vol. 68(7), pages 4755-4771, July.
    22. Jonathan Chiu & Thorsten V. Koeppl, 2022. "The economics of cryptocurrency: Bitcoin and beyond," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1762-1798, November.
    23. Igor Makarov & Antoinette Schoar, 2021. "Blockchain Analysis of the Bitcoin Market," NBER Working Papers 29396, National Bureau of Economic Research, Inc.
    24. Hokkanen, Topi, 2023. "Externalities and market failures of cryptocurrencies," BoF Economics Review 4/2023, Bank of Finland.
    25. Easley, David & O'Hara, Maureen & Basu, Soumya, 2019. "From mining to markets: The evolution of bitcoin transaction fees," Journal of Financial Economics, Elsevier, vol. 134(1), pages 91-109.
    26. Simplice A. Asongu & Nicholas M. Odhiambo, 2023. "Female unemployment, mobile money innovations and doing business by females," Working Papers of the African Governance and Development Institute. 23/033, African Governance and Development Institute..
    27. Simplice A. Asongu & Peter Agyemang-Mintah & Joseph Nnanna & Yolande E. Ngoungou, 2023. "Mobile money innovations, income inequality and gender inclusion in sub-Saharan Africa," Working Papers of the African Governance and Development Institute. 23/047, African Governance and Development Institute..
    28. Muhammad Athar Nadeem & Zhiying Liu & Abdul Hameed Pitafi & Amna Younis & Yi Xu, 2021. "Investigating the Adoption Factors of Cryptocurrencies—A Case of Bitcoin: Empirical Evidence From China," SAGE Open, , vol. 11(1), pages 21582440219, March.
    29. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, Centre for Economic Policy Research.
    30. Joel Hasbrouck & Thomas J. Rivera & Fahad Saleh, 2026. "An Economic Model of a Decentralized Exchange with Concentrated Liquidity," Management Science, INFORMS, vol. 72(5), pages 3666-3683, May.
    31. Capponi, Agostino & Jia, Ruizhe & Wang, Kanye Ye, 2025. "Maximal extractable value and allocative inefficiencies in public blockchains," Journal of Financial Economics, Elsevier, vol. 172(C).
    32. Raphael Auer & Cyril Monnet & Hyun Song Shin, 2021. "Permissioned Distributed Ledgers and the Governance of Money," Diskussionsschriften dp2101, Universitaet Bern, Departement Volkswirtschaft.
    33. Aixing Li & Ke Gong & Jiashun Li & Li Zhang & Xueting Luo, 2025. "Is Monopolization Inevitable in Proof-of-Work Blockchains? Insights from Miner Scale Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 1825-1850, September.
    34. Giuseppe Gurrado & Donato Masciandaro, 2025. "Stablecoins vs CBDCs: the Digital Money Race in the Scientific and Social Networks," BAFFI CAREFIN Working Papers 25254, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    35. Lin William Cong & Ke Tang & Yanxin Wang & Xi Zhao, 2023. "Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem," NBER Working Papers 30949, National Bureau of Economic Research, Inc.
    36. Lin William Cong & Zhiguo He & Jiasun Li, 2019. "Decentralized Mining in Centralized Pools," NBER Working Papers 25592, National Bureau of Economic Research, Inc.
    37. Cole, Benjamin M. & Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2022. "Can Bitcoin be Trusted? Quantifying the economic value of blockchain transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    38. Tianyi Li & Xiaoquan (Michael) Zhang, 2024. "Development Trajectory of Blockchain Platforms: The Role of Multirole," Information Systems Research, INFORMS, vol. 35(3), pages 1296-1323, September.
    39. Shunya Noda & Kyohei Okumura & Yoshinori Hashimoto, 2026. "An Economic Analysis of Difficulty Adjustment Algorithms in Proof‐of‐Work Blockchain Systems," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 67(1), pages 259-285, February.
    40. Divakaruni, Anantha & Zimmerman, Peter, 2023. "The Lightning Network: Turning Bitcoin into money," Finance Research Letters, Elsevier, vol. 52(C).
    41. Brunnermeier, Markus & Abadi, Joseph, 2018. "Blockchain Economics," CEPR Discussion Papers 13420, Centre for Economic Policy Research.
    42. Rahman, Adib J., 2018. "Deflationary policy under digital and fiat currency competition," Research in Economics, Elsevier, vol. 72(2), pages 171-180.
    43. Haim Shalit, 2024. "The Nonsense of Bitcoin 1n Portfolio Analysis," Working Papers 2401, Ben-Gurion University of the Negev, Department of Economics.
    44. Jens Gudmundsson & Jens Leth Hougaard & Erik Ansink, 2024. "Towards fully decentralized environmental regulation," Tinbergen Institute Discussion Papers 24-035/VIII, Tinbergen Institute.
    45. Assamoi, Vincent K. & Ekponon, Adelphe & Guo, Zihan, 2025. "Are cryptocurrencies priced in the cross-section? A portfolio approach," Finance Research Letters, Elsevier, vol. 71(C).
    46. W. Scott Frame & Larry Wall & Lawrence J. White, 2018. "Technological Change and Financial Innovation in Banking: Some Implications for FinTech," Working Papers 18-28, New York University, Leonard N. Stern School of Business, Department of Economics.
    47. Raphael Auer & Cyril Monnet & Hyun Song Shin, 2021. "Distributed Ledgers and the Governance of Money," Working Papers 21.01, Swiss National Bank, Study Center Gerzensee.
    48. Yu Zhu & Scott Hendry, 2019. "A Framework for Analyzing Monetary Policy in an Economy with E-money," Staff Working Papers 19-1, Bank of Canada.
    49. Zhong Xu & Chuanwei Zou, 2021. "What can blockchain do and cannot do?," China Economic Journal, Taylor & Francis Journals, vol. 14(1), pages 4-25, January.
    50. Marco Lambrecht & Andis Sofianos & Yilong Xu, 2025. "Does Mining Fuel Bubbles? An Experimental Study on Cryptocurrency Markets," Management Science, INFORMS, vol. 71(3), pages 1865-1888, March.
    51. Jacob D. Leshno & Elaine Shi & Rafael Pass, 2024. "On the Viability of Open-Source Financial Rails: Economic Security of Permissionless Consensus," Papers 2409.08951, arXiv.org, revised Mar 2025.
    52. Joseph Abadi & Markus K. Brunnermeier, 2025. "Token-Based Platform Governance," Working Papers 25-17, Federal Reserve Bank of Philadelphia.
    53. Borgonovo, Emanuele & Caselli, Stefano & Cillo, Alessandra & Masciandaro, Donato & Rabitti, Giovanni, 2021. "Money, privacy, anonymity: What do experiments tell us?," Journal of Financial Stability, Elsevier, vol. 56(C).
    54. Stefan Behringer & Florian Follert, 2022. "Controlling von Kryptowährungen," Springer Books, in: Jessica Hastenteufel & Susanne Weber & Thomas Röhm (ed.), Digitale Transformation im Controlling, chapter 0, pages 183-195, Springer.
    55. Rico-Peña, Juan Jesús & Arguedas-Sanz, Raquel & López-Martin, Carmen, 2023. "Models used to characterise blockchain features. A systematic literature review and bibliometric analysis," Technovation, Elsevier, vol. 123(C).
    56. Simona-Vasilica Oprea & Irina Alexandra Georgescu & Adela Bâra, 2024. "Is Bitcoin ready to be a widespread payment method? Using price volatility and setting strategies for merchants," Electronic Commerce Research, Springer, vol. 24(2), pages 1267-1305, June.
    57. Manuel Mueller-Frank & Minghao Pan & Omer Tamuz, 2026. "Decentralized Equilibrium for Bitcoin Mining," Papers 2604.06092, arXiv.org, revised Aug 2026.
    58. Guo, Weiwei & Intini, Silvia & Jahanshahloo, Hossein, 2025. "Bitcoin arbitrage and exchange default risk," Finance Research Letters, Elsevier, vol. 71(C).
    59. Ferreira, Daniel & Li, Jin & Nikolowa, Radoslawa, 2019. "Corporate Capture of Blockchain Governance," CEPR Discussion Papers 13493, Centre for Economic Policy Research.
    60. Igor Makarov & Antoinette Schoar, 2022. "Cryptocurrencies and Decentralised Finance," BIS Working Papers 1061, Bank for International Settlements.
    61. Elisa Luciano, 2024. "Optimal Fees and Equilibrium in Crypto Markets," Carlo Alberto Notebooks 722 JEL Classification: D, Collegio Carlo Alberto.
    62. Raphael Auer, 2019. "Beyond the doomsday economics of "proof-of-work" in cryptocurrencies," BIS Working Papers 765, Bank for International Settlements.
    63. Chiu, Jonathan & Wong, Tsz-Nga, 2022. "Payments on digital platforms: Resiliency, interoperability and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 142(C).
    64. Yukun Liu & Aleh Tsyvinski, 2019. "Risks and Returns of Cryptocurrency," 2019 Meeting Papers 160, Society for Economic Dynamics.
    65. Kyoung-Kuk Kim & Donghwa Seo, 2026. "Mind the Gap in the Mining Game," Papers 2606.03153, arXiv.org.
    66. Gafni, Yotam & Yaish, Aviv, 2026. "Transaction fee mechanisms robust to welfare-increasing collusion," Games and Economic Behavior, Elsevier, vol. 157(C), pages 351-375.
    67. Jun Aoyagi & Daisuke Adachi, 2018. "Economic Implications of Blockchain Platforms," Papers 1802.10117, arXiv.org, revised Oct 2018.
    68. Hosain, Md Sajjad, 2018. "Bitcoin: Future transaction currency?," MPRA Paper 87588, University Library of Munich, Germany.
    69. Charles Bertucci & Louis Bertucci & Jean-Michel Lasry & Pierre-Louis Lions, 2020. "Mean Field Game Approach to Bitcoin Mining," Papers 2004.08167, arXiv.org.
    70. Ferreira, Daniel & Li, Jin & Nikolowa, Radoslawa, 2023. "Corporate capture of blockchain governance," LSE Research Online Documents on Economics 115618, London School of Economics and Political Science, LSE Library.
    71. Gilles Hilary & Laura Xiaolei Liu, 2021. "Blockchain and Other Distributed Ledger Technologies in Finance," Springer Books, in: Raghavendra Rau & Robert Wardrop & Luigi Zingales (ed.), The Palgrave Handbook of Technological Finance, pages 243-268, Springer.
    72. Brzustowski, Thomas & Georgiadis Harris, Alkis & Szentes, Balázs, 2023. "Smart contracts and the Coase conjecture," LSE Research Online Documents on Economics 117950, London School of Economics and Political Science, LSE Library.
    73. Feng Dong & Zhiwei Xu & Yu Zhang, 2022. "Bubbly Bitcoin," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(3), pages 973-1015, October.
    74. Castillo León, Jaime & Lehar, Alfred, 2026. "What data have told us about decentralized finance," Journal of Corporate Finance, Elsevier, vol. 96(C).
    75. Sahebi, Iman Ghasemian & Masoomi, Behzad & Ghorbani, Shahryar, 2020. "Expert oriented approach for analyzing the blockchain adoption barriers in humanitarian supply chain," Technology in Society, Elsevier, vol. 63(C).
    76. Benedetti, Hugo & Rodríguez-Garnica, Gabriel, 2025. "Does what happens on-chain stays on-chain? The dynamics of blockchain token transactions and prices," Journal of International Money and Finance, Elsevier, vol. 158(C).
    77. Canidio, Andrea, 2018. "Financial incentives for open source development: the case of Blockchain," MPRA Paper 85352, University Library of Munich, Germany.
    78. Lin William Cong & Xiang Hui & Catherine Tucker & Luofeng Zhou, 2023. "Scaling Smart Contracts via Layer-2 Technologies: Some Empirical Evidence," Management Science, INFORMS, vol. 69(12), pages 7306-7316, December.
    79. Jermann, Urban J., 2021. "Cryptocurrencies and Cagan’s model of hyperinflation," Journal of Macroeconomics, Elsevier, vol. 69(C).
    80. Juanjuan Li & Yong Yuan & Fei-Yue Wang, 2022. "Analyzing Bitcoin transaction fees using a queueing game model," Electronic Commerce Research, Springer, vol. 22(1), pages 135-155, March.
    81. Schilling, Linda & Uhlig, Harald, 2019. "Some simple bitcoin economics," Journal of Monetary Economics, Elsevier, vol. 106(C), pages 16-26.
    82. Sun, Yi & Jiang, Shiqing & Jia, Wanjiao & Wang, Yu, 2022. "Blockchain as a cutting-edge technology impacting business: A systematic literature review perspective," Telecommunications Policy, Elsevier, vol. 46(10).
    83. Julien Prat & Benjamin Walter, 2021. "An Equilibrium Model of the Market for Bitcoin Mining," Journal of Political Economy, University of Chicago Press, vol. 129(8), pages 2415-2452.
    84. Garud Iyengar & Fahad Saleh & Jay Sethuraman & Wenjun Wang, 2023. "Economics of Permissioned Blockchain Adoption," Management Science, INFORMS, vol. 69(6), pages 3415-3436, June.
    85. Lingxiu Dong & Yunzhe Qiu & Fasheng Xu, 2023. "Blockchain-Enabled Deep-Tier Supply Chain Finance," Manufacturing & Service Operations Management, INFORMS, vol. 25(6), pages 2021-2037, November.
    86. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
    87. Rui Ma & Ben R Marshall & Nhut H Nguyen & Nuttawat Visaltanachoti, 2022. "Does bitcoin liquidity resemble the liquidity of other financial assets?," Australian Journal of Management, Australian School of Business, vol. 47(4), pages 729-748, November.
    88. Simplice A. Asongu & Sara Le Roux, 2023. "The role of mobile money innovations in transforming unemployed women to self-employed women in sub-Saharan Africa," Journal of Africa SEER Centre(ASC) 23/024, Africa SEER Centre(ASC).
    89. Wang, Ziwei & Yang, Haijun & Li, Zhen, 2025. "Will technological advancement affect Bitcoin trading and pricing? Evidence from BRC-20 tokens," Global Finance Journal, Elsevier, vol. 65(C).
    90. John, Kose & Monnot, Barnabé & Mueller, Peter & Saleh, Fahad & Schwarz-Schilling, Caspar, 2025. "Economics of Ethereum," Journal of Corporate Finance, Elsevier, vol. 91(C).
    91. Simplice A. Asongu & Yolande E. Ngoungou & Joseph Nnanna, 2023. "Mobile money innovations and health performance in sub-Saharan Africa," Working Papers 23/038, European Xtramile Centre of African Studies (EXCAS).
    92. Chen, Muying & Zhang, Xinyu & Wei, Yunjie & Wang, Shouyang, 2025. "What determines Bitcoin's price over the past decade?," International Review of Financial Analysis, Elsevier, vol. 103(C).
    93. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro & Giovanno Rabitti, 2018. "Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?," BAFFI CAREFIN Working Papers 1895, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    94. Bonaparte, Yosef & Bernile, Gennaro, 2023. "A new “Wall Street Darling?” effects of regulation sentiment in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 52(C).
    95. Barros, Fernando & Bertolai, Jefferson & Carrijo, Matheus, 2023. "Cryptocurrency is accounting coordination: Selfish mining and double spending in a simple mining game," Mathematical Social Sciences, Elsevier, vol. 123(C), pages 25-50.
    96. Linda Schilling & Jesús Fernández-Villaverde & Harald Uhlig, 2020. "Central Bank Digital Currency: When Price and Bank Stability Collide," Working Papers 2020-180, Becker Friedman Institute for Research In Economics.
    97. Luciano Somoza & Antoine Didisheim, 2022. "The End of the Crypto-Diversification Myth," Swiss Finance Institute Research Paper Series 22-53, Swiss Finance Institute.
    98. Fabian E. Eska & Yanghua Shi & Erik Theissen & Marliese Uhrig-Homburg, 2026. "Design and valuation of cryptocurrencies," Review of Quantitative Finance and Accounting, Springer, vol. 67(1), pages 1-44, July.
    99. Martin Angerer & Marius Gramlich & Michael Hanke, 2025. "Order Book Liquidity on Crypto Exchanges," JRFM, MDPI, vol. 18(3), pages 1-29, February.
    100. Donghwa Seo & Kyoung-Kuk Kim, 2026. "Strategic Users in a Priority Queue with Bulk Service on Blockchains," Papers 2606.01274, arXiv.org.
    101. Härdle, Wolfgang Karl & Harvey, Campbell R. & Reule, Raphael C. G., 2018. "Understanding Cryptocurrencies," IRTG 1792 Discussion Papers 2018-044, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    102. Malik, Nikhil & Wei, Yanhao Max & Appel, Gil & Luo, Lan, 2023. "Blockchain technology for creative industries: Current state and research opportunities," International Journal of Research in Marketing, Elsevier, vol. 40(1), pages 38-48.
    103. Jain, Archana & Jain, Chinmay & Krystyniak, Karolina, 2023. "Blockchain transaction fee and Ethereum Merge," Finance Research Letters, Elsevier, vol. 58(PC).
    104. Carlo Gola & Andrea Caponera, 2019. "Policy issues on crypto-assets," LIUC Papers in Economics 2019-7, Cattaneo University (LIUC).
    105. Haim Shalit, 2025. "The Nonsense of Bitcoin in Portfolio Analysis," JRFM, MDPI, vol. 18(3), pages 1-14, February.
    106. Li, Zhicheng & Li, Jialong & Zhou, Ke, 2023. "Bitcoin transaction fees and the decentralization of Bitcoin mining pools," Finance Research Letters, Elsevier, vol. 58(PB).
    107. Reuter, Marco, 2022. "The value of decentralization using the blockchain," ZEW Discussion Papers 22-056, ZEW - Leibniz Centre for European Economic Research.
    108. Rodney J. Garratt & Maarten R. C. van Oordt, 2023. "Why Fixed Costs Matter for Proof-of-Work–Based Cryptocurrencies," Management Science, INFORMS, vol. 69(11), pages 6482-6507, November.
    109. Michael Sockin & Wei Xiong, 2023. "A Model of Cryptocurrencies," Management Science, INFORMS, vol. 69(11), pages 6684-6707, November.
    110. Marcelo A. T. Aragão, 2021. "A Few Things You Wanted to Know about the Economics of CBDCs, but were Afraid to Model: a survey of what we can learn from who has done," Working Papers Series 554, Central Bank of Brazil, Research Department.
    111. Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018. "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers 1812.00595, arXiv.org, revised Oct 2023.
    112. Alon Benhaim & Brett Hemenway Falk & Gerry Tsoukalas, 2021. "Scaling Blockchains: Can Committee-Based Consensus Help?," Papers 2110.08673, arXiv.org, revised Dec 2022.
    113. Makarov, Igor & Schoar, Antoinette, 2021. "Blockchain analysis of the Bitcoin market," LSE Research Online Documents on Economics 118897, London School of Economics and Political Science, LSE Library.
    114. Lin William Cong & Zhiguo He, 2018. "Blockchain Disruption and Smart Contracts," NBER Working Papers 24399, National Bureau of Economic Research, Inc.
    115. Joshua S. Gans & Hanna Halaburda, 2024. "“Zero Cost” Majority Attacks on Permissionless Proof of Work Blockchains," Management Science, INFORMS, vol. 70(6), pages 4155-4165, June.
    116. Ye Wang & Yan Chen & Haotian Wu & Liyi Zhou & Shuiguang Deng & Roger Wattenhofer, 2021. "Cyclic Arbitrage in Decentralized Exchanges," Papers 2105.02784, arXiv.org, revised Jan 2022.
    117. Michael Sockin & Wei Xiong, 2023. "Decentralization through Tokenization," Journal of Finance, American Finance Association, vol. 78(1), pages 247-299, February.
    118. Kawaguchi, Kohei & Noda, Shunya, 2022. "Miners' Reward Elasticity and Stability of Competing Proof-of-Work Cryptocurrencies," SocArXiv u58ns, Center for Open Science.
    119. Shao, Enchuan & Rajapaksa, Danusha, 2024. "Miner competition and transaction fees," Journal of Economic Behavior & Organization, Elsevier, vol. 227(C).
    120. Jiahao He & Guangyuan Zhang & Jiheng Zhang & Rachel Q. Zhang, 2023. "Blockchain Operations in the Presence of Security Concerns," Manufacturing & Service Operations Management, INFORMS, vol. 25(3), pages 1117-1135, May.
    121. Kim, Daehan & Ryu, Doojin & Webb, Robert I., 2023. "Determination of equilibrium transaction fees in the Bitcoin network: A rank-order contest," International Review of Financial Analysis, Elsevier, vol. 86(C).
    122. Raphael Auer & Stijn Claessens, 2018. "Regulating cryptocurrencies: assessing market reactions," BIS Quarterly Review, Bank for International Settlements, September.
    123. Carlos Viñuela & Juan Sapena & Gonzalo Wandosell, 2020. "The Future of Money and the Central Bank Digital Currency Dilemma," Sustainability, MDPI, vol. 12(22), pages 1-22, November.
    124. Raffaella Barone & Donato Masciandaro, 2019. "Cryptocurrency or usury? Crime and alternative money laundering techniques," European Journal of Law and Economics, Springer, vol. 47(2), pages 233-254, April.
    125. Garud Iyengar & Fahad Saleh & Jay Sethuraman & Wenjun Wang, 2024. "Blockchain Adoption in a Supply Chain with Manufacturer Market Power," Management Science, INFORMS, vol. 70(9), pages 6158-6178, September.
    126. Muhammad Nazam & Muhammad Hashim & Florian Marcel Nută & Liming Yao & Muhammad Azam Zia & Muhammad Yousaf Malik & Muhammad Usman & Levente Dimen, 2022. "Devising a Mechanism for Analyzing the Barriers of Blockchain Adoption in the Textile Supply Chain: A Sustainable Business Perspective," Sustainability, MDPI, vol. 14(23), pages 1-31, December.
    127. Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
    128. Juan Jesús Rico-Peña & Raquel Arguedas-Sanz & Carmen López-Martín, 2025. "Transactions Market in Bitcoin: Empirical Analysis of the Demand and Supply Block Space Curves," Computational Economics, Springer;Society for Computational Economics, vol. 66(4), pages 3327-3357, October.
    129. Balvers, Ronald J. & McDonald, Bill, 2021. "Designing a global digital currency," Journal of International Money and Finance, Elsevier, vol. 111(C).
    130. Akaki Mamageishvili & Edward W. Felten, 2022. "Efficient Rollup Batch Posting Strategy on Base Layer," Papers 2212.10337, arXiv.org, revised Feb 2023.
    131. Itay Goldstein & Deeksha Gupta & Ruslan Sverchkov, 2024. "Utility Tokens as a Commitment to Competition," Journal of Finance, American Finance Association, vol. 79(6), pages 4197-4246, December.
    132. Paolo Guasoni & Gur Huberman & Clara Shikhelman, 2024. "Lightning Network Economics: Channels," Management Science, INFORMS, vol. 70(6), pages 3827-3840, June.
    133. Nadler, Philip & Guo, Yike, 2020. "The fair value of a token: How do markets price cryptocurrencies?," Research in International Business and Finance, Elsevier, vol. 52(C).
    134. Civelli, Andrea & Jackson, Laura E., 2025. "Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
    135. Agostino Capponi & Ruizhe Jia & Ye Wang, 2022. "The Evolution of Blockchain: from Lit to Dark," Papers 2202.05779, arXiv.org.
    136. Daehan Kim & Doojin Ryu & Robert I. Webb, 2024. "Does a higher hashrate strengthen Bitcoin network security?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-15, December.
    137. Benigno, Pierpaolo & Schilling, Linda M. & Uhlig, Harald, 2022. "Cryptocurrencies, currency competition, and the impossible trinity," Journal of International Economics, Elsevier, vol. 136(C).
    138. Soumya Basu & David Easley & Maureen O’Hara & Emin Gün Sirer, 2023. "StableFees: A Predictable Fee Market for Cryptocurrencies," Management Science, INFORMS, vol. 69(11), pages 6508-6524, November.
    139. Anil Savio Kavuri & Alistair Milne, 2019. "Fintech and the Future of Financial Services: What Are the Research Gaps?," CAMA Working Papers 2019-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    140. Svetlana V. Krivoruchko, 2018. "Cryptocurrencies and Approaches to Their Regulation," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 120-129, October.
    141. Andreas Freund & Danielle Stanko, 2018. "The Wolf and the Caribou: Coexistence of Decentralized Economies and Competitive Markets," JRFM, MDPI, vol. 11(2), pages 1-38, May.
    142. Baumgartner, Tim & Güttler, André, 2022. "Bitcoin flash crash on May 19, 2021: What did really happen on Binance?," IWH Discussion Papers 25/2022, Halle Institute for Economic Research (IWH).

  7. Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2015. "Hidden Illiquidity with Multiple Central Counterparties," Working Papers 15-07, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Erio Castagnoli & Giacomo Cattelan & Fabio Maccheroni & Claudio Tebaldi & Ruodu Wang, 2022. "Star-Shaped Risk Measures," Operations Research, INFORMS, vol. 70(5), pages 2637-2654, September.
      • Erio Castagnoli & Giacomo Cattelan & Fabio Maccheroni & Claudio Tebaldi & Ruodu Wang, 2021. "Star-shaped Risk Measures," Papers 2103.15790, arXiv.org, revised Apr 2022.
    2. Rama Cont & Darrell Duffie & Paul Glasserman & Chris Rogers & Fernando Vega-Redondo, 2016. "Preface to the Special Issue on Systemic Risk: Models and Mechanisms," Operations Research, INFORMS, vol. 64(5), pages 1053-1055, October.
    3. Gabrielle Demange & Thibaut Piquard, 2021. "On the market structure of central counterparties in the EU," Working Papers halshs-03107812, HAL.
    4. Andrea Aguiar & Richard Bookstaber & Dror Y. Kenett & Thomas Wipf, 2016. "A Map of Collateral Uses and Flows," Working Papers 16-06, Office of Financial Research, US Department of the Treasury.
    5. Albert J Menkveld, 2017. "Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(2), pages 209-242.
    6. Office of Financial Research (ed.), . "New Public Disclosures Shed Light on Central Counterparties," Viewpoint Papers, Office of Financial Research, US Department of the Treasury, number 17-02, May.
    7. Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
    8. Krahnen, Jan Pieter & Pelizzon, Loriana, 2016. ""Predatory" margins and the regulation and supervision of central counterparty clearing houses (CCPs)," SAFE White Paper Series 41, Leibniz Institute for Financial Research SAFE.
    9. Marco D’Errico & Tarik Roukny, 2021. "Compressing Over-the-Counter Markets," Operations Research, INFORMS, vol. 69(6), pages 1660-1679, November.
    10. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
    11. Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
    12. Mark Paddrik & Simpson Zhang, 2020. "Central Counterparty Default Waterfalls and Systemic Loss," Working Papers 20-04, Office of Financial Research, US Department of the Treasury.
    13. Amini, Hamed & Feinstein, Zachary, 2023. "Optimal network compression," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1439-1455.
    14. Injun Hwang & Baeho Kim, 2022. "A systemic change of measure from central clearing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1738-1754, September.
    15. Hamed Amini & Zachary Feinstein, 2020. "Optimal Network Compression," Papers 2008.08733, arXiv.org, revised Jul 2022.
    16. Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
    17. Luitgard Anna Maria Veraart & Yuliang Zhang, 2026. "Post-trade Netting and Contagion," Operations Research, INFORMS, vol. 74(2), pages 667-681, March.
    18. Wenqian Huang & Albert J. Menkveld & Shihao Yu, 2021. "Central Counterparty Exposure in Stressed Markets," Management Science, INFORMS, vol. 67(6), pages 3596-3617, June.
    19. John Heilbron & Nick Schwartz, 2026. "Central Counterparty Management of Liquid and Prefunded Resources," Working Papers 26-04, Office of Financial Research, US Department of the Treasury.
    20. Gabrielle Demange & Thibaut Piquard, 2022. "On the Choice of Central Counterparties in the EU," Working papers 868, Banque de France.
    21. Inaki Aldasoro & Luitgard A M Veraart, 2022. "Systemic Risk in Markets with Multiple Central Counterparties," BIS Working Papers 1052, Bank for International Settlements.
    22. Samim Ghamami & Paul Glasserman, 2016. "Does OTC Derivatives Reform Incentivize Central Clearing?," Working Papers 16-07, Office of Financial Research, US Department of the Treasury.
    23. Ghamami, Samim & Glasserman, Paul, 2017. "Does OTC derivatives reform incentivize central clearing?," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 76-87.
    24. Radoslav Raykov, 2019. "Systemic Risk and Collateral Adequacy," Staff Working Papers 19-23, Bank of Canada.

Articles

  1. Costis Maglaras & Ciamac C. Moallemi & Muye Wang, 2022. "A deep learning approach to estimating fill probabilities in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 1989-2003, November.

    Cited by:

    1. Zhenglong Li & Vincent Tam & Kwan L. Yeung, 2024. "Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management," Papers 2402.00515, arXiv.org, revised Sep 2024.
    2. Xianfeng Jiao & Zizhong Li & Chang Xu & Yang Liu & Weiqing Liu & Jiang Bian, 2023. "Microstructure-Empowered Stock Factor Extraction and Utilization," Papers 2308.08135, arXiv.org.
    3. Luca Lalor & Anatoliy Swishchuk, 2024. "Market Simulation under Adverse Selection," Papers 2409.12721, arXiv.org, revised Jun 2026.
    4. Felix Lokin & Fenghui Yu, 2024. "Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows," Papers 2403.02572, arXiv.org, revised Feb 2026.

  2. Ciamac C. Moallemi & Muye Wang, 2022. "A reinforcement learning approach to optimal execution," Quantitative Finance, Taylor & Francis Journals, vol. 22(6), pages 1051-1069, June.

    Cited by:

    1. Thomas P. McAuliffe & Samuel Liew & Yuchao Li & Andrey Ushenin & Chihang Wang & Alexandros Tasos & Jack Pearce & Dimitris Tasoulis & Dimitri P. Bertsekas & Theodoros Tsagaris, 2026. "Model Predictive Control For Trade Execution," Papers 2603.28898, arXiv.org.
    2. Christos Spyridon Koulouris & Carlo Campajola, 2026. "Memory-Induced Supra-Competitive Outcomes Between Deep Reinforcement Learning Agents in Optimal Trade Execution," Papers 2605.20348, arXiv.org.
    3. Xianfeng Jiao & Zizhong Li & Chang Xu & Yang Liu & Weiqing Liu & Jiang Bian, 2023. "Microstructure-Empowered Stock Factor Extraction and Utilization," Papers 2308.08135, arXiv.org.
    4. Boyu Wang & Xuefeng Gao & Lingfei Li, 2026. "Reinforcement learning for continuous-time optimal execution: actor–critic algorithm and error analysis," Finance and Stochastics, Springer, vol. 30(2), pages 597-655, April.
    5. Zhiyuan Yao & Zheng Li & Matthew Thomas & Ionut Florescu, 2024. "Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior," Papers 2403.19781, arXiv.org.
    6. Patrick Cheridito & Jean-Loup Dupret & Zhexin Wu, 2025. "ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Optimal Execution with Endogenous Liquidity," Papers 2511.02016, arXiv.org, revised Aug 2026.
    7. Valentin Mohl & Sascha Frey & Reuben Leyland & Kang Li & George Nigmatulin & Mihai Cucuringu & Stefan Zohren & Jakob Foerster & Anisoara Calinescu, 2025. "JaxMARL-HFT: GPU-Accelerated Large-Scale Multi-Agent Reinforcement Learning for High-Frequency Trading," Papers 2511.02136, arXiv.org.

  3. Seungki Min & Costis Maglaras & Ciamac C. Moallemi, 2022. "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution," Operations Research, INFORMS, vol. 70(2), pages 830-846, March.
    See citations under working paper version above.
  4. Costis Maglaras & Ciamac C. Moallemi & Hua Zheng, 2021. "Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets," Operations Research, INFORMS, vol. 69(4), pages 1324-1348, July.

    Cited by:

    1. Lin, Yiping & Swan, Peter L. & Harris, Frederick H.de B., 2025. "Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence," Journal of Banking & Finance, Elsevier, vol. 170(C).
    2. Johannes Muhle-Karbe & Eyal Neuman & Yonatan Shadmi, 2024. "Fluid-Limits of Fragmented Limit-Order Markets," Papers 2407.04354, arXiv.org.

  5. Gur Huberman & Jacob D Leshno & Ciamac Moallemi, 2021. "Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3011-3040.
    See citations under working paper version above.
  6. Nikhil Bhat & Vivek F. Farias & Ciamac C. Moallemi & Deeksha Sinha, 2020. "Near-Optimal A-B Testing," Management Science, INFORMS, vol. 66(10), pages 4477-4495, October.

    Cited by:

    1. David B. Brown & Jingwei Zhang, 2022. "Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality," Operations Research, INFORMS, vol. 70(5), pages 3015-3033, September.
    2. Jinglong Zhao & Zijie Zhou, 2022. "Pigeonhole Design: Balancing Sequential Experiments from an Online Matching Perspective," Papers 2201.12936, arXiv.org, revised May 2024.
    3. Ron Berman & Christophe Van den Bulte, 2022. "False Discovery in A/B Testing," Management Science, INFORMS, vol. 68(9), pages 6762-6782, September.
    4. Sebastian Jobjörnsson & Henning Schaak & Oliver Musshoff & Tim Friede, 2023. "Improving the statistical power of economic experiments using adaptive designs," Experimental Economics, Springer;Economic Science Association, vol. 26(2), pages 357-382, April.
    5. Qiong Zhang & Amin Khademi & Yongjia Song, 2022. "Min-Max Optimal Design of Two-Armed Trials with Side Information," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 165-182, January.
    6. Yuhang Wu & Zeyu Zheng & Guangyu Zhang & Zuohua Zhang & Chu Wang, 2025. "Nonstationary A/B Tests: Optimal Variance Reduction, Bias Correction, and Valid Inference," Management Science, INFORMS, vol. 71(6), pages 4707-4727, June.
    7. David Simchi-Levi & Chonghuan Wang, 2025. "Multi-armed Bandit Experimental Design: Online Decision-Making and Adaptive Inference," Management Science, INFORMS, vol. 71(6), pages 4828-4846, June.
    8. Jinglong Zhao, 2024. "Experimental Design For Causal Inference Through An Optimization Lens," Papers 2408.09607, arXiv.org, revised Aug 2024.

  7. Sağlam, Mehmet & Moallemi, Ciamac C. & Sotiropoulos, Michael G., 2019. "Short-term trading skill: An analysis of investor heterogeneity and execution quality," Journal of Financial Markets, Elsevier, vol. 42(C), pages 1-28.

    Cited by:

    1. Robert Battalio & Brian Hatch & Mehmet Sağlam, 2024. "The Cost of Exposing Large Institutional Orders to Electronic Liquidity Providers," Management Science, INFORMS, vol. 70(6), pages 3597-3618, June.
    2. Zhu, Minchen & Lv, Dayong & Wu, Wenfeng, 2022. "Market stabilization fund and stock price crash risk: Evidence from the post-crash period," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    3. Bogousslavsky, Vincent & Collin-Dufresne, Pierre & Sağlam, Mehmet, 2021. "Slow-moving capital and execution costs: Evidence from a major trading glitch," Journal of Financial Economics, Elsevier, vol. 139(3), pages 922-949.
    4. Neumeier, Christian & Gozluklu, Arie & Hoffmann, Peter & O’Neill, Peter & Suntheim, Felix, 2023. "Banning dark pools: Venue selection and investor trading costs," Journal of Financial Markets, Elsevier, vol. 65(C).
    5. Eaton, Gregory W. & Irvine, Paul J. & Liu, Tingting, 2021. "Measuring institutional trading costs and the implications for finance research: The case of tick size reductions," Journal of Financial Economics, Elsevier, vol. 139(3), pages 832-851.
    6. Lien, Donald & Hung, Pi-Hsia & Chen, Hung-Ju, 2021. "Who knows more and makes more? A perspective of order submission decisions across investor types," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 381-398.
    7. Eraslan, Veysel & Omole, John & Sensoy, Ahmet & Ozdamar, Melisa, 2022. "Other people's money: A comparison of institutional investors," Emerging Markets Review, Elsevier, vol. 53(C).
    8. Saæglam, Mehmet & Tuzun, Tugkan & Wermers, Russ, 2021. "Do ETFs increase liquidity?," CFR Working Papers 21-03, University of Cologne, Centre for Financial Research (CFR).
    9. Brad Bachu & Xin Wan & Ciamac C. Moallemi, 2024. "Quantifying Price Improvement in Order Flow Auctions," Papers 2405.00537, arXiv.org, revised May 2024.

  8. Gur Huberman & Jacob D. Leshno & Ciamac Moallemi, 2019. "An Economist's Perspective on the Bitcoin Payment System," AEA Papers and Proceedings, American Economic Association, vol. 109, pages 93-96, May.

    Cited by:

    1. Jiang, Shangrong & Li, Yuze & Wang, Shouyang & Zhao, Lin, 2022. "Blockchain competition: The tradeoff between platform stability and efficiency," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1084-1097.
    2. Emiliano S Pagnotta, 2022. "Decentralizing Money: Bitcoin Prices and Blockchain Security," The Review of Financial Studies, Society for Financial Studies, vol. 35(2), pages 866-907.
    3. Chen, Yan & Bellavitis, Cristiano, 2020. "Blockchain disruption and decentralized finance: The rise of decentralized business models," Journal of Business Venturing Insights, Elsevier, vol. 13(C).
    4. Joseph Abadi & Markus Brunnermeier, 2019. "Blockchain Economics," Working Papers 2019-12, Princeton University. Economics Department..
    5. Prateek Saxena, 2020. "Comments on “Cellular Structure for a Digital Fiat Currency” — Cellular DFC Design: Technological Perspectives," World Scientific Book Chapters, in: Bernard Yeung (ed.), DIGITAL CURRENCY ECONOMICS AND POLICY, chapter 11, pages 103-109, World Scientific Publishing Co. Pte. Ltd..

  9. Moallemi, Ciamac C. & Sağlam, Mehmet, 2017. "Dynamic Portfolio Choice with Linear Rebalancing Rules," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(3), pages 1247-1278, June.

    Cited by:

    1. Takano, Yuichi & Gotoh, Jun-ya, 2023. "Dynamic portfolio selection with linear control policies for coherent risk minimization," Operations Research Perspectives, Elsevier, vol. 10(C).
    2. Alain Bensoussan & Guiyuan Ma & Chi Chung Siu & Sheung Chi Phillip Yam, 2022. "Dynamic mean–variance problem with frictions," Finance and Stochastics, Springer, vol. 26(2), pages 267-300, April.
    3. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
    4. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2020. "Optimal investment and consumption with return predictability and execution costs," Economic Modelling, Elsevier, vol. 88(C), pages 408-419.
    5. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2022. "Portfolio choice with return predictability and small trading frictions," Economic Modelling, Elsevier, vol. 111(C).
    6. Panos Xidonas & Mike Tsionas & Constantin Zopounidis, 2020. "On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH," Annals of Operations Research, Springer, vol. 284(1), pages 469-482, January.
    7. Arasteh, Abdollah, 2025. "A data-driven prediction method for multi-period portfolio optimization using the real options approach," Finance Research Letters, Elsevier, vol. 80(C).
    8. Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
    9. Yao, Haixiang & Huang, Jinbo & Li, Yong & Humphrey, Jacquelyn E., 2021. "A general approach to smooth and convex portfolio optimization using lower partial moments," Journal of Banking & Finance, Elsevier, vol. 129(C).
    10. Mei, Xiaoling & Nogales, Francisco J., 2018. "Portfolio selection with proportional transaction costs and predictability," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 131-151.
    11. Yoshiyuki Shimai & Naoki Makimoto, 2023. "Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 817-844, December.
    12. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2019. "Dynamic portfolio choice with return predictability and transaction costs," European Journal of Operational Research, Elsevier, vol. 278(3), pages 976-988.
    13. Yao, Haixiang & Li, Danping & Wu, Huiling, 2022. "Dynamic trading with uncertain exit time and transaction costs in a general Markov market," International Review of Financial Analysis, Elsevier, vol. 84(C).

  10. Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2016. "Hidden Illiquidity with Multiple Central Counterparties," Operations Research, INFORMS, vol. 64(5), pages 1143-1158, October.
    See citations under working paper version above.
  11. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.

    Cited by:

    1. Domagoj Demeterfi & Kathrin Glau & Linus Wunderlich, 2025. "Function approximations for counterparty credit exposure calculations," Papers 2507.09004, arXiv.org.
    2. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
    3. Patrick Cheridito & John Ery & Mario V. Wuthrich, 2021. "Assessing asset-liability risk with neural networks," Papers 2105.12432, arXiv.org.
    4. Stéphane Crépey & Noufel Frikha & Azar Louzi, 2025. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04037328, HAL.
    5. Nifei Lin & Yingda Song & L. Jeff Hong, 2024. "Efficient Nested Estimation of CoVaR: A Decoupled Approach," Papers 2411.01319, arXiv.org.
    6. Engler, Nils & Lindskog, Filip, 2025. "Approximations of multi-period liability values by simple formulas," Insurance: Mathematics and Economics, Elsevier, vol. 123(C).
    7. Kun Zhang & Guangwu Liu & Shiyu Wang, 2022. "Technical Note—Bootstrap-based Budget Allocation for Nested Simulation," Operations Research, INFORMS, vol. 70(2), pages 1128-1142, March.
    8. Bourgey Florian & De Marco Stefano & Gobet Emmanuel & Zhou Alexandre, 2020. "Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations," Monte Carlo Methods and Applications, De Gruyter, vol. 26(2), pages 131-161, June.
    9. Lucio Fernandez-Arjona & Damir Filipovi'c, 2020. "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Papers 2004.14149, arXiv.org, revised May 2022.
    10. F Bourgey & S de Marco & Emmanuel Gobet & Alexandre Zhou, 2020. "Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations," Post-Print hal-02430430, HAL.
    11. Jan Natolski & Ralf Werner, 2017. "Mathematical Analysis of Replication by Cash Flow Matching," Risks, MDPI, vol. 5(1), pages 1-15, February.
    12. Kun Zhang & Ben Mingbin Feng & Guangwu Liu & Shiyu Wang, 2022. "Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement," Papers 2203.15929, arXiv.org.
    13. Enyi, Patrick Enyi & Adebawojo, Oladipupo Akindehinde & Ahannaya, Gandolph Chinedu & Alu, Chituru & Eze, Ogbonnaya Nweze, 2026. "Reassessing Risk Integration in Investment Appraisal: A Comparative Evaluation of Traditional and Simplified Analytical Models," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 10(2), pages 7873-7887, February.
    14. Wenjia Wang & Yanyuan Wang & Xiaowei Zhang, 2024. "Smooth Nested Simulation: Bridging Cubic and Square Root Convergence Rates in High Dimensions," Management Science, INFORMS, vol. 70(12), pages 9031-9057, December.
    15. Patrick Cheridito & John Ery & Mario V. Wüthrich, 2020. "Assessing Asset-Liability Risk with Neural Networks," Risks, MDPI, vol. 8(1), pages 1-17, February.
    16. Guangxin Jiang & L. Jeff Hong & Barry L. Nelson, 2020. "Online Risk Monitoring Using Offline Simulation," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 356-375, April.
    17. Mike K. P. So & Lupe S. H. Chan & Amanda M. Y. Chu, 2021. "Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 649-665, December.
    18. Aurélien Alfonsi & Bernard Lapeyre & Jérôme Lelong, 2023. "How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo?," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-25, September.
    19. Mark Broadie & Weiwei Shen, 2017. "Numerical solutions to dynamic portfolio problems with upper bounds," Computational Management Science, Springer, vol. 14(2), pages 215-227, April.
    20. Fabozzi, Frank J. & Recchioni, Maria Cristina & Renò, Roberto, 2025. "Fifty years at the interface between financial modeling and operations research," European Journal of Operational Research, Elsevier, vol. 327(1), pages 1-21.
    21. Guo Liang & Kun Zhang & Jun Luo, 2024. "A FAST Method for Nested Estimation," INFORMS Journal on Computing, INFORMS, vol. 36(6), pages 1481-1500, December.
    22. Liu, Xiaoyu & Yan, Xing & Zhang, Kun, 2024. "Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1168-1177.
    23. Giuseppe Benedetti, 2017. "On The Calculation Of Risk Measures Using Least-Squares Monte Carlo," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-14, May.
    24. Wang, Tianxiang & Xu, Jie & Hu, Jian-Qiang & Chen, Chun-Hung, 2023. "Efficient estimation of a risk measure requiring two-stage simulation optimization," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1355-1365.
    25. Helin Zhu & Tianyi Liu & Enlu Zhou, 2015. "Risk Quantification in Stochastic Simulation under Input Uncertainty," Papers 1507.06015, arXiv.org, revised Dec 2017.
    26. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    27. Lotfi Boudabsa & Damir Filipović, 2022. "Machine learning with kernels for portfolio valuation and risk management," Finance and Stochastics, Springer, vol. 26(2), pages 131-172, April.
    28. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
    29. David J. Eckman & Shane G. Henderson & Sara Shashaani, 2023. "Diagnostic Tools for Evaluating and Comparing Simulation-Optimization Algorithms," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 350-367, March.
    30. St'ephane Cr'epey & Noufel Frikha & Azar Louzi, 2023. "A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation," Papers 2304.01207, arXiv.org, revised Apr 2026.
    31. Qidong Lai & Guangwu Liu & Bingfeng Zhang & Kun Zhang, 2025. "Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels," INFORMS Journal on Computing, INFORMS, vol. 37(4), pages 1087-1105, July.
    32. Aur'elien Alfonsi & Bernard Lapeyre & J'er^ome Lelong, 2022. "How many inner simulations to compute conditional expectations with least-square Monte Carlo?," Papers 2209.04153, arXiv.org, revised May 2023.
    33. Lucio Fernandez‐Arjona & Damir Filipović, 2022. "A machine learning approach to portfolio pricing and risk management for high‐dimensional problems," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 982-1019, October.
    34. Lotfi Boudabsa & Damir Filipovi'c, 2022. "Ensemble learning for portfolio valuation and risk management," Papers 2204.05926, arXiv.org.
    35. Mingbin Ben Feng & Eunhye Song, 2020. "Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method," Papers 2008.13087, arXiv.org, revised May 2024.
    36. Wen Shi & Xi Chen, 2018. "Efficient budget allocation strategies for elementary effects method in stochastic simulation," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(3), pages 218-241, April.
    37. Dang, Ou & Feng, Mingbin & Hardy, Mary R., 2023. "Two-stage nested simulation of tail risk measurement: A likelihood ratio approach," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 1-24.
    38. L. Jeff Hong & Sandeep Juneja & Guangwu Liu, 2017. "Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement," Operations Research, INFORMS, vol. 65(3), pages 657-673, June.
    39. Hampus Engsner, 2021. "Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions," Papers 2101.10947, arXiv.org, revised Apr 2021.
    40. Aurélien Alfonsi & Bernard Lapeyre & Jérôme Lelong, 2023. "How many inner simulations to compute conditional expectations with least-square Monte Carlo?," Post-Print hal-03770051, HAL.
    41. David Barrera & Stéphane Crépey & Babacar Diallo & Gersende Fort & Emmanuel Gobet & Uladzislau Stazhynski, 2019. "Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations," Post-Print hal-01710394, HAL.
    42. Emanuele Borgonovo & Alessio Figalli & Elmar Plischke & Giuseppe Savaré, 2025. "Global Sensitivity Analysis via Optimal Transport," Management Science, INFORMS, vol. 71(5), pages 3809-3828, May.
    43. Marc Sabate Vidales & David Siska & Lukasz Szpruch, 2018. "Unbiased deep solvers for linear parametric PDEs," Papers 1810.05094, arXiv.org, revised Jan 2022.
    44. Mathieu Cambou & Damir Filipović, 2018. "Replicating portfolio approach to capital calculation," Finance and Stochastics, Springer, vol. 22(1), pages 181-203, January.
    45. Runhuan Feng & Peng Li, 2021. "Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations," Papers 2106.06028, arXiv.org.
    46. Hongjun Ha & Daniel Bauer, 2022. "A least-squares Monte Carlo approach to the estimation of enterprise risk," Finance and Stochastics, Springer, vol. 26(3), pages 417-459, July.
    47. Xin Yun & Yanyi Ye & Hao Liu & Yi Li & Kin-Keung Lai, 2023. "Stylized Model of Lévy Process in Risk Estimation," Mathematics, MDPI, vol. 11(6), pages 1-14, March.
    48. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
    49. Du-Yi Wang & Guo Liang & Kun Zhang & Qianwen Zhu, 2026. "Reliable Real-Time Value at Risk Estimation via Quantile Regression Forest with Conformal Calibration," Papers 2602.01912, arXiv.org.
    50. Ben Mingbin Feng & Eunhye Song, 2025. "Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method," INFORMS Journal on Computing, INFORMS, vol. 37(3), pages 723-742, May.
    51. Stéphane Crépey & Noufel Frikha & Azar Louzi, 2025. "A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation," Finance and Stochastics, Springer, vol. 29(4), pages 1015-1074, October.
    52. Fort Gersende & Gobet Emmanuel & Moulines Eric, 2017. "MCMC design-based non-parametric regression for rare event. Application to nested risk computations," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 21-42, March.

  12. Krishnamurthy Iyer & Ramesh Johari & Ciamac C. Moallemi, 2014. "Information Aggregation and Allocative Efficiency in Smooth Markets," Management Science, INFORMS, vol. 60(10), pages 2509-2524, October.

    Cited by:

    1. Dian Yu & Jianjun Gao & Weiping Wu & Zizhuo Wang, 2022. "Price Interpretability of Prediction Markets: A Convergence Analysis," Papers 2205.08913, arXiv.org, revised Nov 2023.
    2. Heraud, Florian & Page, Lionel, 2024. "Does the left-digit bias affect prices in financial markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 218(C), pages 20-29.
    3. Karimi, Majid & Zaerpour, Nima, 2022. "Put your money where your forecast is: Supply chain collaborative forecasting with cost-function-based prediction markets," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1035-1049.
    4. Jianjun Gao & Zizhuo Wang & Weiping Wu & Dian Yu, 2025. "Price Interpretability of Prediction Markets: A Convergence Analysis," Operations Research, INFORMS, vol. 73(1), pages 157-177, January.
    5. Kimon Drakopoulos & Ali Makhdoumi, 2023. "Providing Data Samples for Free," Management Science, INFORMS, vol. 69(6), pages 3536-3560, June.
    6. Lian Jian & Rahul Sami, 2012. "Aggregation and Manipulation in Prediction Markets: Effects of Trading Mechanism and Information Distribution," Management Science, INFORMS, vol. 58(1), pages 123-140, January.
    7. Mintz, Yonatan & Aswani, Anil & Kaminsky, Philip & Flowers, Elena & Fukuoka, Yoshimi, 2023. "Behavioral analytics for myopic agents," European Journal of Operational Research, Elsevier, vol. 310(2), pages 793-811.
    8. Rajiv Sethi & Jennifer Wortman Vaughan, 2016. "Belief Aggregation with Automated Market Makers," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 155-178, June.

  13. Ciamac C. Moallemi & Mehmet Sağlam, 2013. "OR Forum---The Cost of Latency in High-Frequency Trading," Operations Research, INFORMS, vol. 61(5), pages 1070-1086, October.

    Cited by:

    1. 'Alvaro Cartea & Sebastian Jaimungal & Leandro S'anchez-Betancourt, 2019. "Latency and Liquidity Risk," Papers 1908.03281, arXiv.org.
    2. Alexandru-Ioan Stan, 2018. "Computational speed and high-frequency trading profitability: an ecological perspective," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 381-395, August.
    3. Yinhong Dong & Donglei Du & Qiaoming Han & Jianfeng Ren & Dachuan Xu, 2024. "A Stackelberg order execution game," Annals of Operations Research, Springer, vol. 336(1), pages 571-604, May.
    4. Radha Mookerjee & Subodha Kumar & Vijay S. Mookerjee, 2017. "Optimizing Performance-Based Internet Advertisement Campaigns," Operations Research, INFORMS, vol. 65(1), pages 38-54, February.
    5. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    6. Yann Bilodeau, 2020. "Deep limit order book events dynamics," Working Papers 20-4, HEC Montreal, Canada Research Chair in Risk Management.
    7. Daniel Fricke & Austin Gerig, 2018. "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 519-532, April.

  14. Chen Chen & Garud Iyengar & Ciamac C. Moallemi, 2013. "An Axiomatic Approach to Systemic Risk," Management Science, INFORMS, vol. 59(6), pages 1373-1388, June.

    Cited by:

    1. Yichen Feng & Ming Min & Jean-Pierre Fouque, 2022. "Deep Learning for Systemic Risk Measures," Papers 2207.00739, arXiv.org.
    2. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2015. "A Unified Approach to Systemic Risk Measures via Acceptance Sets," Papers 1503.06354, arXiv.org, revised Apr 2015.
    3. Yann Braouezec & Lakshithe Wagalath, 2018. "Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario [Testing macroprudential stress tests: the risk of regulatory risk weights]," Review of Finance, European Finance Association, vol. 22(2), pages 747-782.
    4. Christian Laudag'e, 2026. "Geometrically convex return risk measures on AM-algebras," Papers 2606.26031, arXiv.org, revised Sep 2026.
    5. Yongli Li & Guanghe Liu & Paolo Pin, 2018. "Network-based risk measurements for interbank systems," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-18, July.
    6. Erhan Bayraktar & Gaoyue Guo & Wenpin Tang & Yuming Paul Zhang, 2022. "Systemic robustness: a mean-field particle system approach," Papers 2212.08518, arXiv.org, revised Aug 2023.
    7. Timo Dimitriadis & Yannick Hoga, 2023. "Regressions under Adverse Conditions," Papers 2311.13327, arXiv.org, revised Feb 2025.
    8. Peter Csoka & P. Jean-Jacques Herings, 2017. "An Axiomatization of the Proportional Rule in Financial Networks," KRTK-KTI WORKING PAPERS 1701, Institute of Economics, Centre for Economic and Regional Studies.
    9. Hoffmann, Hannes & Meyer-Brandis, Thilo & Svindland, Gregor, 2016. "Risk-consistent conditional systemic risk measures," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2014-2037.
    10. Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2015. "Conditional risk measures in a bipartite market structure," Papers 1510.00616, arXiv.org.
    11. Benoit, Sylvain, 2024. "Smart systemic-risk scores," Journal of International Money and Finance, Elsevier, vol. 140(C).
    12. Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2018. "Financial asset bubbles in banking networks," Papers 1806.01728, arXiv.org.
    13. Sudhölter, Peter & Calleja, Pedro & Llerena, Francesc, 2021. "On manipulability in financial systems," Discussion Papers on Economics 8/2021, University of Southern Denmark, Department of Economics.
    14. Albizuri, M.J. & Díez, H. & Sarachu, A., 2014. "Monotonicity and the Aumann–Shapley cost-sharing method in the discrete case," European Journal of Operational Research, Elsevier, vol. 238(2), pages 560-565.
    15. Csóka, Péter & Herings, P. Jean-Jacques, 2021. "Uniqueness of Clearing Payment Matrices in Financial Networks," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
    16. Gupta, Aparna & Wang, Runzu & Lu, Yueliang, 2021. "Addressing systemic risk using contingent convertible debt – A network analysis," European Journal of Operational Research, Elsevier, vol. 290(1), pages 263-277.
    17. Majid Asadi & Jeffrey S. Racine & Ehsan S. Soof & Shaomin Wu, 2025. "Financial Risk Under Shortfall Level Uncertainty," Department of Economics Working Papers 2025-04, McMaster University.
    18. Wissam AlAli & c{C}au{g}{i}n Ararat, 2024. "Systemic values-at-risk and their sample-average approximations," Papers 2408.08511, arXiv.org.
    19. Li, Zhinan & Ren, Yaqi & Shen, Peilong & Zhang, Can, 2025. "Does textual risk information from individual banks exacerbate systemic risk? Evidence from the Chinese banking system," Economic Modelling, Elsevier, vol. 152(C).
    20. Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
    21. Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
    22. Giansante, Simone & Manfredi, Sabato & Markose, Sheri, 2023. "Fair immunization and network topology of complex financial ecosystems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
    23. Csoka, Péter & Herings, P. Jean-Jacques, 2016. "Decentralized Clearing in Financial Networks (RM/16/005-revised-)," Research Memorandum 037, Maastricht University, Graduate School of Business and Economics (GSBE).
    24. Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2020. "Suffocating Fire Sales," Papers 2006.08110, arXiv.org, revised Nov 2021.
    25. Huiting Duan & Jinghu Yu & Linxiao Wei, 2024. "Measurement and Forecasting of Systemic Risk: A Vine Copula Grouped-CoES Approach," Mathematics, MDPI, vol. 12(8), pages 1-18, April.
    26. Çağın Ararat & Nurtai Meimanjan, 2023. "Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach," Operations Research, INFORMS, vol. 71(6), pages 2130-2145, November.
    27. Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
    28. Alexander Shiroky & Andrey Kalashnikov, 2023. "Influence of the Internal Structure on the Integral Risk of a Complex System on the Example of the Risk Minimization Problem in a “Star” Type Structure," Mathematics, MDPI, vol. 11(4), pages 1-18, February.
    29. Matteo Burzoni & Marco Frittelli & Federico Zorzi, 2021. "Robust market-adjusted systemic risk measures," Papers 2103.02920, arXiv.org, revised Aug 2021.
    30. Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2020. "Market Efficient Portfolios in a Systemic Economy," Papers 2003.10121, arXiv.org, revised May 2021.
    31. Hamed Amini & Zhongyuan Cao & Agnes Sulem, 2021. "Limit Theorems for Default Contagion and Systemic Risk," Papers 2104.00248, arXiv.org.
    32. Ortega-Jiménez, Patricia & Pellerey, Franco & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2024. "Probability equivalent level for CoVaR and VaR," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 22-35.
    33. Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2022. "Market Efficient Portfolios in a Systemic Economy," Operations Research, INFORMS, vol. 70(2), pages 715-728, March.
    34. Yu-Sin Chang, 2018. "Systemic Risk and the Dependence Structures," Papers 1809.03425, arXiv.org.
    35. Calleja, Pedro & Llerena, Francesc, 2024. "Proportional clearing mechanisms in financial systems: An axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 111(C).
    36. Fei Sun & Jieming Zhou, 2018. "Systemic risk measures with markets volatility," Papers 1812.06185, arXiv.org, revised Feb 2026.
    37. Hans Buhl, 2013. "IT as Curse and Blessing," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 5(6), pages 377-381, December.
    38. Hougaard, Jens Leth & Smilgins, Aleksandrs, 2016. "Risk capital allocation with autonomous subunits: The Lorenz set," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 151-157.
    39. Li, Yawen & Xia, Yufei & Sun, Zongting & Sun, Naili, 2025. "Does digital transformation affect systemic risk? Evidence from the banking sector in China," International Review of Financial Analysis, Elsevier, vol. 102(C).
    40. Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    41. Oliver Kley & Claudia Klüppelberg & Gesine Reinert, 2016. "Risk in a Large Claims Insurance Market with Bipartite Graph Structure," Operations Research, INFORMS, vol. 64(5), pages 1159-1176, October.
    42. Yujing Yang & Wenzhe Tang & Wenxin Shen & Tengfei Wang, 2019. "Enhancing Risk Management by Partnering in International EPC Projects: Perspective from Evolutionary Game in Chinese Construction Companies," Sustainability, MDPI, vol. 11(19), pages 1-16, September.
    43. E. Kromer & L. Overbeck & K. Zilch, 2019. "Dynamic systemic risk measures for bounded discrete time processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(1), pages 77-108, August.
    44. Prékopa, András & Lee, Jinwook, 2018. "Risk tomography," European Journal of Operational Research, Elsevier, vol. 265(1), pages 149-168.
    45. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
    46. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    47. Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
    48. Markus K. Brunnermeier & Patrick Cheridito, 2019. "Measuring and Allocating Systemic Risk," Risks, MDPI, vol. 7(2), pages 1-19, April.
    49. Gregor Svindland & Alexander Vo{ss}, 2023. "Decision-Making Frameworks for Network Resilience -- Managing and Mitigating Systemic (Cyber) Risk," Papers 2312.13884, arXiv.org, revised Oct 2024.
    50. Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland, 2016. "Risk-Consistent Conditional Systemic Risk Measures," Papers 1609.07897, arXiv.org.
    51. Pedro Calleja & Francesc Llerena, 2023. "Proportional clearing mechanisms in financial systems: an axiomatic approach," UB School of Economics Working Papers 2023/442, University of Barcelona School of Economics.
    52. Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Feb 2022.
    53. Amini, Hamed & Feinstein, Zachary, 2023. "Optimal network compression," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1439-1455.
    54. Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
    55. Hamed Amini & Zhongyuan Cao & Agnès Sulem, 2024. "Limit Theorems for Default Contagion and Systemic Risk," Mathematics of Operations Research, INFORMS, vol. 49(4), pages 2652-2683, November.
    56. Minca Andreea & Sulem Agnès, 2014. "Optimal control of interbank contagion under complete information," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 23-48, March.
    57. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2020. "On fairness of systemic risk measures," Finance and Stochastics, Springer, vol. 24(2), pages 513-564, April.
    58. c{C}au{g}{i}n Ararat & Birgit Rudloff, 2016. "Dual representations for systemic risk measures," Papers 1607.03430, arXiv.org, revised Jul 2019.
    59. Timo Dimitriadis & Yannick Hoga, 2022. "Dynamic CoVaR Modeling and Estimation," Papers 2206.14275, arXiv.org, revised Jan 2025.
    60. Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
    61. Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org, revised May 2019.
    62. c{C}au{g}{i}n Ararat & Mucahit Aygun, 2021. "Dual representations for quasiconvex compositions with applications to systemic risk measures," Papers 2108.12910, arXiv.org, revised Nov 2025.
    63. Christian Kubitza, 2021. "Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk," ECONtribute Discussion Papers Series 079, University of Bonn and University of Cologne, Germany.
    64. Hamed Amini & Zachary Feinstein, 2020. "Optimal Network Compression," Papers 2008.08733, arXiv.org, revised Jul 2022.
    65. Xuanpeng Yin & Xuanhua Xu & Xiaohong Chen, 2020. "Risk mechanisms of large group emergency decision-making based on multi-agent simulation," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 103(1), pages 1009-1034, August.
    66. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2018. "On Fairness of Systemic Risk Measures," Papers 1803.09898, arXiv.org, revised Apr 2019.
    67. Peter Csoka & P. Jean-Jacques Herings, 2016. "Decentralized Clearing in Financial Networks," KRTK-KTI WORKING PAPERS 1603, Institute of Economics, Centre for Economic and Regional Studies.
    68. Çağin Ararat & Andreas H. Hamel & Birgit Rudloff, 2017. "Set-Valued Shortfall And Divergence Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-48, August.
    69. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    70. Takaaki Koike & Marius Hofert, 2020. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Risks, MDPI, vol. 8(1), pages 1-33, January.
    71. Tobias Fissler & Jana Hlavinová & Birgit Rudloff, 2021. "Elicitability and identifiability of set-valued measures of systemic risk," Finance and Stochastics, Springer, vol. 25(1), pages 133-165, January.
    72. Tathagata Banerjee & Zachary Feinstein, 2022. "Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments," Operations Research, INFORMS, vol. 70(4), pages 2085-2100, July.
    73. Lukas Gonon & Thilo Meyer-Brandis & Niklas Weber, 2024. "Computing Systemic Risk Measures with Graph Neural Networks," Papers 2410.07222, arXiv.org, revised Oct 2025.
    74. Yann Braouezec & Lakshithe Wagalath, 2016. "Risk-based capital requirements and optimal liquidation in a stress scenario," Working Papers 2016-ACF-01, IESEG School of Management.
    75. Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2023. "Capital requirements and claims recovery: A new perspective on solvency regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 329-380, June.
    76. Oliver Kley & Claudia Kluppelberg, 2015. "Bounds for randomly shared risk of heavy-tailed loss factors," Papers 1503.03726, arXiv.org, revised Apr 2016.
    77. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
    78. Jana Hlavinova & Birgit Rudloff & Alexander Smirnow, 2023. "Set-valued intrinsic measures of systemic risk," Papers 2311.14588, arXiv.org.
    79. c{C}au{g}{i}n Ararat & Nurtai Meimanjan, 2019. "Computation of systemic risk measures: a mixed-integer programming approach," Papers 1903.08367, arXiv.org, revised Aug 2023.
    80. Fei Sun & Yichuan Dong, 2020. "Complex risk statistics with scenario analysis," Papers 2003.09255, arXiv.org, revised Nov 2020.
    81. Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.
    82. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Risks, MDPI, vol. 1(3), pages 1-29, November.
    83. Maria Arduca & Pablo Koch-Medina & Cosimo Munari, 2019. "Dual representations for systemic risk measures based on acceptance sets," Papers 1906.10933, arXiv.org, revised Oct 2019.
    84. Glasserman, Paul & Young, H. Peyton, 2016. "Contagion in financial networks," LSE Research Online Documents on Economics 68681, London School of Economics and Political Science, LSE Library.
    85. Millossovich, Pietro & Tsanakas, Andreas & Wang, Ruodu, 2024. "A theory of multivariate stress testing," European Journal of Operational Research, Elsevier, vol. 318(3), pages 851-866.
    86. Yingdong Wang & Wenzhi Xi, 2025. "Measurement and Early Warning of Systemic Financial Risk in China: Markov Switching Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 5083-5111, December.
    87. Paul Glasserman & H. Peyton Young, 2015. "Contagion in Financial Networks," Working Papers 15-21, Office of Financial Research, US Department of the Treasury.
    88. Hannes Hoffmann & Thilo Meyer-Brandis & Gregor Svindland, 2016. "Strongly Consistent Multivariate Conditional Risk Measures," Papers 1609.07903, arXiv.org.
    89. Aigner, Philipp & Schlütter, Sebastian, 2023. "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series 47/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    90. Wei Wang & Huifu Xu & Tiejun Ma, 2020. "Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures," Papers 2006.15491, arXiv.org.
    91. Kanas, Angelos & Molyneux, Philip & Zervopoulos, Panagiotis D., 2023. "Systemic risk and CO2 emissions in the U.S," Journal of Financial Stability, Elsevier, vol. 64(C).
    92. Ludger Overbeck & Florian Schindler, 2021. "Scalar systemic risk measures and Aumann-Shapley allocations," Papers 2112.06534, arXiv.org, revised Jul 2022.
    93. Ariah Klages-Mundt & Andreea Minca, 2021. "Optimal Intervention in Economic Networks using Influence Maximization Methods," Papers 2102.01800, arXiv.org, revised Mar 2023.
    94. Nan Guo & Steven Kou & Bin Wang & Ruodu Wang, 2025. "A Theory of Credit Rating Criteria," Management Science, INFORMS, vol. 71(4), pages 3583-3599, April.
    95. Klages-Mundt, Ariah & Minca, Andreea, 2022. "Optimal intervention in economic networks using influence maximization methods," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1136-1148.
    96. E. Kromer & L. Overbeck & K. Zilch, 2016. "Systemic risk measures on general measurable spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 323-357, October.
    97. Csóka, Péter, 2017. "Az arányos csődszabály karakterizációja körbetartozások esetén [The characterization of the proportional rule in the case of circular liabilities]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 930-942.
    98. Feng Runhuan & Liang Zongxia & Song Yilun, 2025. "Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security," Papers 2502.13742, arXiv.org.
    99. Agostino Capponi & Marko Weber, 2024. "Systemic Portfolio Diversification," Operations Research, INFORMS, vol. 72(1), pages 110-131, January.

  15. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.

    Cited by:

    1. Bradley Sturt, 2023. "A Nonparametric Algorithm for Optimal Stopping Based on Robust Optimization," Operations Research, INFORMS, vol. 71(5), pages 1530-1557, September.
    2. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
    3. Kun Zhang & Guangwu Liu & Shiyu Wang, 2022. "Technical Note—Bootstrap-based Budget Allocation for Nested Simulation," Operations Research, INFORMS, vol. 70(2), pages 1128-1142, March.
    4. Sören Christensen, 2014. "A Method For Pricing American Options Using Semi-Infinite Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 156-172, January.
    5. Nils Löhndorf & David Wozabal, 2023. "The Value of Coordination in Multimarket Bidding of Grid Energy Storage," Operations Research, INFORMS, vol. 71(1), pages 1-22, January.
    6. Glanzer, Martin & Maier, Sebastian & Pflug, Georg Ch., 2025. "Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands," European Journal of Operational Research, Elsevier, vol. 327(1), pages 162-173.
    7. Denis Belomestny & Tobias Hübner & Volker Krätschmer, 2022. "Solving optimal stopping problems under model uncertainty via empirical dual optimisation," Finance and Stochastics, Springer, vol. 26(3), pages 461-503, July.
    8. Santiago R. Balseiro & David B. Brown, 2019. "Approximations to Stochastic Dynamic Programs via Information Relaxation Duality," Operations Research, INFORMS, vol. 67(2), pages 577-597, March.
    9. Christian Bayer & Luca Pelizzari & Jia-Jie Zhu, 2025. "Pricing American options under rough volatility using deep-signatures and signature-kernels," Papers 2501.06758, arXiv.org, revised Jun 2025.
    10. Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
    11. David B. Brown & Martin B. Haugh, 2017. "Information Relaxation Bounds for Infinite Horizon Markov Decision Processes," Operations Research, INFORMS, vol. 65(5), pages 1355-1379, October.
    12. Denis Belomestny & John Schoenmakers, 2021. "From optimal martingales to randomized dual optimal stopping," Papers 2102.01533, arXiv.org.
    13. Alessio Trivella & Danial Mohseni-Taheri & Selvaprabu Nadarajah, 2023. "Meeting Corporate Renewable Power Targets," Management Science, INFORMS, vol. 69(1), pages 491-512, January.
    14. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
    15. Denis Belomestny & Christian Bender & John Schoenmakers, 2023. "Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization," Mathematics of Operations Research, INFORMS, vol. 48(3), pages 1454-1480, August.
    16. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
    17. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016. "Early exercise decision in American options with dividends, stochastic volatility and jumps," Papers 1612.03031, arXiv.org.
    18. Jalaj Bhandari & Daniel Russo & Raghav Singal, 2021. "A Finite Time Analysis of Temporal Difference Learning with Linear Function Approximation," Operations Research, INFORMS, vol. 69(3), pages 950-973, May.
    19. Guang Cheng & Jingui Xie & Zhichao Zheng & Haidong Luo & Oon Cheong Ooi, 2025. "Extubation Decisions with Predictive Information for Mechanically Ventilated Patients in the ICU," Management Science, INFORMS, vol. 71(7), pages 6069-6091, July.
    20. Qihang Lin & Selvaprabu Nadarajah & Negar Soheili, 2020. "Revisiting Approximate Linear Programming: Constraint-Violation Learning with Applications to Inventory Control and Energy Storage," Management Science, INFORMS, vol. 66(4), pages 1544-1562, April.
    21. Qidong Lai & Guangwu Liu & Bingfeng Zhang & Kun Zhang, 2025. "Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels," INFORMS Journal on Computing, INFORMS, vol. 37(4), pages 1087-1105, July.
    22. Wei, Wei & Zhu, Dan, 2022. "Generic improvements to least squares monte carlo methods with applications to optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1132-1144.
    23. Kuang Xu, 2015. "Necessity of Future Information in Admission Control," Operations Research, INFORMS, vol. 63(5), pages 1213-1226, October.
    24. Helin Zhu & Fan Ye & Enlu Zhou, 2015. "Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1885-1900, November.
    25. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016. "Valuing American options using fast recursive projections," Working Papers unige:82087, University of Geneva, Geneva School of Economics and Management.
    26. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
    27. Bradley Sturt, 2021. "A nonparametric algorithm for optimal stopping based on robust optimization," Papers 2103.03300, arXiv.org, revised Mar 2023.
    28. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    29. Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org, revised Feb 2025.
    30. Bo Yang & Selvaprabu Nadarajah & Nicola Secomandi, 2024. "Least Squares Monte Carlo and Pathwise Optimization for Merchant Energy Production," Operations Research, INFORMS, vol. 72(6), pages 2758-2775, November.
    31. Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
    32. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    33. Aur'elien Alfonsi & Ahmed Kebaier & J'er^ome Lelong, 2026. "How can the dual martingale help solving the primal optimal stopping problem?," Papers 2602.09950, arXiv.org.
    34. Nan Li, 2026. "Pricing High-Dimensional Bermudan Options via Kernel-Based Dual Variance Minimization," Computational Economics, Springer;Society for Computational Economics, vol. 67(3), pages 1833-1847, March.
    35. Jérôme Lelong, 2018. "Dual pricing of American options by Wiener chaos expansion," Post-Print hal-01299819, HAL.
    36. Daniel R. Jiang & Lina Al-Kanj & Warren B. Powell, 2020. "Optimistic Monte Carlo Tree Search with Sampled Information Relaxation Dual Bounds," Operations Research, INFORMS, vol. 68(6), pages 1678-1697, November.
    37. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
    38. Joshi, Mark & Tang, Robert, 2014. "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 25-45.

  16. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Approximate Dynamic Programming via a Smoothed Linear Program," Operations Research, INFORMS, vol. 60(3), pages 655-674, June.

    Cited by:

    1. Andre P. Calmon & Florin D. Ciocan & Gonzalo Romero, 2021. "Revenue Management with Repeated Customer Interactions," Management Science, INFORMS, vol. 67(5), pages 2944-2963, May.
    2. Alejandro Toriello & William B. Haskell & Michael Poremba, 2014. "A Dynamic Traveling Salesman Problem with Stochastic Arc Costs," Operations Research, INFORMS, vol. 62(5), pages 1107-1125, October.
    3. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
    4. Selvaprabu Nadarajah & François Margot & Nicola Secomandi, 2015. "Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage," Management Science, INFORMS, vol. 61(12), pages 3054-3076, December.
    5. Stephanie Carew & Mahesh Nagarajan & Steven Shechter & Jugpal Arneja & Erik Skarsgard, 2021. "Dynamic Capacity Allocation for Elective Surgeries: Reducing Urgency-Weighted Wait Times," Manufacturing & Service Operations Management, INFORMS, vol. 23(2), pages 407-424, March.
    6. Ohno, Katsuhisa & Boh, Toshitaka & Nakade, Koichi & Tamura, Takayoshi, 2016. "New approximate dynamic programming algorithms for large-scale undiscounted Markov decision processes and their application to optimize a production and distribution system," European Journal of Operational Research, Elsevier, vol. 249(1), pages 22-31.
    7. Selvaprabu Nadarajah & Andre A. Cire, 2020. "Network-Based Approximate Linear Programming for Discrete Optimization," Operations Research, INFORMS, vol. 68(6), pages 1767-1786, November.

  17. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2011. "Efficient Risk Estimation via Nested Sequential Simulation," Management Science, INFORMS, vol. 57(6), pages 1172-1194, June.

    Cited by:

    1. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.
    2. Domagoj Demeterfi & Kathrin Glau & Linus Wunderlich, 2025. "Function approximations for counterparty credit exposure calculations," Papers 2507.09004, arXiv.org.
    3. Patrick Cheridito & John Ery & Mario V. Wuthrich, 2021. "Assessing asset-liability risk with neural networks," Papers 2105.12432, arXiv.org.
    4. Ivan Cherednik, 2019. "Artificial intelligence approach to momentum risk-taking," Papers 1911.08448, arXiv.org, revised Mar 2020.
    5. Devang Sinha & Siddhartha P. Chakrabarty, 2022. "Multilevel Monte Carlo and its Applications in Financial Engineering," Papers 2209.14549, arXiv.org.
    6. Fabian Dickmann & Nikolaus Schweizer, 2014. "Faster Comparison of Stopping Times by Nested Conditional Monte Carlo," Papers 1402.0243, arXiv.org.
    7. Kun Zhang & Guangwu Liu & Shiyu Wang, 2022. "Technical Note—Bootstrap-based Budget Allocation for Nested Simulation," Operations Research, INFORMS, vol. 70(2), pages 1128-1142, March.
    8. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2020. "Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests," Papers 2010.12651, arXiv.org, revised Apr 2021.
    9. Kun Zhang & Ben Mingbin Feng & Guangwu Liu & Shiyu Wang, 2022. "Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement," Papers 2203.15929, arXiv.org.
    10. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
    11. Michael B. Giles & Abdul-Lateef Haji-Ali & Jonathan Spence, 2023. "Efficient Risk Estimation for the Credit Valuation Adjustment," Papers 2301.05886, arXiv.org, revised Jul 2026.
    12. Wenjia Wang & Yanyuan Wang & Xiaowei Zhang, 2024. "Smooth Nested Simulation: Bridging Cubic and Square Root Convergence Rates in High Dimensions," Management Science, INFORMS, vol. 70(12), pages 9031-9057, December.
    13. Alexandre Boumezoued & Adel Cherchali & Vincent Lemaire & Gilles Pag`es & Mathieu Truc, 2025. "Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations," Papers 2510.18995, arXiv.org.
    14. Patrick Cheridito & John Ery & Mario V. Wüthrich, 2020. "Assessing Asset-Liability Risk with Neural Networks," Risks, MDPI, vol. 8(1), pages 1-17, February.
    15. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2020. "Computation of Expected Shortfall by fast detection of worst scenarios," Papers 2005.12593, arXiv.org.
    16. Guangxin Jiang & L. Jeff Hong & Barry L. Nelson, 2020. "Online Risk Monitoring Using Offline Simulation," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 356-375, April.
    17. Wen Shi & Xi Chen & Jennifer Shang, 2019. "An Efficient Morris Method-Based Framework for Simulation Factor Screening," INFORMS Journal on Computing, INFORMS, vol. 31(4), pages 745-770, October.
    18. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    19. Perla, Francesca & Scognamiglio, Salvatore & Spadaro, Andrea & Zanetti, Paolo, 2025. "Transformers-based least square Monte Carlo for solvency calculation in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 125(C).
    20. Alfonsi, Aurélien & Cherchali, Adel & Infante Acevedo, Jose Arturo, 2021. "Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 234-260.
    21. Bruno Bouchard & Adil Reghai & Benjamin Virrion, 2021. "Computation of Expected Shortfall by fast detection of worst scenarios," Post-Print hal-02619589, HAL.
    22. Sak, Halis & Başoğlu, İsmail, 2017. "Efficient randomized quasi-Monte Carlo methods for portfolio market risk," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 87-94.
    23. Liu, Xiaoyu & Yan, Xing & Zhang, Kun, 2024. "Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1168-1177.
    24. Michael B. Giles & Abdul-Lateef Haji-Ali, 2019. "Sub-sampling and other considerations for efficient risk estimation in large portfolios," Papers 1912.05484, arXiv.org, revised Apr 2022.
    25. Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.
    26. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
    27. Wang, Tianxiang & Xu, Jie & Hu, Jian-Qiang & Chen, Chun-Hung, 2023. "Efficient estimation of a risk measure requiring two-stage simulation optimization," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1355-1365.
    28. Qiyun Pan & Eunshin Byon & Young Myoung Ko & Henry Lam, 2020. "Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models," Naval Research Logistics (NRL), John Wiley & Sons, vol. 67(7), pages 524-547, October.
    29. Helin Zhu & Tianyi Liu & Enlu Zhou, 2015. "Risk Quantification in Stochastic Simulation under Input Uncertainty," Papers 1507.06015, arXiv.org, revised Dec 2017.
    30. Michael Ludkovski & James Risk, 2017. "Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement," Papers 1710.05204, arXiv.org, revised May 2018.
    31. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    32. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
    33. David J. Eckman & Shane G. Henderson & Sara Shashaani, 2023. "Diagnostic Tools for Evaluating and Comparing Simulation-Optimization Algorithms," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 350-367, March.
    34. Qidong Lai & Guangwu Liu & Bingfeng Zhang & Kun Zhang, 2025. "Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels," INFORMS Journal on Computing, INFORMS, vol. 37(4), pages 1087-1105, July.
    35. Mingbin Ben Feng & Eunhye Song, 2020. "Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method," Papers 2008.13087, arXiv.org, revised May 2024.
    36. Wen Shi & Xi Chen, 2018. "Efficient budget allocation strategies for elementary effects method in stochastic simulation," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(3), pages 218-241, April.
    37. Dang, Ou & Feng, Mingbin & Hardy, Mary R., 2023. "Two-stage nested simulation of tail risk measurement: A likelihood ratio approach," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 1-24.
    38. Junyao Chen & Tony Sit & Hoi Ying Wong, 2019. "Simulation-based Value-at-Risk for Nonlinear Portfolios," Papers 1904.09088, arXiv.org.
    39. L. Jeff Hong & Sandeep Juneja & Guangwu Liu, 2017. "Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement," Operations Research, INFORMS, vol. 65(3), pages 657-673, June.
    40. Yasa Syed & Guanyang Wang, 2023. "Optimal randomized multilevel Monte Carlo for repeatedly nested expectations," Papers 2301.04095, arXiv.org, revised May 2023.
    41. Colletaz, Gilbert & Hurlin, Christophe & Pérignon, Christophe, 2013. "The Risk Map: A new tool for validating risk models," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3843-3854.
    42. Halis Sak & .Ismail Bac{s}ou{g}lu, 2015. "Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk," Papers 1510.01593, arXiv.org.
    43. Emanuele Borgonovo & Alessio Figalli & Elmar Plischke & Giuseppe Savaré, 2025. "Global Sensitivity Analysis via Optimal Transport," Management Science, INFORMS, vol. 71(5), pages 3809-3828, May.
    44. Patryk Gierjatowicz & Marc Sabate-Vidales & David v{S}iv{s}ka & Lukasz Szpruch & v{Z}an v{Z}uriv{c}, 2020. "Robust pricing and hedging via neural SDEs," Papers 2007.04154, arXiv.org.
    45. Runhuan Feng & Peng Li, 2021. "Sample Recycling Method -- A New Approach to Efficient Nested Monte Carlo Simulations," Papers 2106.06028, arXiv.org.
    46. He, Zhijian, 2022. "Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo," European Journal of Operational Research, Elsevier, vol. 298(1), pages 229-242.
    47. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    48. Devang Sinha & Siddhartha P. Chakrabarty, 2024. "Multilevel Monte Carlo in Sample Average Approximation: Convergence, Complexity and Application," Papers 2407.18504, arXiv.org.
    49. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
    50. Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus, 2014. "Cross-hedging minimum return guarantees: Basis and liquidity risks," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 93-109.
    51. Ben Mingbin Feng & Eunhye Song, 2025. "Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method," INFORMS Journal on Computing, INFORMS, vol. 37(3), pages 723-742, May.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.