Costis Maglaras -- Papers
Research interests (in order of recency):
- Quantitative finance: high-frequency market microstructure; trade execution algorithms; quant asset management; dark pools
- Social networks: diffusion of information over social networks; the effect of review on information diffusion
- Economics of congestion: ride-hailing networks and platform controls and incentives;
queues in equilibrium; optimal (congestion) pricing; product design and customer choice;
characterization of economically optimal operating regimes
- Data science: exploration / exploitation; applications of ML in finance
- Algorithmic pricing and revenue management: multi-product pricing; strategic consumer behavior; joint learning and revenue optimization; data-driven, large-scale segmentation and price optimization
- Real estate: quantitative pricing, risk management, valuation of large-scale real-estate portfolios
- Stochastic networks: fluid models; Brownian models; control; stability
- Service operations: multi-server queues; call centers; design, control and performance analysis of such systems; customer behavior; segmentation and revenue optimization
- Joint learning and control of stochastic systems
- Asymptotic analysis: applications to queues; quantitative pricing and revenue management
Papers are listed in reverse chronological order.
2019 -
Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
S. Min, C. Moallemi and C. Maglaras
Submitted (2022)
Ride-Hailing Networks with Strategic Drivers: The Impact of Platform Control Capabilities on Performance
P. Afeche, Z. Liu and C. Maglaras
Last revision (2022)
Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution
S. Min, C. Maglaras, and C. Moallemi
Forthcoming Operations Research (2022)
Thompson Sampling with Information Relaxation Penalties
S. Min, C. Maglaras, and C. Moallemi
Forthcoming Management Science (2022)
Social Learning from Online Reviews with Product Choice
C. Maglaras, M. Scarsini, D. Shin and S. Vaccari (latest version 2021)
A Deep Learning Approach
to Estimating Fill Probabilities in a Limit Order Book
C. Maglaras, C. Moallemi and M. Wang (2021)
Queueing dynamics and state space collapse in fragmented limit order book markets
C. Maglaras, C. Moallemi and H. Zheng
Operations Research July-August (2021)
Is 9-to-5 over? Maybe it should be.
Should we rethink the 9-to-5 workday? (Forbes brief)
In Collection: America in the world: visionaries speak, Foreign Policy Association Operations Research July-August (2021)
Stochastic Market Microstructure Models of Limit Order Books (abstract + video)
R. Cont and C. Maglaras
Invited Tutorial INFORMS Fall Conference (2020)
Bayesian social learning with consumer reviews
B. Ifrach, C. Maglaras, M. Scarsini and A. Zseleva
Five-star Pricing This research brief showcased this paper.
Operations Research (Sept-Oct 2019)
2015-2018
Ride-Hailing Networks with Strategic Drivers: The Impact of Platform Control Capabilities on Performance
P. Afeche, Z. Liu and C. Maglaras
Modeling and analysis of an aggregated market for procurement
Y-J. Chen, C. Maglaras and G. Vulcano
Contributed chapter in "Sharing Economy: Making Supply Meet Demand," M. Hu (Ed.), in Springer Series in Supply Chain Management, C. Tang (Series Ed.) 2018
Social Learning from Online Reviews with Product Choice
S. Vaccari, C. Maglaras and M. Scarsini
Revenue maximization for cloud computing services
C. Kilcioglu and C. Maglaras
Data illustrations courtesy of Cinar at
https://www.columbia.edu/~ck2560/awsplot.html
Monopoly pricing in the presence of social learning
D. Crapis, B. Ifrach, C. Maglaras and M. Scarsini
Management Science (Nov 2017)
Limit order book markets: a queueing systems perspective (Lecture series delivered at Imperial College, London, May 2015)
C. Maglaras
Optimal execution in a limit order book and an associated microstructure market impact model
C. Maglaras, C. Moallemi and H. Zheng
2012-2014
Optimal price and delay differentiation in queueing systems
C. Maglaras, J. Yao and A. Zeevi
Forthcoming Management Science (2015)
Bayesian social learning with consumer reviews
B. Ifrach, C. Maglaras and M. Scarsini
Five-star Pricing This research brief showcased this paper.
Monopoly pricing in the presence of social learning
B. Ifrach, C. Maglaras and M. Scarsini
Five-star Pricing This research brief showcased this paper.
Queueing dynamics and state space collapse in fragmented limit order book markets
C. Maglaras, C. Moallemi and H. Zheng
A maximum entropy joint demand estimation and capacity control policy for revenue management
S. Eren and C. Maglaras
Forthcoming POMS (2014)
Dynamic pricing with financial milestones: feedback pricing policies
O. Besbes and C. Maglaras
Forthcoming Management Science (2012)
2008-2011
Dynamic Pricing Strategies for Multi-Product Revenue Management Problems
C. Maglaras
Encyclopedia of Operations Research, (2010)
A maximum entropy joint demand estimation and capacity control policy for revenue management
S. Eren and C. Maglaras
Modeling and analysis of an aggregated market for procurement
Y-J. Chen, C. Maglaras and G. Vulcano
Monopoly pricing with limited demand information
S. Eren and C. Maglaras
Journal of Revenue and Pricing Management (2009)
Dynamic pricing when customers strategically time their purchase: Asymptotic optimality of a two-price policy
M. Bansal and C. Maglaras
Journal of Revenue and Pricing Management (2009) 8, 42--66
Product design in a market with satisficing customers
M. Bansal and C. Maglaras
In Consumer-Driven Demand and Operations Management Models: A Systematic Study of Information-Technology-Enabled Sales Mechanisms, Eds. S. Netessine and C. Tang, Springer, 2009
Operations in the service industries: Introduction to this special issue
U. Apte, C. Maglaras and M. Pinedo
Production and Operations Management, Vol. 17, No. 3, May-June 2008, pp. 235--237
Revenue optimization for a make-to-order queue in an uncertain market environment
O. Besbes and C. Maglaras
Forthcoming Operations Research, 2009.
Cross-selling in call centers with heterogeneous customer populations
I. Gurvich, M. Armony and C. Maglaras
Operations Research, 57(2): 299--313, Mar.--Apr., 2009.
Joint pricing and leadtime management in make-to-order systems
S. Celik and C. Maglaras
Management Science, 54: 1132--1146, 2008
2003-2007
- Dynamic pricing strategies for multi-product revenue management problems.
C. Maglaras and J. Meissner
Manufacturing & Service Operations Management, 8(2): 136--148, Spring 2006
- Revenue management for a multi-class single-server queue
C. Maglaras
Operations Research, 54(5): 914--932, Sep.-Oct., 2006
This paper was featured in the following research brief
- Pricing and design of differentiated services: Approximate analysis and structural insights.
C. Maglaras and A. Zeevi
Operations Research, 53(2): 242--262, 2005
Designing for price This research brief showcased this paper.
- Queueing systems with lead-time constraints: A fluid model approach for admission and sequencing control
C. Maglaras and J. Van Mieghem
European Journal of Operational Research, 167: 179--207, 2005
- Diffusion approximations for a Markovian Service System with "Guaranteed" and "Best-effort" service levels
C. Maglaras and A. Zeevi
Mathematics of Operations Research, 29(4): 786-813, 2004
Designing for price This research brief showcased this paper.
- Contact centers with a call-back option and real-time delay information
M. Armony and C. Maglaras
Operation Research, 52(4): 527-545, Jul.--Aug. 2004
To wait or not to wait This research brief showcased this article.
- On customer contact centers with a call-back option: Customer decisions, sequencing rules and system design
M. Armony and C. Maglaras
Operation Research, 52(2): 271-292, Mar.--Apr., 2004
To wait or not to wait This research brief showcased this article.
- Pricing and capacity sizing for systems with shared resources: Scaling relations and approximate solutions
C. Maglaras and A. Zeevi
Management Science, 49(8): 1018--1038, Aug. 2003
To wait or not to wait and Designing for price These research briefs showcased this paper.
- Continuous-review tracking policies for dynamic control of stochastic networks
C. Maglaras
Queueing Systems, 43:43--80, 2003
1998-2002
- Pricing and Performance Analysis for a System with Differentiated Services and Customer Choice
A. Zeevi and C. Maglaras
Proc. 41th Allerton Conf. on Comm., control and computing, Allerton, IL, 2002
- Optimal dynamic auctions for revenue management
G. Vulcano, G. van Ryzin and C. Maglaras
Management Science, 48(11): 1388--1407 Oct. 2002
- Discrete-review policies for scheduling stochastic networks: Trajectory tracking and fluid-scale asymptotic optimality
C. Maglaras
Annals of Applied Probability Vol.10 (3): 897--929, 2000
- Dynamic scheduling in multiclass queueing networks: Stability of discrete-review policies
C. Maglaras
Queueing Systems, 31(3): 171--206, 1999
- Dynamic Control of Stochastic Processing Networks: A Fluid model Approach
C. Maglaras
Ph.D Thesis, Electrical Engineering Dept., Stanford University
Dissertation advisors: J.M. Harrison (Stanford, GSB), S. Kumar (Stanford, GSB), S. Boyd (Stanford, EE)
- Capacity realization in stochastic batch-processing networks using discrete-review policies
S. Kumar and C. Maglaras
Unpublished manuscript, Columbia University, 1998
- Design of dynamic control policies for stochastic processing networks via fluid models
C. Maglaras
In Proc. 1997 IEEE Conference in Decision and Control, San Diego, CA
- High-performance algorithmic switched-current memory cell
C. Toumazou, N. Battersbee and C. Maglaras
Electronics Letters, 26(19): 1593--1595, Sept. 1990
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