Research

Topics: [Asymptotics], [Detection], [Drawdowns], [Optimal stopping and controls], [HFT and market making]

Book:

1. Stochastic Drawdowns, World Scientific, 2018.

Journal papers:

28. When to sell an asset amid anxiety about drawdowns, Neofytos Rodosthenous and Hongzhong Zhang, Mathematical Finance, 2020.

27. Intraday market making with overnight inventory costs, Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang, Journal of Financial Markets, 2020.

26. Optimal trading with a trailing stop, Tim Leung and Hongzhong Zhang, Applied Mathematics & Optimization, 2019.

25. On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models, Mingsi Long and Hongzhong Zhang, Stochastic Processes and their Applications, 129(8), 2821-2849, 2019.

24. Beating the Omega clock: an optimal stopping problem with random time-horizon under Lévy models, Neofytos Rodosthenous and Hongzhong Zhang, The Annals of Applied Probability, 28(4), 2105-2140, 2018.

23. An unified approach for drawdown (drawup) risks of time-homogeneous Markov processes, David Landriault, Bin Li and Hongzhong Zhang, Journal of Applied Probability, 54(2), 603-626, 2017.

22. Asymptotics for rough stochastic volatility models, Martin Forde and Hongzhong Zhang, SIAM Journal on Financial Mathematics, 8(1), 114–145, 2017.

21. Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion, John Amstrong, Martin Forde, Matthew Lorig and Hongzhong Zhang, SIAM Journal on Financial Mathematics, 8(1), pp. 82–113, 2017.

20. Small-time asymptotics for baskets options - the bi-variate SABR model and the hyperbolic heat kernel on H3, Martin Forde and Hongzhong Zhang, SIAM Journal on Financial Mathematics, 7(1), pp. 448–476, 2017.

19. On magnitude, asymptotics and duration of drawdowns for Lévy Models, David Landriault, Bin Li and Hongzhong Zhang, Bernoulli, 23(1), pp. 432-458, 2017.

18. Game of singular stochastic control and strategic exit, H. Dharma Kwon and Hongzhong Zhang, Mathematics of Operations Research, 40(4), pp. 869-887, 2015.

17. Robustness of the N-CUSUM stopping rule in a Wiener disorder problem, Hongzhong Zhang, Neofytos Rodosthenous and Olympia Hadjiliadis, The Annals of Applied Probability, 25(6), pp. 3405-3433, 2015.

16. Optimal multiple stopping with negative discount rate and random refraction times under Lévy models, Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang, SIAM Journal on Control and Optimization, 53(4), pp. 2373-2405, 2015.

15. An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting, Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang, International Journal of Theoretical and Applied Finance, 18(5), 1550032, 2015.

14. The frequency of drawdowns for Brownian motion processes, David Landriault, Bin Li and Hongzhong Zhang, Journal of Applied Probability 52(1), pp. 191-208, 2015.

13. Occupation time, drawdowns, and drawups for one-dimensional regular diffusion, Hongzhong Zhang, Advances in Applied Probability 47(1), pp. 210-230, 2015.

12. Large deviations for the boundary local time of doubly reflected Brownian motion, Martin Forde, Rohini Kumar and Hongzhong Zhang, Statistics & Probability Letters 96, pp. 262-268, 2015.

11. Quickest detection in coupled system, Hongzhong Zhang, Olympia Hadjiliadis, Tobias Schafer and H. Vincent Poor, SIAM Journal on Control and Optimization 52(3), pp. 1567-1596, 2014.

10. Stochastic modeling and fair valuation of drawdown insurance, Hongzhong Zhang, Tim Leung, and Olympia Hadjiliadis, Insurance, Mathematics and Economics 53(3), pp. 840-850, 2013.

9. Hitting times, occupation times, tri-variate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory, Martin Forde, Andrey Pogudin, Hongzhong Zhang, Advances in Applied Probability 45(3), pp. 860-875, 2013.

8. Drawdowns and the speed of market crash, Hongzhong Zhang and Olympia Hadjiliadis, Methodology and Computing in Applied Probability 14(3), pp. 739-752, 2012.

7. Maximum drawdown insurance, Peter Carr, Hongzhong Zhang and Olympia Hadjiliadis, International Journal of Theoretical and Applied Finance 14(8), pp. 1195-1230, 2011.

6. Drawdowns and rallies in a finite time horizon, Hongzhong Zhang and Olympia Hadjiliadis, Methodology and Computing in Applied Probability 12(2), pp. 293-308, 2010.

5. One-shot schemes for decentralized quickest detection, Olympia Hadjiliadis, Hongzhong Zhang, H. Vincent Poor, IEEE Transactions on Information Theory 55(7), pp. 3346-3359, 2009.

Peer-reviewed Conference Papers:

4. Quickest detection in a system with correlated noise, Hongzhong Zhang and Olympia Hadjiliadis, Proceedings of the 51st IEEE Conference on Decision and Control, Maui, Hawaii, December 10-13, pp. 4757-4763, 2012.

3. Online algorithms for classification of urban objects in 3D point clouds, Ioannis Stamos, Olympia Hadjiliadis, Hongzhong Zhang and Thomas Flynn, Proceedings of 3DIMPVT 2012, ETH Zurich, Switzerland, October 13-15, 2012.

2. One-shot schemes for decentralized quickest detection, Olympia Hadjiliadis, Hongzhong Zhang, H. Vincent Poor, Proceedings of The 11th International Conference on Information Fusion, Cologne, Germany, June 30-July 3, 2008.

Thesis:

1. Drawdowns, drawups, and their applications, Hongzhong Zhang, Ph.D. Thesis, City University of New York, 2010.

Preprints:

2. Large orders in small markets: on optimal execution with endogenous liquidity supply, Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang. [SSRN][Online Appendix][Blog]

1. Central clearing and the sizing of default funds, Agostino Capponi, Jessie Jiaxu Wang and Hongzhong Zhang. [SSRN]