Olympia Hadjiliadis
Associate Professor
Department
of Mathematics
Brooklyn College
and
Department of Mathematics
& Department of
Computer Science
My research interests are in the
broad areas of statistical surveillance and sequential
detection. In particular, I am interested in quickest
detection of abrupt changes as applied to finance, signal
processing, decentralized detection, and computer vision. I am
also interested in optimal stopping and stochastic
optimization problems in the context of dynamic programming
and financial engineering.
A little bit about myself:
I was born in Athens, Greece in 1976. All my undergraduate
studies were completed in Toronto, Canada, where I studied
Statistics. I then completed a Master's degree in Mathematics
with specialization in Statistics and Finance at the
University of Waterloo in Waterloo, Canada. I worked as an
intern for Citibank Canada and as an Associate Financial
Engineer at Algorithmics Inc. in
Toronto, Canada. I finally completed my PhD at the
Department of Statistics of Columbia University in 2005 with
distinction. For a title and abstract of my thesis please
refer to the link underneath:
PHD THESIS
PHD Advisor: Professor Jan Vecer
Mentor: Professor George V. Moustakides
Postdoctoral advisor: Dean H. V. Poor
CONFERENCES
"A comparison
of 2-CUSUM stopping rules for quickest detection of two-sided
alternatives in a Brownian motion model", O. Hadjiliadis, G. Hernandez-del-Valle,
and I. Stamos, Sequential
Analysis, issue 1, vol. 28, pp 92-114, (2009) [pdf].
"On the best 2-CUSUM rules for quickest detection of two-sided alternatives in a Brownian motion model", O. Hadjiliadis and H. V. Poor, Theory of Probability and its Applications (Teoriya Veroyatnostei i ee Primeneniya 2008), issue 3, vol. 53, pp. 610-622, (2009) [pdf].
"Optimal and Asymptotically Optimal CUSUM rules for change point detection in the Brownian Motion model with multiple alternatives", O. Hadjiliadis and G. V. Moustakides, Theory of Probability and its Applications (Teoriya Veroyatnostei i ee Primeneniya 2005), issue 1, vol.50, pp. 131-144, (2006) [pdf].
"Drawdowns preceding rallies in a Brownian motion model ", O. Hadjiliadis, J. Vecer, Quantitative Finance, issue 5, vol. 6, pp. 403-409, (2006) [pdf].
"Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model", O. Hadjiliadis, Journal of Applied Probability, issue 4, vol.42, pp. 1183-1193, (2005) [pdf].
“Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups”, L. Pospisil, J. Vecer and O. Hadjiliadis, Stochastic Processes and its Applications, issue 8, vol. 119, pp. 2563-2578 (2009) [pdf].
“One-shot schemes for decentralized quickest change detection”, O. Hadjiliadis, H. Zhang and H. V. Poor , IEEE Transactions on Information Theory, issue 7, vol. 55, pp. 3346-3359. (2009) [pdf].
"Drawdowns and rallies in a finite time horizon", H. Zhang and O. Hadjiliadis, Methodology and Computing in Applied Probability (Special Issue), issue 2, vol. 12, pp. 293-308 (2010) [pdf].
“Maximum drawdown insurance”, P. Carr, H. Zhang
and O. Hadjiliadis,
International Journal in Theoretical and Applied Finance
(accepted on 09-28-11) [pdf].
“Drawdowns
and the speed of a market crash”, H. Zhang and O. Hadjiliadis, Methodology and
Computing in Applied Probability (accepted on 10-10-11)
[pdf].
“Sequential Classification in Point Clouds of Urban Scenes”, O. Hadjiliadis and I. Stamos, Fifth International Symposium on 3D Data Processing, Visualization and Transmission, Paris, France, May 17-20, 2010 [pdf]
“Quickest Detection in coupled systems”, O. Hadjiliadis, T. Schaefer and H. V. Poor , accepted by the 48th IEEE Conference on Decisions and Control, (2009) [pdf]
"Quickest Detection", H. V. Poor and O. Hadjiliadis, Cambridge University Press UK. Available on amazon.
Internal grants:
PSC-CUNY 39 (2008-09),
PSC-CUNY 40 (2009-10),
PSC-CUNY 41 (2010-11)
CUNY Collaborative grant with T. Schaefer (2008-09).
Title: Multi-dimensional quickest detection
External grants:
1) NSF DMS-IGMS # 0929317, 1 year, extended to 2 years $100,000 (Start date: 09-15-09)
Title: Sequential Detection and Classification in 3D Computer Vision.
2) NSF CCF-MSC # 0916452, 3 years, $380,000 with I. Stamos (Start date: 09-01-09).
Title: Sequential Classification and Detection via Markov Models in Point Clouds of Urban Scenes.
3) NSA MSP- Probability # 081103, Young Investigator’s award, 1+1 years, $15,000+ $15,000 (Start date 03-18-10).
Title: Quickest detection in correlated multi-sensor systems.
Submitted Work
“Formulas for the Laplace transform of stopping times based on drawdowns and drawups”, H. Zhang and O. Hadjiliadis, currently under review.
“Quickest Detection in coupled systems”, O. Hadjiliadis, T. Schaefer and H. V. Poor, currently under review.
Advisor of PhD student Hongzhong Zhang, hzhang3 (at) gc.cuny.edu, Mathematics PhD program Graduate Center (2010).
Contact Information
1314N Ingersoll Hall
Department of Mathematics,
Brooklyn College, C.U.N.Y.
Brooklyn NY 11209
Phone: (718) 951-5000 ext. 2718
ohadjiliadis (at) brooklyn.cuny.edu
