Olympia Hadjiliadis



I am a tenure-track Assistant Professor at the Mathematics Department of Brooklyn College, City University of New York. I am also member of the doctoral faculty at the Computer Science Department of the Graduate Center of the City University of New York.

Finally, I am also a Research Collaborator at the Department of Electrical Engineering, Princeton University (Professor H. V. Poor’s group).

 


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, network security, computer vision and quality control. 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 the Fall of 2004. For a title and abstract of my thesis please refer to the link underneath:

PHD THESIS

Here is my CV



PUBLICATIONS

PEER-REVIEWED PROCEEDINGS

BOOKS

SUBMITTED WORK

CONTACT INFORMATION

 

Publications

*    "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, issue 3, Vol. 53, pp. 610-622, (2008) [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), issue 1, vol.50, pp. 131-144, (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, (2005) [pdf].

*    "Drawdowns Preceding Rallies in the Brownian Motion Model ", O. Hadjiliadis, J. Vecer, Quantitative Finance, issue 5, vol. 6 (2006) [pdf].

*    “A comparison of 2-CUSUM stopping rules for quickest detection of two-sided alternatives through the derivation of the mean of a general 2-CUSUM”, O. Hadjiliadis, G. Hernandez-del-Valle, and I. Stamos (conditionally accepted by the Journal of Sequential Analysis).



Peer-Reviewed Proceedings

 

*    “One shot schemes for decentralized quickest detection”, O. Hadjiliadis,  H. Zhang, H.V. Poor, Proceedings of the 11th International Conference on Information Fusion, Cologne Germany, June 30th – July 3rd, 2008 [pdf]. <Invited Session>

*    “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, International Workshop in Applied Probablity, Compiegne France, July 7th – July 10th, 2008 [pdf].

*    “Drawdowns and Rallies in games of finite horizon”, O. Hadjiliadis, International Workshop in Applied Probablity, Compiegne France, July 7th – July 10th, 2008 <Invited Session>.

*    “On a collision local time formula”, O. Hadjiliadis, International Workshop in Applied Probablity, Compiegne France, July 7th – July 10th, 2008 [pdf].

*     “Robust online change-point detection in video sequences”, Tsechpenakis, G. and Metaxas, D. and Hadjiliadis O. and Neidle C., 2006 IEEE Proceedings, 2nd IEEE Workshop on  Vision for Human Computer Interaction (V4HCI), in conjunction with the IEEE Conference on Computer Vision and Pattern Recognition (CVPR’06), New York, NY [pdf].

 

 

 

Books

*    "Quickest Detection", H. V. Poor and O. Hadjiliadis, Cambridge University Press UK (to appear).

 

Submitted Work

*    “Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups”, L. Pospisil, J. Vecer and O. Hadjiliadis (submitted 02-25-08 to the Stochastic Processes and its Applications).

*     “One-shot schemes for decentralized quickest change detection”, O. Hadjiliadis, H. Zhang and H. V. Poor (submitted 06-19-08 to the IEEE Transactions on Information Theory).

 

 

Contact Information

1314N Ingersoll Hall

Department of Mathematics,

Brooklyn College, C.U.N.Y.

Brooklyn NY 11209

Phone: (718) 951-5000 ext. 2718

ohadjili (at) princeton.edu

ohadjiliadis (at) brooklyn.cuny.edu