[Books][Journal][Conferences][Working][Thesis]

Books

"Quickest Detection", H. V. Poor and O. Hadjiliadis, Cambridge University Press UK. Available on amazon.

List of peer-reviewed journal publications

  1. "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].
  2. "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 (2005-6) [pdf].
  3. "Drawdowns preceding rallies in a Brownian motion model ", O. Hadjiliadis, J. Vecer, Quantitative Finance, issue 5, vol. 6, pp. 403-409 (2006) [pdf].
  4. "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 (2008-9) [pdf].
  5. "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].
  6. "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].
  7. "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].
  8. "Drawdowns and rallies in a finite time horizon", H. Zhang and O. Hadjiliadis, Methodology and Computing in Applied Probability, issue 2, vol. 12,  pp. 293-308 (2010) [pdf].
  9. "Maximum drawdown insurance", P. Carr, H. Zhang and O. Hadjiliadis, International Journal in Theoretical and Applied Finance, issue 8, vol.14, pp. 1195-1230 (2011) [pdf].
  10. "Drawdowns and the speed of a market crash", H. Zhang and O. Hadjiliadis, Methodology and Computing in Applied Probability, Methodology and Computing in Applied Probability,  issue 3, vol. 14, pp. 739-752 (2012) [pdf].
  11. "Stochastic modeling and fair valuation of Insurance", H. Zhang, T. Leung and O. Hadjiliadis, Insurance: Mathematics and Economics, issue 3, vol. 53, pp. 840-850 (2013) [pdf].
  12. "Quickest detection in stochastic coupled systems", H. Zhang, O. Hadjiliadis, T. Schaefer and H.V. Poor, SIAM Journal on Control and Optimization, issue 3, vol. 52, pp. 1567-1596 (2014) [pdf].
  13. "Trends and trades", M. Carlisle, O. Hadjiliadis and I. Stamos, Accepted for publication in the Handbook of high-frequency trading and modeling in finance. Editors: F. Viens, M. C. Mariani and I. Florescu, Publisher: John Wiley and Sons (2014).
  14. "Robustness of the N-CUSUM rule in a Wiener disorder problem", H. Zhang, N. Rodosthenous and O. Hadjiliadis, Annals of Applied Probability, accepted for publication (2014) [pdf].

 

List of peer-reviewed conference publications
  1. "One shot schemes for decentralized detection", O. Hadjiliadis, H. Zhang and H. V. Poor, Proceedings of the 11th International IEEE Conference on Information Fusion, Cologne, Germany, June 30-July 3, 2008 [pdf].
  2. "Quickest Detection in coupled systems", O. Hadjiliadis, T. Schaefer and H. V. Poor, Proceedings of the 48th IEEE Conference on Decisions and Control, Shanghai, China, December 16-18, 2009 [pdf].
  3. "Sequential Classification in Point Clouds of Urban Scenes", O. Hadjiliadis and I. Stamos, Proceedings of the 5th International Symposium on 3D Data Processing, Visualization and Transmission, Paris, France, May 17-20, 2010 [pdf].
  4. "Quickest Detection in a System with Correlated Noise", H. Zhang and O. Hadjiliadis, Proceedings of the 51st IEEE International Conference on Decisions and Control, Maui, Hawai, December 10-13, 2012 [pdf].
  5. "Online algorithms in the classification of urban objects in 3D point clouds", I. Stamos, O. Hadjiliadis, H. Zhang and T. Flynn, Proceedings of the 3D Imaging, Modeling, Processing, Visualization and Transmission (3DIMPVT) Conference, Zurich, Switzerland, October 13-15, 2012 [pdf].
  6. "Sequential decision making in two-dimensional hypothesis testing", M. Carlisle and O. Hadjiliadis, Proceedings of the 52nd IEEE Conference on Decisions and Control, Florence, Italy,  December 10th -13th 2013 [pdf].
  7. "Quickest detection with post-change drift uncertainty", H. Yang and O. Hadjiliadis, Accepted for publication, Proceedings of the 53rd IEEE Conference on Decisions and Control, December 10-13, Los Angeles, California, 2014 [pdf].

  



Working Manuscripts

  1. H. Yang, O. Hadjiliadis and M. Ludkovski  (2014), "Cusum reaction period for simultaneous detection and identification" (currently under review).
  2. M. Carlisle, Z. Cui and O.  Hadjiliadis (2014) "N-dimensional hypothesis testing" (in preparation).
  3. S. Guerrier, O. Hadjiliadis and X. Zhang (2014) "Latent random walk models and applications" (in preparation).

 

Thesis

O. Hadjiliadis, Change-point detection of two-sided alternatives in the Brownian motion model and its connection to the gambler’s ruin problem with relative wealth perception, PhD Thesis with Distinction, Columbia University, 2005 [pdf].