Olympia Hadjiliadis

Education:

Ph.D. (with distinction), Columbia University - 2005 (Statistics)

M.Phil., Columbia University - 2003 (Statistics)

M.Math., Centre for Advanced Studies in Finance - 1999 (Statistics - Finance)

B.Sc. (with high distinction), University of Toronto - 1997 (Statistics and Acturial Science)

Areas of Expertise:

Olympia Hadjiliadis' research interests lie in the area of statistical surveillance and sequential detection. She works on change-point detection as applied to finance, signal processing, decentralized detection, network security and quality control. She is also interested in optimal stopping and stochastic optimization problems in the context of game theory and financial engineering.

Books and Publications

"The price of a market crash", accepted by the 7th World Congress of the Bachelier Finance Society 2012. This is a collaboration with Dr. Hongzhong Zhang (same affiliation as above) and Dr. Tim Leung: Assistant Professor at the Industrial Engineering and Operations Research Department of Columbia University. (Books and Publications: Abstract) 2012

"Drawdowns and the speed of market crash", Rutgers Mathematical Finance and partial differential equations conference, Rutgers University, November 4, 2011. This is a collaboration with Dr. Hongzhong Zhang. (Books and Publications: Abstract) 2011

JOURNAL PUBLICATION:
"Maximum drawdown insurance", International Journal in Theoretical and Applied Finance, issue 8, col. 14, pp. 1195-1230, 2011 which is a collaboration with Dr. Peter Car: Director of Quantitative research at Morgan Stanley and Dr. Hongzhong Zhang: Assistant Professor of Statistics at Columbia University (former graduate student who graduated from the Graduate Center's mathematics PhD Program under my supervision)

"Drawdowns and the Speed of Market Crash", Methodology and Computing in Applied Probability, November 18, 2011, DOI: 10.1007/s11009-011-9262-7, which is a collaboration with Hongshong Zhang (Books and Publications: Other Article) 2011

Creative Work

For all publications, books and creative works, please refer to my website, https://userhome.brooklyn.cuny.edu/ohadjiliadis. 2010

Awards, Honors and Fellowships

Renewed for the period of 2012-2013 on the collaborative NSF-CCF grant entitled Sequential Classification and Detection via Markov models in point clouds of urban scenes in March 2012. This is a collaborative proposal with Prof. Ioannis Stamos from the Computer Science Department of Hunter College, CUNY. (Grants and Fellowships) 2012

Best presentation award for my presentation at the INFORMS Annual Meeting, Charlotte, North Carolina, November 13th-16th of 2011. Session on financial services. Title: Insurance against market crashes. (Awards and Honors) 2011

NSA Young Investigator's award (renewal for March 2011-12) on the topic of quickest detection in correlated multi-sensor systems. (Awards and Honors) 2011

Renewed on the NSAYOUNG INVESTIGATOR's AWARD grant entitled Quickest detection in correlated multi-sensor systems for the period March 2011-March 2012 (Grants and Fellowships) 2011

Held the NSF-DMS award on Sequential detection and classification in 3D Computer Vision for the period September 2010 to August 2011 (Awards and Honors) 2010

NSA-MSP-Probability-Young Investigator's Award #081103, for "Quickest Detection in Correlated Multi-sensor Systems." $16,000 per year, 2010-11. (Grants and Fellowships) 2010

NSF-CCF #0916452, for "MSC Sequential Classification and Detection via Markov Models in Point Clouds of Urban Scenes." Co-principal investigator. $380,000, 2009-12. (Grants and Fellowships) 2009

NSF-DMS-IGMS #0929317, for "Sequential Detection and Classification in 3D Computer Vision." $100,000, one year (extended to two years). Start date: Sept. 15. (Grants and Fellowships) 2009

Conferences, Seminars and Symposiums

3rd International Workshop in Sequential Methodologies, San Francisco, California, June 14th-16th of 2011. Special sessions on sequential detection and engineering applications. Title: Sequential detection classification in 3D Computer Vision. (Conferences, Seminars and Symposiums: Invited Talk) 2011

AMS meeting, Iowa City, March 18th-20th of 2011. Special Session on Financial Mathematics. (Conferences, Seminars and Symposiums: Invited Talk) 2011

AMS meeting, New Orleans, January 6th-8th of 2011. Special session in stochastic analysis. Title: Drawdowns and drawups. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Columbia University, Department of Operations Research, August 17, 2011. Title: Drawdowns and the speed of a market crash. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Conference on Modeling High Frequency Data in Finance III, Hoboken NJ, July 28th-31st, 2011. Title: Drawdowns and the speed of a market crash. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Cornell Financial Engineering Manhattan Seminar series on Broad Street, November 28, 2011. Title: Drawdowns and the speed of a market crash. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Google, Vision Group led by Vincent Luc Mount View California. Title: Sequential detection and classification in 3D Computer Vision. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Graduate Center, CUNY, Department of Computer Science, April 7, 2011 Title: Sequential detection and classification in 3D Computer Vision. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Graduate Center, CUNY, Department of Mathematics, Probability seminar, March 29, 2011. Title: Drawdown and last passage times. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Graduate Center, Statistics seminar, April 1, 2011. Title: Statistics and Computer Vision. (Conferences, Seminars and Symposiums: Invited Talk) 2011

INFORMS Annual Meeting, Charlotte NC, November 13th-16th of 2011. Session on financial services. Title: Insurance against market crashes. RECIPIENT OF THE BEST PRESENTATION AWARD for this presentation. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Invited to organize a session on the topic of optimal stopping and sequential decision making at the 3rd International Workshop in Sequential Methodologies, June 14th-16th of 2011. (Conferences, Seminars and Symposiums: Invited Talk) 2011

John Hopkins University, Department of Mathematical Science, May 5, 2011. Title: Drawdowns and the speed of a market crash. (Conferences, Seminars and Symposiums: Invited Talk) 2011

London School of Economics, Department of Statistics, July 1, 2011. Title: Drawdowns and the speed of a market crash. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Seminar Course series on sequential algorithms, Department of Industrial Engineering and Operations Research, Columbia University, December 5, 2011. Title: Quickest Detection in coupled systems. (Conferences, Seminars and Symposiums: Invited Talk) 2011

SIAM Conference on control and its applications, Baltimore, MD, July 25th-27th of 2011. Session on Stochastic and Risk-sensitive Control in Finance. Title: Drawdown Insurance. (Conferences, Seminars and Symposiums: Invited Talk) 2011

Stochastic Analysis seminar, Prague, January 4th-5th of 2011. Title: Drawdowns, drawups and application in finance. (Conferences, Seminars and Symposiums: Invited Talk) 2011

University of California at Santa Barbara, Department of Statistics, February 9, 2011. (Conferences, Seminars and Symposiums: Invited Talk) 2011

University of Michigan at Ann Harbor, Department of Mathematical Science, October 13, 2011. Title: Drawdown Insurance. (Conferences, Seminars and Symposiums: Invited Talk) 2011

York College, Women in Mathematics, March 12, 2011. Title: Sequential analysis and Computer Vision. (Conferences, Seminars and Symposiums: Invited Talk) 2011

"Drawdown Insurance." 6th World Congress of the Bachelier Finance Society. Toronto, June 22-26. (Conferences, Seminars and Symposiums: Conference Presentation) 2010

"Financial Mathematics." American Mathematical Society Meeting. Hoboken, N.J., May 22-23. (Conferences, Seminars and Symposiums: Invited Talk) 2010

"Formulas for Stopped Diffusion Processes With Stopping Times Based on Drawdowns and Drawups." Session on financial mathematics, American Mathematical Society Meeting. Albuquerque, N.M., April 17-18. (Conferences, Seminars and Symposiums: Invited Talk) 2010

"Optimal Stopping and Change-point Detection." International Workshop in Applied Probability. Colmenarejo, Spain, July 5-8. (Conferences, Seminars and Symposiums: Invited Talk) 2010

"Sequential Classification in Point Clouds of Urban Scenes." 3DPVT Conference. Paris, May 17-20. (Conferences, Seminars and Symposiums: Conference Presentation) 2010

Lecture series organized by the Mathematical Institute. Guanajuato, Mexico, May 30-June 4. (Conferences, Seminars and Symposiums: Invited Talk) 2010

Mathematical finance seminar. Department of Statistics, Purdue University. West Lafayette, Ind., April 20. (Conferences, Seminars and Symposiums: Invited Talk) 2010

Student seminar series. Department of Statistics, Columbia University. Sept. 14. (Conferences, Seminars and Symposiums: Invited Talk) 2010

"One-shot Schemes for Decentralized Quickest Change Detection and Quickest Detection
in Coupled Systems." Department of Industrial and Systems Engineering, Georgia Institute of Technology. Atlanta. (Conferences, Seminars and Symposiums: Invited Talk) 2009

"One-shot Schemes for Decentralized Quickest Change Detection and Quickest Detection in Coupled Systems." Department of Electrical Engineering, Columbia University. New York. (Conferences, Seminars and Symposiums: Invited Talk) 2009

"Risk Seminar." Department of Statistics, Columbia University. Dec. 2. (Conferences, Seminars and Symposiums: Invited Talk) 2009

"Sequential Methods in Sensor Networks." 2nd International Workshop on Sequential Methodologies. Troyes, France, July 15-17. (Conferences, Seminars and Symposiums: Invited Talk) 2009

"Special Workshop on Change-point Detection." Neural Science and Information Systems Conference. Vancouver, British Columbia, Dec. 11-12. (Conferences, Seminars and Symposiums: Invited Talk) 2009

"Statistical Quality Control." Department of Mathematics and Computer Science, Bronx Community College (CUNY). (Conferences, Seminars and Symposiums: Invited Talk) 2009

Department of Mathematics, CUNY Graduate Center. (Conferences, Seminars and Symposiums: Contributed Talk) 2009

Department of Statistics, University of Connecticut. Sept. 16. (Conferences, Seminars and Symposiums: Invited Talk) 2009

"Detecting a Regime Change and Connections to Mathematical Finance." University of Southern California. Los Angeles. (Conferences, Seminars and Symposiums: Invited Talk) 2008

"Drawdowns and Rallies in Games of Ginite Horizon" special session in applied probability. IWAP Annual Meeting. Compiègne, France. (Conferences, Seminars and Symposiums: Invited Talk) 2008

"One Shot Communication Schemes in the Presence of Correlations Across Sensors" special session on distributed inference and decision-making in multi-sensor systems. 11th International Conference on Information Fusion. Cologne, Germany. (Conferences, Seminars and Symposiums: Invited Talk) 2008

"Quickest Detection in Hidden Markov Models" statistics seminar. CUNY Graduate Center. New York. (Conferences, Seminars and Symposiums: Invited Talk) 2008

"Quickest Detection in Multi-Source Systems" special session on interface of applied probability with change point detection phenomena. IWAP Annual Meeting. Compiègne, France. (Conferences, Seminars and Symposiums: Invited Talk) 2008

Department of Mathematical Science, Stevens Insitute of Technology. (Conferences, Seminars and Symposiums: Invited Talk) 2008

Department of Mathematics, University of Delaware. (Conferences, Seminars and Symposiums: Invited Talk) 2008

Mini-lecture series on mathematical finance, applied math seminar. CUNY Graduate Center. New York. (Conferences, Seminars and Symposiums: Invited Talk) 2008

"Detecting a Regime Change and Connections to Mathematical Finance." Kent University. Kent, Ohio. (Conferences, Seminars and Symposiums: Invited Talk) 2007

"Drawdowns and Rallies in a Brownian Motion Model." ASMDA Annual Meeting. Chania, Crete, Greece. (Conferences, Seminars and Symposiums: Invited Talk) 2007

"Optimal Quickest Detection of Two-Sided Alternatives and Connections to Drawdown and Rally Processes" probability seminar. CUNY Graduate Center. New York. (Conferences, Seminars and Symposiums: Invited Talk) 2007

"Optimal Quickest Detection of Two-Sided Alternatives and Connections to Drawdown and Rally Processes." Mathematical Finance Seminar. Courant Institute of Mathematical Sciences, New York University. (Conferences, Seminars and Symposiums: Invited Talk) 2007

"Optimal Quickest Detection of Two-Sided Alternatives in a BM Model." ISI Annual Meeting. Lisbon, Portugal. (Conferences, Seminars and Symposiums: Invited Talk) 2007

"The Best 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in BM Model," First International Workshop in Sequential Methodologies. Auburn, Ala. (Conferences, Seminars and Symposiums: Conference Presentation) 2007

"The Best 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives." Advanced Probability Course in Topics of Stochastic Differential Equations and Applications, Columbia University. New York. (Conferences, Seminars and Symposiums: Invited Talk) 2007

"The Best 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives." AMS Meeting on Financial Mathematics. (Conferences, Seminars and Symposiums: Invited Talk) 2007

"Detecting a Regime Change & Connections to Mathematical Finance." Carnegie Mellon University. Pittsburgh. (Conferences, Seminars and Symposiums: Invited Talk) 2006

"Detecting a Regime Change and Connections to Mathematical Finance." Fox School of Business, Temple University. Philadelphia. (Conferences, Seminars and Symposiums: Invited Talk) 2006

"The Best 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives." IMS Annual Meeting. Rio de Janeiro. (Conferences, Seminars and Symposiums: Conference Presentation) 2006

"The Quickest Detection Problem and Connections to Finance." Columbia University. New York. (Conferences, Seminars and Symposiums: Invited Talk) 2006

"The Quickest Detection Problem and Connections to Finance." University of Waterloo. Waterloo, Ontario, Canada. (Conferences, Seminars and Symposiums: Invited Talk) 2006

"The Quickest Detection Problem and Its Connection to Finance." City College (CUNY). (Conferences, Seminars and Symposiums: Invited Talk) 2006

"Change-Point Detection in the Brownian Motion Model With Two-Sided Alternatives." 30th Conference on Stochastic Processes and Its Applications. Santa Barbara, Calif. (Conferences, Seminars and Symposiums: Conference Presentation) 2005

"CUSUM Rules in Change-Point Detection of Two-Sided Alternatives." 13th INFORMS Applied Probability Conference. Ottawa. (Conferences, Seminars and Symposiums: Invited Talk) 2005

"How to Detect a Regime Change." Bloomberg New York. (Conferences, Seminars and Symposiums: Invited Talk) 2005

"Optimal Two-Sided CUSUM Stopping Rules for Change-Point Detection in the Brownian Motion Model With Two-Sided Alternatives." Joint Statistical Meeting. Minneapolis. (Conferences, Seminars and Symposiums: Conference Presentation) 2005

"Change-Point Detection of Multiple Alternatives in the Brownian Motion Model & Its Connection to the Gambler's Ruin Problem With Relative Wealth Perception." City College (CUNY). (Conferences, Seminars and Symposiums: Invited Talk) 2004

"CUSUM Rules for Change-Point Detection in the Brownian Motion Model With Multiple Alternatives and Its Connection to the Gambler's Ruin Problem." IBM - T.J. Watson Research Center. Yorktown Heights, N.Y. (Conferences, Seminars and Symposiums: Invited Talk) 2004

"Detecting Changes in Random Processes." Courant Institute of Mathematical Sciences, New York University. (Conferences, Seminars and Symposiums: Invited Talk) 2004

"Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model With Multiple Alternatives." Joint Statistical Meeting. Toronto. (Conferences, Seminars and Symposiums: Conference Presentation) 2004

"The Gambler's Ruin Problem With Relative Wealth Perception & Its Connection to the Gambler's Ruin Problem With Relative Wealth Perception." Lehigh University. Bethlehem, Pa. (Conferences, Seminars and Symposiums: Invited Talk) 2004

Professional Leadership

Organized two sessions on the topic of stochastics and finance, International Workshop in Applied Probability, Colmenarejo, Spain, July 5-8. (Professional Leadership: Organizational Leadership Position) 2010

Other Professional Activities

EDITORIAL BORAD: Associate Editor of the journal Probability in Engineering and Information Science since October 2011, published by Cambridge University Press. 2011