Olympia Hadjiliadis

Olympia Hadjiliadis, PhD, is a professor and MA adviser in the Department of Mathematics and Statistics.

Born and raised in Athens, Greece, Olympia studied statistics as an undergraduate student at the University of Toronto. She then completed her Master’s degree in mathematics with specialization in statistics and finance at the University of Waterloo. Her PhD was completed in the Department of Statistics at Columbia University in 2005, with distinction, under the supervision of Jan Vecer, and the mentorship of G.V. Moustakides. As a postdoc, Olympia joined the group of Dean H. V. Poor at Princeton’s Department of Electrical Engineering for two years before assuming her position with the City University of New York.

In 2009, Olympia received a National Security Agency (NSA) Young Investigator Grant from the Division of Mathematical and Physical Science for Probability. Since then, she has researched further applications of quickest detection and statistical surveillance. This led to the development of algorithms for online detection and classification of objects in point clouds of urban scenes, a problem in computer vision. For this work, she received further external funding from the National Science Foundation (NSF). She then delved into financial engineering and, more recently, into the applications of detection algorithms in algorithmic trading.

In the past, she has worked as an intern for Citibank Canada, and as an Associate Financial Engineer at Algorithmics Inc. in Toronto, Canada.

Olympia is fluent in English, Greek, Spanish and has a working knowledge of French.

• University of Toronto, New College (BSc 1997)
• University of Waterloo, Centre for Advanced Studies in Finance (MS 1999)
• Columbia University (MPhil 2003, PhD 2005)

Courses taught include:

• STAT 701
• STAT 702
• STAT 761
• STAT 762

• “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).
• “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).
• “Drawdowns Preceding Rallies in a Brownian Motion Model,” O. Hadjiliadis, J. Vecer, Quantitative Finance, issue 5, vol. 6, pp. 403–409 (2006).
• “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).
• “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).
• “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).
• “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).
• “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).
• “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).
• “Drawdowns and the Speed of a Market Crash,” H. Zhang and O. Hadjiliadis, Methodology and Computing in Applied Probability, issue 3, vol. 14, pp. 739–752 (2012).
• “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).
• “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).
• “Robustness of the N-CUSUM Rule in a Wiener Disorder Problem,” H. Zhang, N. Rodosthenous and O. Hadjiliadis, Annals of Applied Probability, issue 6, vol. 25, pp. 3405–3433 (2015).
• “Trends and Trades,” M. Carlisle, O. Hadjiliadis and I. Stamos, Handbook of high-frequency trading and modeling in finance, Chapter 1. Editors: F. Viens, M. C. Mariani and I. Florescu, Publisher: John Wiley and Sons (2016).
• “Quickest Detection In The Wiener Disorder Problem With Post-Change Uncertainty,” H. Yang, O. Hadjiliadis and M. Ludkovski, Stochastics, issue 3–4, vol. 89, pp. 654–685 (2017).