Hongzhong Zhang

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

12

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2,849

SSRN CITATIONS
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Top 22,721

in Total Papers Citations

18

CROSSREF CITATIONS

26

Scholarly Papers (12)

1.

Optimal Trading with a Trailing Stop

Applied Mathematics and Optimization, to appear, 2019
Number of pages: 26 Posted: 10 Jan 2017 Last Revised: 21 Feb 2019
Tim Leung and Hongzhong Zhang
University of Washington - Department of Applied Math and Columbia University
Downloads 885 (33,393)
Citation 1

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trailing stop, stop loss, optimal stopping, drawdown, stochastic floor

2.

Large Orders in Small Markets: Execution with Endogenous Liquidity Supply

Number of pages: 42 Posted: 06 Feb 2019 Last Revised: 13 Aug 2021
Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang
Columbia University, Vrije Universiteit Amsterdam and Columbia University
Downloads 562 (61,079)
Citation 4

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large orders, market making, liquidity supply, investors' welfare

Intraday Market Making with Overnight Inventory Costs

Journal of Financial Markets, Forthcoming
Number of pages: 65 Posted: 29 Sep 2016 Last Revised: 13 Apr 2020
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 435 (82,812)
Citation 2

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inventory control, jump-driven stochastic control, market microstructure theory, market making

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 57 Posted: 25 Oct 2016
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 118 (292,468)
Citation 2

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market microstructure theory, market liquidity, market making, financial intermediation

Intraday Market Making with Overnight Inventory Costs

CEPR Discussion Paper No. DP12245
Number of pages: 56 Posted: 29 Aug 2017
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Citadel LLC and Columbia University
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Financial Intermediation, market liquidity, market making, Market microstructure theory

4.

A Theory of Collateral Requirements for Central Counterparties

Management Science
Number of pages: 59 Posted: 03 Dec 2018 Last Revised: 06 Jul 2021
Jessie Jiaxu Wang, Agostino Capponi and Hongzhong Zhang
Arizona State University (ASU) - W.P. Carey School of Business, Columbia University and Columbia University
Downloads 275 (138,951)
Citation 1

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Central counterparty, collateral, initial margins, default funds, macro-prudential policy

5.

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models

SIAM Journal on Control and Optimization, vol. 53, no. 4, pp. 2373–2405, 2015
Number of pages: 25 Posted: 14 Feb 2014 Last Revised: 28 Oct 2015
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Columbia University
Downloads 182 (205,615)
Citation 2

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optimal multiple stopping, negative discount rate, random refraction times, Levy processes, stock loan, real option

6.

An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting

International Journal of Theoretical and Applied Finance, vol. 18, issue 5, p.1550032, 2015
Number of pages: 30 Posted: 19 Apr 2014 Last Revised: 28 Oct 2015
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Columbia University
Downloads 144 (250,361)
Citation 2

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optimal multiple stopping, Levy process, maturity randomization, refraction times, phase-type fitting

7.

Stochastic Modeling and Fair Valuation of Drawdown Insurance

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 25 Posted: 28 Mar 2013 Last Revised: 15 Oct 2013
Hongzhong Zhang, Tim Leung and Olympia Hadjiliadis
Columbia University, University of Washington - Department of Applied Math and CUNY - The Graduate Center
Downloads 85 (361,170)
Citation 2

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drawdown insurance, early cancellation, optimal stopping, default risk

8.

On the Frequency of Drawdowns for Brownian Motion Processes

Journal of Applied Probability, Vol. 52, No. 1, 2015, Forthcoming
Number of pages: 18 Posted: 07 Mar 2014
David Landriault, Bin Li and Hongzhong Zhang
University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science and Columbia University
Downloads 82 (369,047)
Citation 1

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Drawdown; Frequency; Brownian motion

9.

On Magnitude, Asymptotics and Duration of Drawdowns for Levy Models

Bernoulli Volume 23, Number 1 (2017), 432-458, Forthcoming
Number of pages: 24 Posted: 29 Jun 2015 Last Revised: 27 Oct 2016
David Landriault, Bin Li and Hongzhong Zhang
University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science and Columbia University
Downloads 45 (495,812)
Citation 3

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Asymptotics, Drawdown, Duration, Levy process, Magnitude, Parisian stopping time

10.

Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models

The Annals of Applied Probability, Forthcoming
Number of pages: 35 Posted: 14 Jun 2017
Neofytos Rodosthenous and Hongzhong Zhang
Queen Mary, University of London and Columbia University
Downloads 23 (615,451)
Citation 1

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L'evy process, optimal stopping, Omega clock, occupation times, random discount rate, impatience

11.

Game of Singular Stochastic Control and Strategic Exit

Mathematics of Operations Research, 2015, Volume 40, Issue 4, 869 - 887
Number of pages: 35 Posted: 06 Jun 2014 Last Revised: 09 Jan 2019
H. Dharma Kwon and Hongzhong Zhang
University of Illinois at Urbana-Champaign - Gies College of Business and Columbia University
Downloads 13 (687,714)
Citation 2

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singular control and stopping game, Markov perfect equilibrium, diffusion process

12.

When to Sell an Asset Amid Anxiety About Drawdowns

Mathematical Finance, Vol. 30, Issue 4, pp. 1422-1460, 2020
Number of pages: 39 Posted: 07 Oct 2020
Neofytos Rodosthenous and Hongzhong Zhang
Queen Mary, University of London and Columbia University
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drawdown, Lévy process, omega clock, optimal stopping, random discount rate, stop‐loss orders, trailing stops