Hongzhong Zhang

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 26,541

SSRN RANKINGS

Top 26,541

in Total Papers Downloads

1,719

CITATIONS
Rank 37,776

SSRN RANKINGS

Top 37,776

in Total Papers Citations

9

Scholarly Papers (11)

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 515 (52,625)

Abstract:

Loading...

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

Intraday Market Making with Overnight Inventory Costs

Number of pages: 48 Posted: 29 Sep 2016 Last Revised: 25 Mar 2019
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 371 (77,694)
Citation 1

Abstract:

Loading...

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: 50 Posted: 25 Oct 2016
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 107 (251,335)

Abstract:

Loading...

market microstructure, market liquidity, high-frequency trading, 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, Federal Reserve Bank of New York and Columbia University
Downloads 0
  • Add to Cart

Abstract:

Loading...

Financial Intermediation, market liquidity, market making, Market microstructure theory

3.

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 176 (168,374)
Citation 3

Abstract:

Loading...

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

4.

Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply

Number of pages: 56 Posted: 06 Feb 2019 Last Revised: 13 Mar 2019
Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang
Columbia University, VU Amsterdam and Columbia University
Downloads 166 (177,242)

Abstract:

Loading...

large orders, market making, liquidity supply, liquidity demand

5.

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 140 (204,156)
Citation 3

Abstract:

Loading...

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

6.

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 77 (308,131)
Citation 6

Abstract:

Loading...

Drawdown; Frequency; Brownian motion

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 57 (361,095)
Citation 6

Abstract:

Loading...

drawdown insurance, early cancellation, optimal stopping, default risk

8.

Central Clearing and the Sizing of Default Funds

Number of pages: 59 Posted: 03 Dec 2018 Last Revised: 26 Apr 2019
Agostino Capponi, Jessie Jiaxu Wang and Hongzhong Zhang
Columbia University, Arizona State University (ASU) - W.P. Carey School of Business and Columbia University
Downloads 49 (386,647)

Abstract:

Loading...

Central counterparties (CCPs), default funds, loss mutualization, externality, financial stability

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 42 (411,501)
Citation 4

Abstract:

Loading...

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 17 (532,363)
Citation 2

Abstract:

Loading...

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 2 (630,635)

Abstract:

Loading...

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