Hongzhong Zhang

Columbia University

3022 Broadway

New York, NY 10027

United States

  • Columbia University

SCHOLARLY PAPERS

11

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46

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20

Scholarly Papers (11)

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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 1,427 (26,923)
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

Forthcoming Review of Finance
Number of pages: 56 Posted: 06 Feb 2019 Last Revised: 20 May 2024
Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang
Columbia University - Department of Industrial Engineering and Operations Research, Vrije Universiteit Amsterdam and Columbia University
Downloads 1,333 (29,808)
Citation 4

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

3.

Intraday Market Making with Overnight Inventory Costs

Downloads 734 (68,486)
Citation 8

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
Tobias Adrian, Agostino Capponi, Michael J. Fleming, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University - Department of Industrial Engineering and Operations Research, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 572 (92,826)
Citation 1

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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
Tobias Adrian, Agostino Capponi, Michael J. Fleming, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University - Department of Industrial Engineering and Operations Research, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 161 (354,956)
Citation 8

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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 - Department of Industrial Engineering and Operations Research, Citadel LLC and Columbia University
Downloads 1 (1,253,701)
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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
Board of Governors of the Federal Reserve System, Columbia University - Department of Industrial Engineering and Operations Research and Columbia University
Downloads 429 (132,975)
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 245 (241,811)
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 199 (294,244)
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 145 (386,825)
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 122 (442,403)
Citation 1

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Drawdown; Frequency; Brownian motion

9.

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 76 (604,762)
Citation 1

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

10.

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 69 (637,247)
Citation 2

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

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 41 (802,455)
Citation 6

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