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Now showing items 1 - 15 of 15

  • Optimal Trading with a Trailing Stop

    Leung, Tim   Zhang, Hongzhong  

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  • On the Frequency of Drawdowns for Brownian Motion Processes

    Landriault, David   Li, Bin   Zhang, Hongzhong  

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  • Quickest Detection in Coupled Systems

    Zhang, Hongzhong   Hadjiliadis, Olympia   Sch?fer, Tobias   Poor, H. Vincent  

    This work considers the problem of quickest detection of signals in a coupled system of N sensors, which receive continuous sequential observations from the environment. It is assumed that the signals, which are modeled by general Ito processes, are coupled across sensors, but that their onset times may differ from sensor to sensor. Two main cases are considered: in the first one signal strengths are the same across sensors while in the second one they differ by a constant. The objective is the optimal detection of the first time at which any sensor in the system receives a signal. The problem is formulated as a stochastic optimization problem in which an extended minimal Kullback-Leibler divergence criterion is used as a measure of detection delay, with a constraint on the mean time to the first false alarm. The case in which the sensors employ cumulative sum (CUSUM) strategies is considered, and it is proved that the minimum of N CUSUMs is asymptotically optimal as the mean time to the first false alarm increases without bound. In particular, in the case of equal signal strengths across sensors, it is seen that the difference in detection delay of the N-CUSUM stopping rule and the unknown optimal stopping scheme tends to a constant related to the number of sensors as the mean time to the first false alarm increases without bound. Alternatively, in the case of unequal signal strengths, it is seen that this difference tends to zero.
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  • Robustness of the N-CUSUM stopping rule in a Wiener disorder problem

    Zhang, Hongzhong   Rodosthenous, Neofytos   Hadjiliadis, Olympia  

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  • Game of Singular Stochastic Control and Strategic Exit

    Kwon, H. Dharma   Zhang, Hongzhong  

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  • Stochastic modeling and fair valuation of drawdown insurance

    Zhang, Hongzhong   Leung, Tim   Hadjiliadis, Olympia  

    This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance contract whereby the protection buyer pays a constant premium over time to insure against a drawdown of a pre-specified level. This leads to the analysis of the conditional Laplace transform of the drawdown time, which will serve as the building block for drawdown insurance with early cancellation or drawup contingency. For the cancellable drawdown insurance, we derive the investor’s optimal cancellation timing in terms of a two-sided first passage time of the underlying drawdown process. Our model can also be applied to insure against a drawdown by a defaultable stock. We provide analytic formulas for the fair premium and illustrate the impact of default risk.
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  • Heat Capacity Prediction of Ionic Liquids Based on Quantum Chemistry Descriptors

    Kang, Xuejing   Liu, Xinyan   Li, Jianqing   Zhao, Yongsheng   Zhang, Hongzhong  

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  • Public trust: a comprehensive investigation on perceived media credibility in China

    Zhang, Hongzhong   Zhou, Shuhua   Shen, Bin  

    The purpose of this study is to provide a comprehensive investigation on perceived media credibility in China. In order to assess people's attitudes toward six media formats (television [TV], newspapers, radio, magazines, websites, and mobile devices), a series of surveys were conducted with a random sample of 5807 residents in 10 cities in China. Findings indicated that Chinese respondents perceived TV to be the most credible among all media and that TV was rated as more credible than newspapers. In addition, two official mouthpieces, China Central Television and the People's Daily, were both perceived to be highly credible. But readership in general was a nonfactor in terms of credibility. These findings challenged conventional thinking on media credibility. Implications and directions for future research are discussed.
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  • Fabrication of macroporous titanium dioxide film using PMMA microspheres as template

    Zhang, Hongzhong   Dong, Feng   Fang, Shaoming   Ye, Changming   Wang, Minghua   Cheng, Haijun   Han, Zhouxiang   Zhai, Shengnan  

    A novel synthetic procedure is described for the fabrication of macroporous titanium dioxide (TiO2) films with an ordered, uniform pore framework comprised of nanocrystalline anatase mainly. The synthetic approach involved several processes. First, polymethyl methacrylate (PMMA) microspheres (87 nm) were synthesized by using a dispersion polymerization technique in the presence of Fenton reagent (FeSO4/ H2O2) as a novel initiator, which has advantages such as simple and fast polymerization process without deoxygenation. Next, the templates of PMMA microspheres were assembled on clean substrates by dip-drawing technique. Finally, the macroporous TiO2 films with the average size of pores about 87 nm were obtained by sol-dipping template method and calcination to remove the templates at 550 degrees C. The test results of X-ray diffraction indicate that the nanocrystalline of anatase formed after calcination. The mechanisms of PMMA polymerization and template formation were proposed. Furthermore, both structures and morphologies of the composite films were investigated with field emission scanning electron microscope, and the processes of the thermal decomposition of PMMA and TiO2 gel were also discussed with thermo gravimetric analysis. This ordered and uniform pore framework could be used as the promising ultrafilter membranes showing active photocatalysis without intensive fouling. (C) 2012 Elsevier Inc. All rights reserved.
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  • MATERIAL HAVING ACTIVATED CARBON PRINTED COATING OR LAMINATION AND PREPARATION METHOD THEREFOR

    Provided are a material having an activated carbon printed coating or lamination, the material consisting of 2.5 layers or 3.5 layers, comprising the following steps: performing porous coating or lamination treatment on the reserve side of a base cloth; arranging raw print material for a printed coating; the raw print material comprising: polyurethane, a bridging agent having activated carbon powder, N, N-dimethylformamide, toluene, and methyl ethyl ketone. Also provided is a preparation method for the material having an activated carbon printed coating or lamination. In addition to being light, thin, and soft, the material is also water-proof, moisture-permeable, and rapid to dry, has high color stability, and absorbs moisture.
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  • Effects of 4-chlorophenol toxicity on sludge performance and microbial community in sequencing batch reactors

    Zhao, Jianguo   Li, Yahe   Li, Yu   Yang, Haojie   Hu, Dehuan   Zhang, Hongzhong  

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  • Hierarchical Ag-SiO2@Fe3O4 magnetic composites for elemental mercury removal from non-ferrous metal smelting flue gas

    Ma, Yongpeng   Mu, Bailong   Zhang, Xiaojing   Zhang, Hongzhong   Xu, Haomiao   Qu, Zan   Gao, Li  

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  • P-type Co3O4 nanoarrays decorated on the surface of n-type flower-like WO3 nanosheets for high-performance gas sensing

    Gui, Yanghai   Yang, Lele   Tian, Kuan   Zhang, Hongzhong   Fang, Shaoming  

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  • Comparisons of nitrogen removal and the microbial communities in Anammox systems upon addition of copper-based nanoparticles and copper ion

    Zhang, Xiaojing   Chen, Zhao   Zhou, Yue   Ma, Yongpeng   Zhang, Hongzhong   Zhou, Liming   Fang, Shaoming  

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  • [IEEE 2012 IEEE 51st Annual Conference on Decision and Control (CDC) - Maui, HI, USA (2012.12.10-2012.12.13)] 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) - Quickest detection in a system with correlated noise

    Zhang, Hongzhong   Hadjiliadis, Olympia  

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