We introduce QuantTree Exponentially Weighted Moving Average (QT-EWMA), a novel change-detection algorithm for multivariate datastreams that can operate in nonparametric and online manner. QT-EWMA be configured to yield target Run Length (ARL\(_0\)), thus controlling the expected time before false alarm. Control over alarms has many practical implications is rarely guaranteed by algorithms moni...

Process control is widely discussed in the manufacturing process, especially semiconductor manufacturing. Due to unavoidable disturbances manufacturing, different process controllers are proposed realize variation reduction. Since Reinforcement Learning (RL) has shown great advantages learning actions from interactions with a dynamic system, we introduce RL methods for and propose new controlle...

When using derivative instruments such as futures in order to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge ratio, which can be estimated by regressing the spot market return on the futures market return u...