2.3k citations · 2.7k across the 51 of their papers we have counts for
7 papers · 1 filter
Network effects in default clustering for large systems
Konstantinos Spiliopoulos, Jia Yang
We consider a large collection of dynamically interacting components defined on a weighted directed graph determining the impact of default of one component to another one. We prov…
Information geometry for approximate Bayesian computation
Konstantinos Spiliopoulos
The goal of this paper is to explore the basic Approximate Bayesian Computation (ABC) algorithm via the lens of information theory. ABC is a widely used algorithm in cases where th…
Mean Field Analysis of Neural Networks: A Central Limit Theorem
Justin Sirignano, Konstantinos Spiliopoulos
We rigorously prove a central limit theorem for neural network models with a single hidden layer. The central limit theorem is proven in the asymptotic regime of simultaneously (A)…
Importance sampling for slow-fast diffusions based on moderate deviations
Matthew R. Morse, Konstantinos Spiliopoulos
We consider systems of slow--fast diffusions with small noise in the slow component. We construct provably logarithmic asymptotically optimal importance schemes for the estimation…
Mean Field Analysis of Neural Networks: A Law of Large Numbers
Justin Sirignano, Konstantinos Spiliopoulos
Machine learning, and in particular neural network models, have revolutionized fields such as image, text, and speech recognition. Today, many important real-world applications in…
Optimal Investment, Demand and Arbitrage under Price Impact
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price im…
Pathwise moderate deviations for option pricing
Antoine Jacquier, Konstantinos Spiliopoulos
We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows…