20 citations · 49 across the 11 of their papers we have counts for
13 papers
Randomized Control in Performance Analysis and Empirical Asset Pricing
Cyril Bachelard, Apostolos Chalkis, Vissarion Fisikopoulos +1
The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class o…
QUBO Dual Bounds via SDP Plane Projection Method
Apostolos Chalkis, Thomas Kleinert, Boro Sofranac
In this paper, we present a new method to solve a certain type of Semidefinite Programming (SDP) problems. These types of SDPs naturally arise in the Quadratic Convex Reformulation…
Randomized geometric tools for anomaly detection in stock markets
Cyril Bachelard, Apostolos Chalkis, Vissarion Fisikopoulos +1
We propose novel randomized geometric tools to detect low-volatility anomalies in stock markets; a principal problem in financial economics. Our modeling of the (detection) problem…
On the Error of Random Sampling: Uniformly Distributed Random Points on Parametric Curves
Apostolos Chalkis, Christina Katsamaki, Josué Tonelli-Cueto
Given a parametric polynomial curve , how can we sample a random point in such a way that it is distributed unifor…
The cross-sectional distribution of portfolio returns and applications
Ludovic Calès, Apostolos Chalkis, Ioannis Z. Emiris
This paper aims to develop new mathematical and computational tools for modeling the distribution of portfolio returns across portfolios. We establish relevant mathematical formula…
Modeling of crisis periods in stock markets
Apostolos Chalkis, Emmanouil Christoforou, Theodore Dalamagkas +1
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a s…
Truncated Log-concave Sampling with Reflective Hamiltonian Monte Carlo
Apostolos Chalkis, Vissarion Fisikopoulos, Marios Papachristou +1
We introduce Reflective Hamiltonian Monte Carlo (ReHMC), an HMC-based algorithm, to sample from a log-concave distribution restricted to a convex body. We prove that, starting from…
Geometric algorithms for sampling the flux space of metabolic networks
Apostolos Chalkis, Vissarion Fisikopoulos, Elias Tsigaridas +1
Systems Biology is a fundamental field and paradigm that introduces a new era in Biology. The crux of its functionality and usefulness relies on metabolic networks that model the r…
Modeling asset allocation strategies and a new portfolio performance score
Apostolos Chalkis, Emmanouil Christoforou, Ioannis Z. Emiris +1
We discuss and extend a powerful, geometric framework to represent the set of portfolios, which identifies the space of asset allocations with the points lying in a convex polytope…
Efficient Sampling from Feasible Sets of SDPs and Volume Approximation
Apostolos Chalkis, Ioannis Emiris, Vissarion Fisikopoulos +2
We present algorithmic, complexity, and implementation results on the problem of sampling points from a spectrahedron, that is the feasible region of a semidefinite program. Our ma…
Volesti: Volume Approximation and Sampling for Convex Polytopes in R
Apostolos Chalkis, Vissarion Fisikopoulos
Sampling from high dimensional distributions and volume approximation of convex bodies are fundamental operations that appear in optimization, finance, engineering, artificial inte…
A practical algorithm for volume estimation based on billiard trajectories and simulated annealing
Apostolos Chalkis, Ioannis Z. Emiris, Vissarion Fisikopoulos
We tackle the problem of efficiently approximating the volume of convex polytopes, when these are given in three different representations: H-polytopes, which have been studied ext…
Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises
Ludovic Cales, Apostolos Chalkis, Ioannis Z. Emiris +1
We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and ano…