2 citations · 2 across the 1 of their papers we have counts for
6 papers
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…
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…
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…
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…