20 citations · 49 across the 11 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
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…