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