2 papers
cs.CG2021
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…
q-fin.PM2020
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…