Projects

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Detecting anomalies in the VAT network

Developing tools to identify abnormal data events (and fraudulent behaviour) in the VAT transactions network.

Forecasting with large macroeconomic and financial datasets

Improving the ability of widely used economic forecasting models to deal with volatile changes such as those caused by financial …

Poisson processes for identity systems and cyber security

Contributing to the analysis of event sequence data through a novel mechanistic modelling framework for marked spatiotemporal point …

Reinforcement learning in economics

Using Reinforcement learning techniques together with modern experimentation strategies to model dynamic optimisation problems as faced …

Reservoir Computing for Macroeconomic Modelling

The project contributes to the existing research on finance-macro linkages by investigating whether new techniques in …

Supervision

Post-doctoral students

  • Aristeidis Panos (jointly with Ioannis Kosmidis) 2020-2021
  • Angelos Alexopoulos 2019
  • Anastasios Plataniotis 2013-2015
  • Athanassios Petralias 2013
  • Ioannis Dendramis 2013
  • Loukia Meligotsidou 2007-2008
  • Michalis Papathomas 2004-2006
  • Ioulia Papageorgiou 2002-2003
  • Leonardo Bottolo 2002
  • Luigi Spezia 2001
  • Nial Friel 2000
  • Claudia Tarantola 1999
  • Stefano Tonellato 1998

PhD students

  • Jeremy Sellier – “Modelling Poisson processes”, current, UCL
  • Marta Grzeskiewicz – “Policy search via multitask Gaussian processes and reinforcement learning”, current, UCL
  • William Greenall – “Economic Modelling Applications of Reinforcement Learning Techniques”, current, UCL
  • Jacopo Thomas Capra – “Portfolio construction with macro views”, current, UCL
  • Marcel Hirt – “Price impact in high frequency markets”, current, UCL
  • Zhongzhen Wang – “Tensor factorisations for event sequence forecasting” (jointly supervised with Ioannis Kosmidis ), current, UCL
  • Santhosh Narayanan – “Point processes for sports modelling” (jointly supervised with Ioannis Kosmidis ), 2020
  • Fiori Labrinakou – “Modelling of High frequency trading”, current,AUEB
  • Aris Panos – “Extreme multi-label learning with Gaussian processes”, 2019
  • Angelos Alexopoulos – “Bayesian modelling of high dimensional financial data using latent Gaussian models”, 2017
  • Zoe Tsourti – “Issues of Markov Chain Monte Carlo”, 2012
  • Athanassios Petralias – “Bayesian Model Determination and Nonlinear Threshold Volatility Models”, 2011
  • Anastasios Plataniotis – “Multivariate Stochastic Volatility Models”, 2011
  • Konstantinos Kalogeropoulos – “Bayesian Inference for Multidimensional Diffusion Processes”, 2007 Savage Award
  • Stefanos Giakoumatos – “Auxiliary Variable Sampling for Some Time-Varying Volatility Models”, 2004
  • Michalis Linardakis – “Extensions of Latent Variable Models with Applications on Econometric and Educational Models”, 2004
  • Ioannis Vrontos – “MCMC Applications in Time-Varying Volatility Models”, 2001
  • Ioannis Ntzoufras – “Aspects of Bayesian Model and Variable Selection Using MCMC”, 1999

Greek Stochastics group

Greek Stochastics α: Monte Carlo: Probability and Methods (2009)

Greek Stochastics β: Interaction between Biology and Probabilistic/Statistical Theory and Methods (2010)

Greek Stochastics γ : Markov Chain Monte Carlo methods (2011)

Greek Stochastics δ : Inference for Dynamical Systems (2012)

Greek Stochastics ε : Jump processes: probability, statistical inference and financial modelling (2013)

Greek Stochastics ζ: Networks: Theory, Methods and Applications (2014)

Greek Stochastics η : Sequential and On-line Learning (2015)

Greek Stochastics θ : Big Data and Models (2016)

Greek Stochastics ι : Model determination (2017)

Greek Stochastics κ : Statistical Learning (2018)

Greek Stochastics λ : Stochastic processes and computation (2019)

Thales and Friends

I am a co-founder – together with the writer Apostolos Doxiadis and the school teacher and writer Tefcros Michaelides of the not-for-profit organisation Thales and Friends. For the very active Greek site see the Greek language version. Thales + Friends works to bridge the chasm between mathematics and other forms of cultural activity. To achieve its aims, Thales + Friends works to create opportunities for interdisciplinary research and communication, through lectures, discussions, publications, and reading groups. Some international activities include:

Some of my public lectures about probability and statistics (in Greek) are here:

Contact