ABSTRACT
We present dingo, a Python package that supports a variety of methods to sample from the flux space of metabolic models, based on state-of-the-art random walks and rounding methods. For uniform sampling, dingo's sampling methods provide significant speed-ups and outperform existing software. Indicatively, dingo can sample from the flux space of the largest metabolic model up to now (Recon3D) in less than a day using a personal computer, under several statistical guarantees; this computation is out of reach for other similar software. In addition, dingo supports common analysis methods, such as flux balance analysis and flux variability analysis, and visualization components. dingo contributes to the arsenal of tools in metabolic modelling by enabling flux sampling in high dimensions (in the order of thousands). Availability and implementation: The dingo Python library is available in GitHub at https://github.com/GeomScale/dingo and the data underlying this article are available in https://doi.org/10.5281/zenodo.10423335.
ABSTRACT
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. Based on this viewpoint, we survey certain state-of-the-art tools from geometric and statistical computing to handle important and difficult problems in digital finance. Although our tools are quite general, in this paper, we focus on two specific questions. The first concerns crisis detection, which is of prime interest for the public in general and for policy makers in particular because of the significant impact that crises have on the economy. Certain features in stock markets lead to this type of anomaly detection: Given the assets' returns, we describe the relationship between portfolios' return and volatility by means of a copula, without making any assumption on investors' strategies. We examine a recent method relying on copulae to construct an appropriate indicator that allows us to automate crisis detection. On real data the indicator detects all past crashes in the cryptocurrency market and from the DJ600-Europe index, from 1990 to 2008, the indicator identifies correctly 4 crises and issues one false positive for which we offer an explanation. Our second contribution is to introduce an original computational framework to model asset allocation strategies, which is of independent interest for digital finance and its applications. Our approach addresses the crucial question of evaluating portfolio management, and is relevant the individual managers as well as financial institutions. To evaluate portfolio performance, we provide a new portfolio score, based on the aforementioned framework and concepts. In particular, it relies on statistical properties of portfolios, and we show how they can be computed efficiently.
