2 papers
q-fin.ST2020
Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis
Ao Kong, Robert Azencott, Hongliang Zhu +1
Studying the micro-trading behaviors before stock price jumps is an important problem for financial regulations and investment decisions. In this study, we provide a new framework…
q-fin.TR2019
Predicting intraday jumps in stock prices using liquidity measures and technical indicators
Ao Kong, Hongliang Zhu, Robert Azencott
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, rele…