most citedStochastic volatility modeling of high-frequency CSI 300 index and dynamic jump prediction driven by machine learning

5 citations · 8 across the 4 of their papers we have counts for

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q-fin.ST2022★ 5 cited

Stochastic volatility modeling of high-frequency CSI 300 index and dynamic jump prediction driven by machine learning

Xianfei Hui, Baiqing Sun, Indranil SenGupta +2

This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. I…