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

5 citations · 5 across the 3 of their papers we have counts for

collaborators
Showing q-fin.STShow all

1 paper · 1 filter

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…