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

Hui, Xianfei, Sun, Baiqing, SenGupta, Indranil et al. (2023). Stochastic volatility modeling of high-frequency CSI 300 index and dynamic jump prediction driven by machine learning . ELECTRONIC RESEARCH ARCHIVE, 31(3), 1365-1386. 10.3934/era.2023070

Open Access International Collaboration

cited authors

  • Hui, Xianfei; Sun, Baiqing; SenGupta, Indranil; Zhou, Yan; Jiang, Hui

sustainable development goals

authors

publication date

  • January 1, 2023

published in

keywords

  • Le?vy process
  • Mathematics
  • Physical Sciences
  • Science & Technology
  • high-frequency data
  • jump
  • machine learning and deep learning
  • stochastic volatility modeling

Digital Object Identifier (DOI)

start page

  • 1365

end page

  • 1386

volume

  • 31

issue

  • 3