Jump Prediction
Factor Modeling in Jump Prediction
Price discontinuities have market-level and/or firm-level causalities. Cross-sectional co-moving variables, such as jumps, can be constructed as factors.
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Worked in the project as a research assistant in FinStar Lab.
With Prof. Yingying Li (HKUST), Prof. Xinghua Zheng (HKUST), Prof. Yi Ding (UM) and Mr. Ziyi Xu.
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