Jump Prediction

Jump Prediction by Factor Modeling Using High-freuqency Intraday Data

Price discontinuities have market-level and/or firm-level causalities. Cross-sectional co-moving variables, such as jumps, can be constructed as factors.

Worked with Prof. Yingying Li (HKUST), Prof. Xinghua Zheng (HKUST), Prof. Yi Ding (UM) and Mr. Ziyi Xu.