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.

---
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.
---