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

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

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. In the new generalized Barndorff-Nielsen and Shephard model, the lag caused by asynchrony of market information a...

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Bibliographic Details
Main Authors: Xianfei Hui, Baiqing Sun, Indranil SenGupta, Yan Zhou, Hui Jiang
Format: Article
Language:English
Published: AIMS Press 2023-01-01
Series:Electronic Research Archive
Subjects:
stochastic volatility modeling
jump
lévy process
high-frequency data
machine learning and deep learning
Online Access:https://www.aimspress.com/article/doi/10.3934/era.2023070?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/era.2023070?viewType=HTML

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