no code implementations • 27 Apr 2022 • Xianfei Hui, Baiqing Sun, Hui Jiang, Yan Zhou
The problem related to predicting dynamic volatility in financial market plays a crucial role in many contexts.
no code implementations • 6 Apr 2022 • Xianfei Hui, Baiqing Sun, Indranil SenGupta, Yan Zhou, Hui Jiang
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.
no code implementations • 22 Jan 2021 • Xianfei Hui, Baiqing Sun, Hui Jiang, Indranil SenGupta
In this paper we implement a combination of data-science and fuzzy theory to improve the classical Barndorff-Nielsen and Shephard model, and implement this to analyze the S&P 500 index.