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Jump detection tests in financial time series ? a deep learning approach
In most financial market models, the asset price is driven by continuous Brownian motion. An additional complexity to such a model is the inclusion of a discontinuous jump process. Jumps are theorised to be rare, sudden, and thought to be the result of the market reacting to new information. Jump te...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2024
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