Non‐stationary Structure in High‐frequency Market

Last updated on Nov 14, 2021

Purpose

Identify the non‐stationary correlation structure and volatility in cryptomarket and Forecast the asset price.

Method

  • Model based: (near)Unit‐root asymptotical inference
  • Machine Learning: Neural Network time series prediction
    • RNN-LSTM

Role

Solo research and project. Managed at github.com/monchewharry/Crypto_Forecasting_kaggle.

Non-stationary Crypto Market Asset Pricing High-Frequency Neural Network Prediction
Dingxian Cao
Dingxian Cao
Ph.D. Candidate in Econometrics

My research interests include High-dimensional Non-asymptotics and Uniform analysis of possible persistent Panel AR(1) model.