Oksana Bashchenko

HEC Lausanne

PhD student

CH-1015 Lausanne

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS

287

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Deep Learning, Jumps, and Volatility Bursts

Swiss Finance Institute Research Paper No. 20-10
Number of pages: 25 Posted: 20 Sep 2019 Last Revised: 14 Mar 2020
Oksana Bashchenko and Alexis Marchal
HEC Lausanne and EPFL
Downloads 205 (158,842)
Citation 1

Abstract:

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Jumps, Volatility Burst, High-Frequency Data, Deep Learning, LSTM

2.

Deep Learning for Asset Bubbles Detection

Swiss Finance Institute Research Paper No. 20-08
Number of pages: 27 Posted: 02 Mar 2020 Last Revised: 09 Mar 2020
Oksana Bashchenko and Alexis Marchal
HEC Lausanne and EPFL
Downloads 82 (324,669)

Abstract:

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Bubbles, Strict local martingales, High-frequency data, Deep learning, LSTM