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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Junjie Hu

Contact

  • E-mail:

    hujunjie [a-in-circle] hu-berlin [dot] de

    Phone:

    +49 30 2093-99499

    Office:

    Office hours:

    DOR1, Room 110

    upon agreement

    Postal address:

    IRTG 1792

    School of Business and Economics

    Humboldt University Berlin
    Unter den Linden 6
    10099 Berlin, Germany

Education

  • 2017 - present: Ph.D. student in statistics, School of Business and Economics
  • 2015 - 2017: Master Degree in Finance, Lingnan College, Sun Yat-sen University, China
  • 2009 - 2013: Bachelor in Engineering, SLST, University of Electronic Science and Technology of China, China

 

Research interests

  • Volatility and Jumps Modeling on Financial Markets
  • Applied Machine Learning Methods (Neural Networks, NLP techniques)
  • High-Dimensional Time Series Forecasting
  • Equity Asset Portfolio Management

 

Working Papers

  • Risk of Bitcoin Market: Volatility, Jumps, and Forecasts, with W. Kuo, W. Härdle
  • Electricity Consumption Optimizing - A Clustering Trading Strategy, with A. Melzer, B. López Cabrera

 

Working Projects

  • Parallel massive online data collection
  • Database management

 

Academic Presentations

  • Selected Topics in Machine Learning (Decision Tree, Bagging, SVM, Neural Network, LSTM), Fin-Tech, HO2020 project, Copenhagen, Denmark

  • Realized Cryptocurrencies Volatility Forecasting with Threshold Jumps, MathFinance Conference 2019, Frankfurt, Germany

  • Realized Volatility Forecasting of Cryptocurrencies, Rumble in the Jungle 2018, Buckow, Germany

  • Quantlet Clustering, presented with M. Sterling, Summer Camp 2018, Buckow, Germany

  • Applied Natural Language Processing on Financial Market, Central Workshop 2018: "Machine Learning in Economics", Berlin, Germany

  • Electricity Consumption Optimizing Based on Time Series Forecasting, Energy Finance Workshop 2018, Stolberg, Germany

  • Influence of News on Stock Social Media, Haindorf Seminar 2018, Hejnice, Czech Republic

 

Teaching

  • Teaching Assistant, Statistics of Financial Markets I WS2019

  • Teaching Assistant, Digital Economy & Decision Analytics WS2019

  • Teaching Assistant, Digital Economy & Decision Analytics WS2017