Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Junjie Hu


E-mail: [aincircle] hu-berlin [dot] de

junjie 1

+49 30 2093-5728


Office hours:

Dorotheenstr. 1, room 004
Upon agreement

Postal address:

IRTG 1792
School of Business and Economics
Humboldt-Universität zu Berlin
Unter den Linden 6
10099 Berlin, Germany



2017 - present Ph.D. student in statistics, Humboldt-Universität zu Berlin  
2015- 2017 Master Degree in Finance, Lingnan College, Sun Yat-sen University
2009 - 2013

Bachelor of Biomedical Engineering, SLST, University of Electronic Science and Technology of China







Research Interest

  • 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