Petter Kolm
Petter N. Kolm is a professor of finance and director of the Mathematics in Finance program at the Courant Institute of Mathematical Sciences, New York University, working on quantitative portfolio management and machine learning in finance. He co-authored Nystrup Kolm Lindström 2021 (the sparse statistical jump model), Cortese Kolm Lindström 2023 (its cryptocurrency application) and Aydınhan Kolm Mulvey Shu 2024 (the continuous jump model). He appears in this vault as the connective author across the Statistical Jump Model research network — his co-authorship links the Nystrup/Lund strand to the Princeton/Mulvey strand, which is why the JM literature is not yet a fully independent multi-group replication.
Connections
- Statistical Jump Model — proposes_model, source: https://doi.org/10.1016/j.eswa.2021.115558
- Nystrup Kolm Lindström 2021 — proposes_model, source: https://doi.org/10.1016/j.eswa.2021.115558
- Cortese Kolm Lindström 2023 — proposes_model, source: https://doi.org/10.1007/s42521-023-00085-x
- Aydınhan Kolm Mulvey Shu 2024 — proposes_model, source: https://doi.org/10.1007/s10479-024-06035-z
- Peter Nystrup — relates, source: https://doi.org/10.1016/j.eswa.2021.115558