Deep Learning to Jump

In this short note, we describe a Jump Unit that can be used to fit a step function with a simple neural network. Our motivation comes from quantitative finance problems where discontinuities often appear. Note from Towards Data Science's editors: While we allow independent authors to publish articles in accordance with our rules and guidelines, we do not endorse each author's contribution. You should not rely on an author's works without seeking professional advice. See our Reader Terms for details.