Research



Working Paper


  1. Guanhao Feng, Jingyu He and Nicholas G. Polson (2018). Deep Learning for Predicting Asset Returns.

  2. Guanhao Feng and Jingyu He (2018). Factor Investing: Hierarchical Ensemble Learning.


Working in Progress


  1. Bayesian Inference for Polya Inverse Gamma Models, with Chris Glynn, Nicholas Polson and Jianeng Xu.

  2. Deep Learning Particle Filtering, with Nicholas Polson and Yuexi Wang.

  3. Scalable Bayesian Tree-based Models for Supervised Machine Learning, with Saar Yalov, Jared Murray and P. Richard Hahn.


Published


  1. Jingyu He, Saar Yalov and P. Richrad Hahn (2019). XBART: Accelerated Bayesian Additive Regression Trees. The 22nd International Conference on Artificial Intelligence and Statistics (AISTATS). slides, poster, package: XBART.

  2. P. Richrad Hahn, Jingyu He and Hedibert Lopes (2019). Efficient sampling for Gaussian linear regression with arbitrary priors. Journal of Computational and Graphical Statistics 28.1 (2019): 142-154. R package : bayeslm, Demo Script.

  3. P. Richard Hahn, Carlos M. Carvalho, Jingyu He and David Puelz (2018). Regularization and confounding in linear regression for treatment effect estimation. Bayesian Analysis 13 (1), 163-182.

  4. P. Richrad Hahn, Jingyu He and Hedibert Lopes (2018). Bayesian factor model shrinkage for linear IV regression with many instruments. Journal of Business and Economic Statistics 36 (2), 278-287.


Presentations


2019

2019 China International Conference in Finance, Guangzhou.
2019 International Conference on FinTech, Shanghai Jiao Tong University.
NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics, Brown University.
China R Conference, Renmin University.
R in Finance, University of Illinois at Chicago.
Econometrics and Statistics Lunch Seminar, University of Chicago Booth School of Business.

2017

Joint Statistical Meetings, Baltimore.

2016

NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics, Wharton.
International Society of Bayesian Analysis World Meeting, Sardinia, Italy.

Contact

  • Address

    The University of Chicago
    Booth School of Business
    5807 S Woodlawn Ave
    Chicago, IL 60637, USA
  • Email

    jingyu.he@chicagobooth.edu