Machine Learning, Tree Ensembles, Bayesian Statistics, Empirical Asset Pricing.
- Lin William Cong, Guanhao Feng, Jingyu He and Junye Li (2022). Uncommon Factors for Bayesian Asset Clusters. SSRN.
- Lin William Cong, Guanhao Feng, Jingyu He and Xin He (2022). Asset Pricing with Panel Trees Under Global Split Criteria. SSRN.
2022 INQUIRE Europe Research Award.
- Meijia Wang, Jingyu He and P. Richard Hahn (2022). Local Gaussian process extrapolation for BART models with applications to causal inference.
- Guanhao Feng, Jingyu He, Nicholas Polson and Jianeng Xu (2022). Deep Learning in Characteristics-Sorted Factor Models. Invited Revision, Journal of Financial and Quantitative Analysis.
- Jingyu He, Nicholas Polson and Jianeng Xu (2021). Data Augmentation with Polya Inverse Gamma. Invited revision, Journal of Computational and Graphical Statistics.
- Nikolay Krantsevich, Jingyu He and P. Richard Hahn (2021). Stochastic Tree Ensembles for Estimating Heterogeneous Effects.
- Guanhao Feng, Jingyu He and Nicholas Polson (2019). Deep Learning for Predicting Asset Returns.
- PI, “Regression Tree for Portfolio Optimization and Imbalanced Data.” Hong Kong Research Grants Council, General Research Fund, 01/2023-12/2025.
- INQUIRE Europe Research Grant, 2022.
- PI, “XBART, a novel tree-based machine learning framework for regression, classification and treatment effect estimation.” Hong Kong Research Grants Council, Early Career Scheme, 01/2022-12/2023.
- Co-I, Financial Systemic Risk Measures based on Monte Carlo Simulation: Theory and Methods. National Natural Science Foundation of China & Hong Kong Research Grants Council, NSFC/RGC Joint Research Scheme, 01/2022-12/2025.
- PI, Elliptical Slice Sampler for Hierarchical Models in Marketing, City University of Hong Kong, Start-up Grant, 10/2021-10/2023.