Research Areas

Machine Learning, Tree Ensembles, Deep Learning, Bayesian Statistics, Empirical Asset Pricing.


    * indicates alphabetical order.

  1. Guanhao Feng and Jingyu He* (2018). Factor Investing: Hierarchical Ensemble Learning. Under revision at Journal of Econometrics.

  2. Christopher Glynn, Jingyu He*, Nicholas Polson and Jianeng Xu (2019). Bayesian Inference for Polya Inverse Gamma Models. Submitted to Journal of the Royal Statistical Society, B.

  3. Guanhao Feng, Jingyu He* and Nicholas G. Polson (2018). Deep Learning for Predicting Asset Returns. Working paper.

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

  5. P. Richard 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.

  6. 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.

  7. P. Richard 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.

Working in Progress

  1. Hierarchical Mixture Models with Elliptical Slice Sampling, with Sanjog Misra and Peter Rossi.

  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.


Journal of Econometrics.



2020 ICSA 2020 Applied Statistics Symposium, Houston.


Arizona State University.
2019 China International Conference in Finance, Guangzhou.
2019 Asia Meeting of the Econometric Society (2019 AMES), Xiamen.
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.


Joint Statistical Meetings, Baltimore.


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