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Yichen Ji's Projects

bayesian-computation-methods icon bayesian-computation-methods

Markov Chain Monte Carlo(MCMC), Approximate Bayesian Computation(ABC), Bayesian Synthetic Likelihood(BSL), Variational Inference(VI)

multifactor icon multifactor

A factor-based investment strategy project in the Chinese A-share market

replicationcrisis icon replicationcrisis

Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2022)

survey_portfolioselection icon survey_portfolioselection

Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining, etc. This article aims to provide a comprehensive survey and a structural understanding of published online portfolio selection techniques.

torchsde icon torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

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