Posts by Collection

portfolio

A Parsimonious Stochastic Simulation for LOB Dynamics

We are committed to draw predictions of the midprice of BTC based on half-day data. There are many statistical methods for features engineering and draw predictions based on the extracted factors, while, it performs poorly for longer period prediction. In this project, we put forward both basic statistical methods and stochastic methods, and make comparison between them. Our stochastic approach based on Cox Process is much more robust for longer period prediction and is simple to implement.

Analysis towards the EU ETS markets and related commodities, Part A - Mechanism, Statistical Insights and Pricing

This report would cover the mechanism of Emission Allowance, based onwhich we would propose correlation analysis of EU ETS with other derivatives or commodities in energy markets. We further propose the pricing theory of EU ETS to predict the price dynamics. The seasonality analysis is undergone as part of price dynamics analysis.

Analysis towards the EU ETS markets and related commodities, Part B - Time Lag, Correlation and Trading Strategy

This work goes deeper in the correlation between fuels and the EU ETS price. We discovered time lag behavior, specific correlation between different commodities with the EU ETS price and based on this, we could come up a strategy to trade. We did many adjustments in order to get hold of such correlation.

Analysis towards the EU ETS markets and related commodities, Coding and Simulation Part: Pricing and Prediction based on equilibrium Fuel Switching Price

This work is inspired by the work of Rene Carmona et al, SIAM J. Control Optim., Vol. 48, No. 4, pp. 2168-2190. We tried to simplify the framework and fit it to the real trading scenario. The codes are efficient and results match the mechanism in reality.

Introductory work on Spectral Theory

Operators have their spectrum. The spectrum reveals critical features of the dynamics, such as frequency and energy. This project combines theories with practical implementation with regards to the spectral theory. This could be extended to the stochastic world, to describe the characteristics of random systems, such as stocks, with high efficiency.

Signature Method in Analysis and Prediction of Stock Price

We consider the potentials of signature method for predicting and analysing the stock price. We considered its computational efficiency and usage under complicated scenarios. Moreover, this work casts more in-depth ideas that reveals fundamentals of signature method.

Analysis of Tick Data for High Frequency Trading

This is an interesting test from Itarle. Here is my attempt, where we are concerned about the statistics, and round effect. In this trail, I compared the difference of mean and median, and also created measurement for different purposes. The work is based on C++

publications

The Conduction Mechanism Explanation Under Co-existence of Cu Atom and Oxygen Vacancy in Zinc Oxide Based RRAM by Markov Random Field Simulatiom

Published in , 2020

Submitted to Journal of Applied Physics D: Applied Physics, Under Revision

Recommended citation: Junjie Hu, Kuan Yang* (co-first), Junhao Chen et al

Anatomy of high-uniform unidirectional volatile switching behavior in SiO2/TiO2-based selection device

Published in Materials Today Advances, 2021

This paper works on the device physics features of a two-terminal device with volatile resistive swithing behavior. These features are of critical importance in neuromorphic computing. I introduced a stochastic model in order to simulate this behavior.

Recommended citation: Liping FU, Kuan YANG, Xiaoping GAO et al

Anatomy of Resistive Switching Behavior in Titanium Oxide Based RRAM Device

Published in Materials Science in Semiconductor Processing, 2022

This paper proposes a systematic framework to simulate the large interacting particle system in semiconductor. Based on a classic drift-diffusion model, we simulate the evolution within the device. We also relate such dynamics to the physic and electrical behavior of the device

Recommended citation: Kuan Yang, Liping Fu, Junhao Chen et al

talks

Analysis on the Morphology of Conductive Filament and Resistive Switching Behavior of RRAM by Markov Random Field Simulation

Submitted to November 07, 2020

I presented some experimental discoveries along with the explanation we proposed. Some novel methods for simulation were presented and discussed as well.

Kuan Yang