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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.

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

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

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