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Posts
Draw A Christmas Tree
Submitted to
Here’s a very simple Christmas Tree Drawn by R
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
I presented some experimental discoveries along with the explanation we proposed. Some novel methods for simulation were presented and discussed as well.
Eigenvalue problems on manifold and changes of mesh
Submitted to
We discussed eigenvalue problem on manifolds, in particular the computation and the mesh generation.
A comprehensive stochastic modeling for the effect of Cu ions and Oxygen Vacancies in Cu/ZnO/Pt RRAM
Submitted to
The talk focus on the co-existence of copper atoms / ions and oxygen vacancies in the conduction of Cu/ZnO/Pt RRAM.
Stochastic Control in Market Making
Submitted to
Discuss a formulated stochastic control problem in Market making world.