Hello, this is my research garden.
You could find me at Google Scholar or Research Gate.
Research Interest
Machine Learning; Financial Risk Management; High-frequency Trading; Stochastic Control; Derivatives Pricing...
Publication
J. Yin and H.Y. Wong (2023). Bond portfolio optimization with long-range dependent credits. Journal of Industrial and Management Optimization, 19(10), 7090-7104.
J. Yin and H.Y. Wong (2023). Deep LOB Trading: Half a second please! Expert Systems with Applications, 213, 118899.
J. Yin, B. Han, and H.Y. Wong (2022). COVID-19 and credit risk: A long memory perspective. Insurance: Mathematics and Economics, 104, 15-34.
J. Yin and H.Y. Wong (2022). The relevance of features to limit order book learning. Available at SSRN 4226309.
Conference Presentation
The 11th World Congress of the Bachelier Finance Society (BFS), June 13-17, 2022.
NVIDIA GPU Technology Conference (GTC), March 21-24, 2022.
The 24th International Congress on Insurance: Mathematics and Economics (IME), July 5-9, 2021.