Associate Professor Contact Information Dr. He's research interests include machine learning in finance, empirical asset pricing, and Bayesian statistics. His research work has appeared in leading statistics, finance and econometrics journals. PI: "Are asset pricing models sparse?", HKRGC - General Research Fund , (2025-2027) , Jingyu He, Doron Avramov PI: "Regression Tree for Portfolio Optimization and Imbalanced Data", General Research Fund - HKRGC , (2023-2025) , Jingyu He, Xin He, Guanhao Feng PI: "What Stocks are Predictable by Machine Learning? Find Heterogenity of Stocks by Firm Characteristics", Strategic Research Grant - City University of Hong Kong , (2023-2025) , Jingyu He "Financial Systemic Risk Measures based on Monte Carlo Simulation: Theory and Methods", NSFC/RGC Joint Research Scheme - NSFC/RGC , (2022-2025) , Jeff Hong, Guangwu Liu, Zhi Chen, Jingyu He PI: "XBART: A Novel Tree-Based Machine Learning Framework for Regression, Classification and Treatment Effect Estimation", Early Career Scheme - HKRGC , (2022-2023) , Jingyu He PI: "Elliptical Slice Sampler for Hierarchical Models in Marketing", Start-Up Grant - City University of Hong Kong , (2021-2023) , Jingyu He Bie, Siyu; Feng, Guanhao; Guo, Naixin; He, Jingyu / Can news predict firm bankruptcy? . June 2026; In: Journal of Financial Markets. Vol. 79 丛林; 冯冠豪; 何靖宇; 何欣 / 面板树拓展有效前沿 . October 2025; In: 清华金融评论. Vol. 2025, No. 10 (总第 143 期), pp. 99-100 Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin / Growing the efficient frontier on panel trees . May 2025; In: Journal of Financial Economics. Vol. 167 Paul, Erina; He, Jingyu; Mallick, Himel / Accelerated Bayesian Reciprocal LASSO . 2025; In: Communications in Statistics: Simulation and Computation. Vol. 54, No. 4, pp. 1175–1191 Feng, Guanhao; He, Jingyu; Polson, Nick G.; Xu, Jianeng / Deep Learning in Characteristics-Sorted Factor Models . November 2024; In: Journal of Financial and Quantitative Analysis. Vol. 59, No. 7, pp. 3001-3036 Wang, Meijia; He, Jingyu; Hahn, P. Richard / Local Gaussian process extrapolation for BART models with applications to causal inference . 2024; In: Journal of Computational and Graphical Statistics. Vol. 33, No. 2, pp. 724-735

He, Jingyu; Hahn, P. Richard / Stochastic tree ensembles for regularized nonlinear regression . March 2023; In: Journal of the American Statistical Association. Vol. 118, No. 541, pp. 551–570 Feng, Guanhao; He, Jingyu / Factor investing: A Bayesian hierarchical approach . September 2022; In: Journal of Econometrics. Vol. 230, No. 1, pp. 183-200 Hahn, P. Richard; He, Jingyu; Lopes, Hedibert F. / Efficient Sampling for Gaussian Linear Regression With Arbitrary Priors . 2019; In: Journal of Computational and Graphical Statistics. Vol. 28, No. 1, pp. 142-154 Hahn, P. Richard; He, Jingyu; Lopes, Hedibert / Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments . April 2018; In: Journal of Business and Economic Statistics. Vol. 36, No. 2, pp. 278-287 Hahn, P. Richard; Carvalho, Carlos M.; Puelz, David; He, Jingyu / Regularization and Confounding in Linear Regression for Treatment Effect Estimation . 2018; In: Bayesian Analysis. Vol. 13, No. 1, pp. 163-182 Feng, Guanhao; He, Jingyu; Wang, Yirou; Xiao, Shuhua / Active Mutual Fund Co-Holdings and the Buy-Side Peer Network . June 2026; Bie, Siyu; Feng, Guanhao; Guo, Naixin; He, Jingyu / One News, Two Markets: LLM-Derived Sentiment and Trading Volume . December 2025; Feng, Guanhao; He, Jingyu; Ma, Jianxin; Robotti, Cesare / Growing Mimicking Portfolios: Estimating Nontraded Factor Risk Premia . November 2025; Avramov, Doron; Feng, Guanhao; He, Jingyu; Xiao, Shuhua / Schrödinger's Sparsity in the Cross Section of Stock Returns . July 2025; Chib, Siddhartha; Feng, Guanhao; He, Jingyu; Zhang, Qianshu / Beyond Beta Pricing: SDF Selection from Euler-Restricted Traded–Nontraded Factor–Return Models . June 2025; Feng, Guanhao; He, Jingyu; Li, Junye; Sarno, Lucio; Zhang, Qianshu / Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes? . July 2024; Cong, William Lin; Feng, Guanhao; He, Jingyu; Wang, Yuanzhi / Mosaics of Predictability . February 2024; Cong, Lin William; Feng, Guanhao; He, Jingyu; Li, Junye / Uncommon Factors for Bayesian Asset Clusters . September 2022; Krantsevich, Nikolay; He, Jingyu; Hahn, P. Richard / Stochastic Tree Ensembles for Estimating Heterogeneous Effects . April 2023; Proceedings of the 26th International Conference on Artificial Intelligence and Statistics (AISTATS) 2023. pp. 6120-6131 He, Jingyu; Yalov, Saar; Hahn, P. Richard / XBART: Accelerated Bayesian Additive Regression Trees . April 2019; The 22nd International Conference on Artificial Intelligence and Statistics. pp. 1130-1138