Yucheng Yang
@YuchengYang1993
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Assist. Prof. of Finance @UZH_en @SFI_CH . @YaleCowles Visitor. PhD @Princeton . Macro, finance & machine learning.
Zurich, Switzerland
Joined August 2013
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Pinned Tweet
Thrilled to share that I've defended my PhD
@Princeton
! Grateful to my amazing advisors
@glviolante
, Weinan E, Chris Sims & Jonathan Payne, as well as everyone who supported me along the way. Glad to make some progress toward the statement of purpose I wrote back in 2016.
#PhDone
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📢📽️ Video now online! Watch 𝐓𝐨𝐦 𝐒𝐚𝐫𝐠𝐞𝐧𝐭's keynote speech on "𝐌𝐚𝐜𝐫𝐨𝐞𝐜𝐨𝐧𝐨𝐦𝐢𝐜𝐬 𝐀𝐟𝐭𝐞𝐫 𝐋𝐮𝐜𝐚𝐬" from the Zurich Quantitative Macro Workshop (organized with
@comp_simon
and Felix Kubler). Check it out here:
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The old link to Tom Sargent's talk video no longer works due to website reorganization. Here is the new link:
📢📽️ Video now online! Watch 𝐓𝐨𝐦 𝐒𝐚𝐫𝐠𝐞𝐧𝐭's keynote speech on "𝐌𝐚𝐜𝐫𝐨𝐞𝐜𝐨𝐧𝐨𝐦𝐢𝐜𝐬 𝐀𝐟𝐭𝐞𝐫 𝐋𝐮𝐜𝐚𝐬" from the Zurich Quantitative Macro Workshop (organized with
@comp_simon
and Felix Kubler). Check it out here:
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Wrap up a wonderful workshop on frontier methods & models in macro, with great talks & conversation. Tom Sargent's keynote reviewed key revolutions of methods in macro over the past 50 years. Many believe it should be required watching for 1st-year PhDs. Stay tuned for the video!
Very much looking forward to the 𝐙𝐮𝐫𝐢𝐜𝐡 𝐐𝐮𝐚𝐧𝐭𝐢𝐭𝐚𝐭𝐢𝐯𝐞 𝐌𝐚𝐜𝐫𝐨 𝐖𝐨𝐫𝐤𝐬𝐡𝐨𝐩 next week! Excited to welcome many great economists to Zurich with Kubler &
@comp_simon
. Tom Sargent will give keynote speech on 𝐌𝐚𝐜𝐫𝐨𝐞𝐜𝐨𝐧𝐨𝐦𝐢𝐜𝐬 𝐀𝐟𝐭𝐞𝐫 𝐋𝐮𝐜𝐚𝐬.
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Very much looking forward to the 𝐙𝐮𝐫𝐢𝐜𝐡 𝐐𝐮𝐚𝐧𝐭𝐢𝐭𝐚𝐭𝐢𝐯𝐞 𝐌𝐚𝐜𝐫𝐨 𝐖𝐨𝐫𝐤𝐬𝐡𝐨𝐩 next week! Excited to welcome many great economists to Zurich with Kubler &
@comp_simon
. Tom Sargent will give keynote speech on 𝐌𝐚𝐜𝐫𝐨𝐞𝐜𝐨𝐧𝐨𝐦𝐢𝐜𝐬 𝐀𝐟𝐭𝐞𝐫 𝐋𝐮𝐜𝐚𝐬.
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Very happy to have
@NunoGalo
visiting us at
@uzh_bf
@SFI_CH
to present "Inequality and ZLB" (w Fernández-Villaverde, Marbet,
@OmarRachedi1
). Pictured: Galo explains how to handle nontrivial market clearing & nonlinear perceived law of motion in a global solution to
#HANK
models.
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Michael Reiter and I organized two invited sessions on "Deep Learning & Heterogeneous Agent Models" at
@SocCompEcon
2024 conference in Singapore. A🧵 (Pictured: me with pioneers of two classic methods now widely used in literature - Carroll's EGM and Reiter's perturbation method)
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Very excited to welcome Mark Aguiar in Zurich this week with
@econ_uzh
@uzh_bf
colleagues! Mark presented "Micro Risks and (Robust) Pareto Improving Policies" (with Amador and
@cristinarellano
). A fresh take on classic questions through the lens of heterogeneous agent macro.
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For those interested in new methods: (a subset of) sessions on 𝐌𝐚𝐜𝐡𝐢𝐧𝐞 𝐋𝐞𝐚𝐫𝐧𝐢𝐧𝐠 𝐟𝐨𝐫 𝐌𝐚𝐜𝐫𝐨/𝐅𝐢𝐧𝐚𝐧𝐜𝐞 at
#SED2024
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Another view😃
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Really excited to present in the
@PhilFedResearch
Conference on Frontiers in
#MachineLearning
and
#Economics
with
@JiequnH
. A fantastic program at the real frontier - learn a lot from both talks and conversations. Special thanks to
@pablo_guerron
for the thoughtful discussion!
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Very happy to have
@PfaeutiEcon
visiting us at
@uzh_bf
@SFI_CH
to present new behavioral
#HANK
paper "Persistent heterogeneity in cognitive skills and overconfidence, liquidity constraints, and fiscal policy" (w
@FSeyrich
, Zinman). Bonus treat: Oliver at Einstein's locker!
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Thrilled to welcome
@comp_simon
back at
@uzh_bf
@SFI_CH
presenting "Machine Learning for Dynamic Incentive Problems" (w Renner). Important methodological work for large class of models with high-dim endogenous state space (e.g. utility promise as state) and incentive constraints!
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Another amazing workshop in Zurich on 𝐜𝐥𝐢𝐦𝐚𝐭𝐞 𝐜𝐡𝐚𝐧𝐠𝐞 𝐚𝐧𝐝 𝐞𝐜𝐨𝐧𝐨𝐦𝐢𝐜 𝐩𝐨𝐥𝐢𝐜𝐲, organized by
@comp_simon
and Felix Kubler, featuring
@UncertainLars
@davidhem
@drkaenzig
@gVermandel
, and many others!
🚨Join us on Thu, Sept. 5th, 15:30 - 17:00, for the Public Panel on "Mitigation and Adaptation: What’s the Role of Economic Policy?"🚨
Where: University of Zürich, RAI building of the Faculty of Law at Rämistrasse 74, in room G-041 (floor G)
We have a fantastic lineup:
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Featured Article in the Notices of the
@amermathsoc
"
#MachineLearning
: Mathematical Theory and Scientific Applications" by Weinan E
@Princeton
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@NunoGalo
Nice🧵! I also wrote a note to summarize this new literature (for my JMP), in terms of both methodology and substance findings. Exciting and fun agenda! An important paper that seems not mentioned here is Acharya-
@ChalleEdouard
-Dogra's analytical work
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@comp_simon
The old link to the Sargent talk video no longer works due to department website reorganization. Here is the new link:
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.
@HannoKase
(ECB) presented "Sequence-Space Jacobian meets Deep Learning: Exploiting the Random Walk for HANK" (with
@MatthiasRottner
and Rigato). Hanno's slides:
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It's the 4th of May tomorrow, PKU's 122nd birthday!
#Pekingers
, are you excited? Please share a birthday wish or your favorite memory of PKU and tag us using the hashtag
#PKU122
! It could be a photo, an anecdote or anything you wish to share, we can't wait to see it!
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Look forward to presenting my paper "Knowledge Graph for Macroeconomic Analysis with Alternative
#BigData
" on Wednesday in this very exciting conference trying to explore new possibilities for macroeconomics. Brief introduction to my paper : (0/N)
Bank of Italy - 2020 Banca d'Italia and Federal Reserve Board Joint Conference on Nontraditional Data & Statistical ...
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Jeffrey Sun (Toronto) presented "Continuation Value Is All You Need". Jeffrey's paper:
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.
@YuchengYang1993
(Zurich and SFI) presented "Deep Learning for Search and Matching Models" (with Rebei and Payne). Link to our paper:
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@ZiangLi_
@MarkusEconomist
@MoritzLenel
@motoyogo
@ImperialBiz
Congrats and catch up soon in Europe!
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Goutham Gopalakrishna (
@rotmanschool
) presented "Asset Pricing, Participation Constraints, and Inequality" (with Gu and Payne). Goutham's paper:
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Ji Huang (
@CUHKofficial
) presented "Applications of Deep Learning-Based Probabilistic Approach to Combinatorial Problems in Economics" (with Yu). Ji's paper:
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2021 Pareto Lecture by
@glviolante
on Macroeconomics and Inequality. Nice overview on the transition of macroeconomics, esp. the 3rd generation of modern macro: distributional macroeconomics.
#EconTwitter
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@momin_rayhan
@LeoAparisidL
@glviolante
The second application in the DeepHAM paper is the continuous time model in Jesus,
@NunoGalo
et al's Econometrica paper. The first step is to discretize the time dimension though😃
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@ptr_andre
@cp_roth
@JoWohlfart
@Ingar30
Interesting work!! In a different scenario, my coauthors and I design a NLP algorithm to extract economic narratives from research texts. We find narratives (knowledge graph of variables) useful to inform model priors with big data inputs. Early 🧵:
To extract these new variables and linkages (basic elements of the KG), we design and apply a natural language processing (
#NLP
) algorithm on massive textual data of academic literature and macro research reports. (4/N)
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Michael Reiter (IHS Vienna) presented "Specialized Neural Networks for Heterogeneous Agent Models"
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@ben_moll
Congratulations! The HACT paper had an enormous impact on my research interest, and inspired me to work with Jiequn to develop the DeepHAM method to solve HA models with aggregate shocks (though we finally adopt a discrete time approach :).
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Truly inspiring
This dude dropped out of high school to become a POET, didn't even like math til his sixth year of college, and just won the Fields Medal.
Success doesn't always take the straight and narrow path, folks.
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This implies KG could better capture underlined logic of the economy than statistical methods on big data. My coauthors (Weinan E
@Princeton
Yue Pang
@PKU1898
Guanhua Huang
@USTCGlobal
) & I will launch a website to host the KG results and applications, so please stay tuned! (6/6)
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@thejiheekim
@nekozzang
@JuriMarcucci
@RCorrea_econ
Very interesting and informative talk! Would love to see more coming from this big project in the future.
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@mvazcar
@comp_simon
@glviolante
@jensqu4r3d
@Florian_Scheuer
@NunoGalo
Thanks for your interest - it'll be in person only.
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@jlperla
Thank you so much Jesse! I also learned a lot from your papers and open-source projects. Looking forward to talking to you more in the future : )
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@NunoGalo
@Princeton
@glviolante
@ZiangLi_
@Jihong_Song
@BennyKleinman
@LintongLi1
@JunyiQue
@ric_cioffi
@JiequnH
@HermioneHe1
Thank you Galo!
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@PinchOfData
@ptr_andre
@cp_roth
@JoWohlfart
@Ingar30
Thanks Germain, this is very interesting and related indeed! For our purpose, economic variables are more complicated than the common entities you have extracted, but I think your method is promising towards handling more complicated entities
@ellliottt
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Big data are playing important roles to help us understand and study the macroeconomy - examples include Fed's Nowcasting
@NYFedResearch
and Chetty et al's Economic Tracker
@OppInsights
during COVID. These represent two different approaches to use alternative big data: (1/N)
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@comp_simon
@RevEconStudies
@friedlale
@HECLausanneEcon
@E4S_Center
@snf_ch
Congrats! Two more in 2024?😉
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@ricco_giovanni
Jianqing Fan et al. (2020) argues that conventional DFM doesn't work well on high-dim macro data like FRED-MD due to high covariate correlation, and proposes a modified factor model called FarmSelect. Would be interested to see how it compares to D2FM.
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@NunoGalo
@nadaesgratis
Great piece! This reminds me of when you asked Tom this exact question after his talk, and he replied "I would ask you". So here is your answer : )
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@EnghinAtalay
@Princeton
@glviolante
@ZiangLi_
@Jihong_Song
@BennyKleinman
@LintongLi1
@JunyiQue
@ric_cioffi
@JiequnH
@HermioneHe1
Thank you Enghin, congrats on the best paper award
@AEAjournals
!
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@JanZemlicka
@Princeton
@glviolante
@ZiangLi_
@Jihong_Song
@BennyKleinman
@LintongLi1
@JunyiQue
@ric_cioffi
@JiequnH
@HermioneHe1
Thank you Jan!
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@KahouMahdi
@MarlonAzinovic
@philadelphiafed
@JiequnH
@JanZemlicka
I was hoping to see you there too! Nevertheless very glad to see your paper presented. Jesus also mentioned your JMP project, which sounds very cool : )
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@paulgp
I think it is for historical reason (q-fin came first to ArXiv), while my understanding is q-fin $\subset$ econ, at least not the opposite :)
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@MamonovMikhail
@Princeton
@glviolante
@ZiangLi_
@Jihong_Song
@BennyKleinman
@LintongLi1
@JunyiQue
@ric_cioffi
@JiequnH
@HermioneHe1
Thank you Misha!
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Just read Alejandro's PhD thesis on DFM several days ago. Great piece on DFM and international macro. R.I.P.
QEPD/RIP Alejandro Justiniano, destacado economista argentino que investigaba en la Fed de Chicago (PhD Princeton con Sims).
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@DanielCooney1
@PrincetonGrad
Congratulations Dr. Cooney! Look forward to seeing you in person next year!
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@KahouMahdi
@MarlonAzinovic
@philadelphiafed
@JiequnH
@JanZemlicka
I feel you! All the best with the market and we will make it!
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@MarlonAzinovic
@Princeton
@glviolante
@ZiangLi_
@Jihong_Song
@BennyKleinman
@LintongLi1
@JunyiQue
@ric_cioffi
@JiequnH
@HermioneHe1
Thank you Marlon!
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@glviolante
Thank you so much Gianluca! I couldn't have done it without your guidance and support. I look forward to continuing my research in this exciting field!
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@EmyemyXia
@Princeton
@PKU1898
@USTCGlobal
Thanks and sure! The organizers said they would record and may post the videos online after the conference.
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@Bellmanequation
@UWMadison
Also have both Wiscard and TigerCard, both as graduate student though🤣
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@1954swilliamson
@glviolante
@BIS_org
Textual analysis provides a systematic approach to study the effectiveness and ineffectiveness of central bank communications. See the work by
@mcmahonecon
, Stephen Hansen and coauthors on central bank speech, minutes, etc.
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@KahouMahdi
@Princeton
@glviolante
@ZiangLi_
@Jihong_Song
@BennyKleinman
@LintongLi1
@JunyiQue
@ric_cioffi
@JiequnH
@HermioneHe1
Thanks, (soon to be) Dr. E Kahou!
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@NunoGalo
@nadaesgratis
Haha, the alternative title of this article could be "Answering Sargent"😃
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@ttwwecon
@Princeton
@glviolante
@ZiangLi_
@Jihong_Song
@BennyKleinman
@LintongLi1
@JunyiQue
@ric_cioffi
@JiequnH
@HermioneHe1
Thank you Tao!
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@RickEcon
@UChicago
@BeckerFriedman
@UChi_CompSocSci
@jupyterbook
@ExecutableBooks
Great materials, and thanks for sharing, Rick!
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