Neural Network on Granger Causality and VAR

During my senior year, I worked as a research assistant at the Decision and Quantitative Analysis Laboratory. This role involved:

Conducting paper surveys on diverse topics:

• Anti-money laundering in Bitcoin
• Integrated gradients
• Vector Autoregression (VAR)
• Granger causality

Implementing and enhancing the component multi-layer perceptron (cMLP):

• Forecasting Granger causality over endogenous VAR data
• Analyzing complex exogenous retail data

Learning Outcomes:

Through this project, I enhanced my research skills, critical thinking, and problem-solving abilities. The experience solidified my interest in AI and computer science, motivating me to pursue a master's degree to explore these areas further.

• Python
• PyTorch
• Granger Causality
• Component Multi-Layer Perceptron (cMLP)
• Vector Autoregression (VAR)
• Machine Learning
• Deep Learning