Haoran Wang
Welcome to my homepage!
I am currently a postdoc research fellow at the Department of Industrial Engineering and Operations Research at Columbia University, mentored by Prof. Xunyu Zhou.
My research interests primarily lie in the interaction of reinforcement learning (RL), stochastic control and mathematical finance. In particular, I am applying stochastic control techniques to develop (risk averse) RL algorithms for portfolio management and optimal trading.
Previously in 2018, I obtained PhD in Financial Mathematics from The University of Texas at Austin, under the guidance of Prof. Thaleia Zariphopoulou.
Please find more information in my CV.
Research Interests
Reinforcement Learning: risk averse (time-inconsistent) RL, exploration/exploitation, large scale data-driven finance
Stochastic Optimization: forward performance processes, real-time decision making, regret analysis
Mathematical Finance: portfolio management, options valuation in incomplete market, algorithmic and high frequency trading
Research Projects
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning. 2019, arXiv preprint
Continuous-time mean-variance portfolio selection: A reinforcement learning framework. (with X. Zhou), 2019, submitted, arXiv preprint
Exploration versus exploitation in reinforcement learning: A stochastic control approach. (with T. Zariphopoulou and X. Zhou), 2019, sumbitted, arXiv preprint
Forward optimal liquidation with market parameter shift: the quadratic case. (with S. Nadtochiy and T. Zariphopoulou)
Forward optimal liquidation with market parameter shift: the general case. (with S. Nadtochiy and T. Zariphopoulou)
Real-time model adaptation and investment behaviors. (with T. Zariphopoulou)
Relative forward indifference valuation of dynamically incoming real options. (with T. Zariphopoulou)
Research Presentations
Fintech and Machine Learning, National University of Singapore, Singapore, Aug. 2019 (slides)
Phd Tutorials (6hrs): Reinforcement Learning and Portfolio Management: Overview, Open Problems and Possible Solutions, National University of Singapore, Singapore, July 2019
Stochastic Control in Finance, National University of Singapore, Singapore, July 2019
Probability, Uncertainty and Quantitative Finance, Shandong University, China, July 2019
INFORMS Applied Probability Society Conference, Brisbane, Australia, July 2019
SIAM Conference on Financial Mathematics and Engineering, University of Toronto, Canada, June 2019
9th Western Conference on Mathematical Finance, University of Southern California, Nov. 2018 (slides)
Financial and Economic Applications, IMA, University of Minnesota, June 2018 (Poster)
4th Young Researchers Meeting on BSDEs, Nonlinear Expectations and Mathematical Finance, SJTU, China, Apr. 2018 (slides)
Robust Methods in Probability & Finance, ICERM, Brown University, June 2017 (slides)
8th Western Conference on Mathematical Finance, UW Seattle, Mar. 2017 (slides)
Theses
Doctoral Thesis: Forward Optimization and Real-time Model Adaptation with Applications to Portfolio Management, Indifference Valuation and Optimal Liquidation, 2018 (PDF)
Bachelor Thesis: Rough Path Theory and Stochastic Differential Equations, 2013