Publications
Publications
Min Dai, Yanwei Jia, and Steven Kou (2021). ``The Wisdom of the Crowd and Prediction Markets''. Journal of Econometrics. (available at SSRN)
Yanwei Jia and Xun Yu Zhou (2022a). ``Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach". Journal of Machine Learning Research. (available at SSRN)
🌟2022 Bachelier Finance Society Junior Scholar Paper Award
Yanwei Jia and Xun Yu Zhou (2022b). ``Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms". Journal of Machine Learning Research. (available at SSRN)
Yanwei Jia, Jussi Keppo, and Ville Satopaa (2023). ``Herding in Probabilistic Forecasts". Management Science. (available at SSRN)
🌟Runner-up for INFORMS Decision Analysis Society (DAS) 2020 Student Paper Award
Min Dai, Yuchao Dong, and Yanwei Jia (2023). ``Learning Equilibrium Mean-Variance Strategy". Mathematical Finance. (available at SSRN)
Yanwei Jia and Xun Yu Zhou (2023).``q-learning in Continuous Time". Journal of Machine Learning Research. (available at SSRN)
Yilie Huang, Yanwei Jia, and Xun Yu Zhou (2025). ``Sublinear Regret for A Class of Continuous-Time Linear-Quadratic Reinforcement Learning Problems''. SIAM Journal on Control and Optimization, forthcoming. (full version available at arXiv)
Yanwei Jia (2024). ``Continuous-time Risk-Sensitive Reinforcement Learning via Quadratic Variation Penalty".
Cheng-Der Fuh, Yanwei Jia, and Steven Kou (2024). ``A General Framework for Importance Sampling with Latent Markov Processes".
Min Dai, Yuchao Dong, Yanwei Jia, and Xun Yu Zhou (2025). ``Data-Driven Merton's Strategies via Policy Randomization''.
Yanwei Jia, Jussi Keppo, and Ville Satopaa (2024). ``The Wisdom of Strategically Diverse Crowds''.
Min Dai, Yanwei Jia, and Hanqing Jin (2024). ``Dynamic Mean-Variance Portfolio Selection with Transaction Costs''.
Yilie Huang, Yanwei Jia, and Xun Yu Zhou (2025). ``Mean-Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study".
Yanwei Jia and Wenjie Tang (2025). ``Aggregating or Interacting?: The Role of Individual Overconfidence".
Yanwei Jia, Du Ouyang, and Yufei Zhang (2025). ``Accuracy of Discretely Sampled Stochastic Policies in Continuous-time Reinforcement Learning".
Yanwei Jia, Jussi Keppo, and Ville Satopaa (2025). ``Variational Galton Machine: From Point Predictions to a Probabilistic Aggregate''.
A project on diversity, joint work with Masaaki Kijima and Steven Kou.
Chinese interbank repo market, joint work with Min Dai and Steven Kou.