Publications
Min Dai, Yanwei Jia, and Steven Kou (2021). ``The Wisdom of the Crowd and Prediction Markets''. Journal of Econometrics.
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. (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.
Yanwei Jia, Jussi Keppo, and Ville Satopaa (2023). ``Herding in Probabilistic Forecasts". Management Science. (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.
Yanwei Jia and Xun Yu Zhou (2023).``q-learning in Continuous Time". Journal of Machine Learning Research.
Working Papers
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 (2024). ``Learning Merton's Strategy in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration''.
Yanwei Jia, Jussi Keppo, and Ville Satopaa (2024). ``The Wisdom of Strategically Diverse Crowds''.
Yilie Huang, Yanwei Jia, and Xun Yu Zhou (2024). ``Sublinear Regret for An Actor-Critic Algorithm in Continuous-Time Linear-Quadratic Reinforcement Learning''
Min Dai, Yanwei Jia, and Hanqing Jin (2024). ``Equilibrium Strategy in Mean-Variance Portfolio Selection with Proportional Transaction Costs''.
Work-in-progress
A project on diversity, joint work with Masaaki Kijima and Steven Kou.
Chinese interbank repo market, joint work with Min Dai and Steven Kou.