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.
Work-in-progress
Equilibrium solution in mean-variance problem with transaction cost, joint work with Min Dai.
A project on diversity, joint work with Masaaki Kijima and Steven Kou.
Chinese interbank repo market, joint work with Min Dai and Steven Kou.