Prof. JIA, Yanwei 賈 顏 瑋 教授

Prof. JIA, Yanwei 賈 顏 瑋 教授

Prof. JIA, Yanwei 賈 顏 瑋 教授
Assistant Professor
Ph.D., National University of Singapore
B.Sc., Tsinghua University

Research Interests :
* Decision Analysis in Financial Engineering
* Reinforcement Learning
* Information Aggregation and Wisdom of the Crowd

Office: Room 805, William M.W. Mong Engineering Building
Tel: (852) 3943-8241
Email: ywjia@se.cuhk.edu.hk

=> Prof. Jia’s personal home page

Biography

Dr. Yanwei Jia obtained his Ph.D. degree from the National University of Singapore in 2020, and B.Sc. from Tsinghua University in 2016. Prior joining the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong in 2023, he was an associate research scientist and adjunct assistant professor in the Department of Industrial Engineering and Operations Research at Columbia University. His research interest falls broadly into financial engineering and decision making problems, focusing on FinTech and data analytics. His recent research aims to develop fundamental theory on continuous-time reinforcement learning, and to solve problems in financial engineering, such as asset allocation and algorithmic trading. He also uses the structural estimation approach to study the information aggregation mechanism and the wisdom of the crowd.

 

 

Selected 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.

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.

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.