Yanwei Jia

Columbia University - Department of Industrial Engineering and Operations Research

500 W. 120th Street #315

New York, NY 10027

United States

SCHOLARLY PAPERS

6

DOWNLOADS

712

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Herding in Probabilistic Forecasts

Number of pages: 100 Posted: 01 Oct 2020 Last Revised: 18 Jan 2022
Yanwei Jia, Jussi Keppo and Ville Satopää
Columbia University - Department of Industrial Engineering and Operations Research, National University of Singapore - NUS Business School and INSEAD - Technology and Operations Management
Downloads 324 (132,493)
Citation 1

Abstract:

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Asymmetric Information Game, Bayesian Statistics, Economic Forecasting, Public Disclosure

2.

Learning Equilibrium Mean-Variance Strategy

Number of pages: 51 Posted: 12 Mar 2021
Min Dai, Yuchao Dong and Yanwei Jia
The Hong Kong Polytechnic University, Tongji University and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 138 (288,565)
Citation 2

Abstract:

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asset allocation; reinforcement learning; equilibrium mean variance analysis; entropy

3.

The Wisdom of the Crowd and Prediction Markets

Journal of Econometrics, Forthcoming
Number of pages: 86 Posted: 16 Jun 2020
Min Dai, Yanwei Jia and Steven Kou
The Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research and Boston University
Downloads 132 (298,532)

Abstract:

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prediction markets, public opinion polls, information aggregation

4.

Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach

Number of pages: 58 Posted: 02 Sep 2021 Last Revised: 02 Feb 2022
Yanwei Jia and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 76 (428,022)

Abstract:

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Continuous time and space, reinforcement learning, policy evaluation, temporal difference, martingale.

5.

Policy Gradient and Actor–Critic Learning in Continuous Time and Space: Theory and Algorithms

Number of pages: 52 Posted: 01 Feb 2022 Last Revised: 25 Jul 2022
Yanwei Jia and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 29 (636,607)

Abstract:

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Reinforcement learning, continuous time and space, policy gradient, policy evaluation, actor–critic algorithms, martingale.

6.

q-Learning in Continuous Time

Number of pages: 47 Posted: 13 Jul 2022
Yanwei Jia and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 13 (762,098)

Abstract:

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continuous-time reinforcement learning, entropy regularization, policy improvement, q-function, martingale, Hamiltonian