CHEN, Xinyun

Assistant Professor

Education Background

Ph.D. Operations Research, Columbia University, 2014

M.S. Operations Research, Columbia University, 2010

B.S. Mathematics, Peking University, 2009

Research Field
Stochastic simulation, Monte Carlo methods, queueing models, reinforcement learning
Personal Website

Xinyun Chen is currently an Assistant Professor in the School of Data Science, The Chinese University of Hong Kong, Shenzhen. She received her Ph.D in Operations Research from Columbia University in 2014. Her research interests include applied probability, Monte Carlo method and their applications in financial markets. She has published papers in journals including Annals of Applied Probability, Mathematics of Operations Research and Accounting and Finance. Before joining CUHK(SZ), she was an Assistant Professor at Stony Brook University and Wuhan University.

Academic Publications


1. Two-parameter Sample Path Large Deviations for Infinite Server Queues, with Jose Blanchet and Henry Lam (2014). Stochastic Systems 4:206-249 

2. Steady-state simulation of reflected Brownian motion and related stochastic networks, with Jose Blanchet (2015). Annals of Applied Probability 25:3209-3250

3. ε-Strong Simulation for Multidimensional Stochastic Differential Equations via Rough Path Analysis, with Jose Blanchet and Jing Dong (2017). Annals of Applied Probability 27: 275-336.

4. Does the T+1 Rule Really Reduce Speculation? Evidence from Chinese Stock Index ETF, with Yan Liu and Tao Zeng (2018), Accounting and Finance 57:1287–1313.

5. Many-server Gaussian limits for overloaded non-Markovian queues with customer abandonment, with A. Korhan Aras and Yunan Liu, Queueing Systems: Theory and Applications, forthcoming.

6. Perfect Sampling for Generalized Jackson Networks, with Jose Blanchet, Mathematics of Operations Research, forthcoming.



1. Exact gradient simulation for stochastic fluid networks in steady state. Simulation Conference (WSC), 2014 Winter (Vol.2015, pp.586-594). IEEE. 

 2. Modeling inter-trade durations in the limit order market, with Jianzhao Yang, Zhicheng Li and Haipeng Xing. 2016 Symposium of the International Chinese Statistical Association Series: Springer Proceedings in Mathematics & Statistics, Vol. 57. Springer-Verlag, New York.

3. Infinite-horizon off-policy policy evaluation with multiple behavior policies, with Lu Wang, Yizhe Hang, Heng Ge and Hongyuan Zha. Accepted to ICLR 2020.