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黃士峰

Huang, Shih-Feng

huangsf@ncu.edu.tw

國科會計畫統計

金融領域的張量時間序列：建模、估計與預測(1/3)
1150801~1160731
基於聚類分析和強化學習進行投資組合選取之研究
1140801~1150731
[資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]
基於聚類分析和強化學習進行投資組合選取之研究
1130801~1140731
[資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]
基於聚類分析和強化學習進行投資組合選取之研究
1120801~1130731
[資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]
時間序列橫斷面資料分析系統及其應用
1110801~1121031
[特徵融合、特徵提取、市場投資組合、網絡時間序列 , feature fusion,feature extraction,market portfolio,network time series]
電子零件自動參數擷取系統(2/2)
1110801~1120531
[自動化工程、零件工程視圖、最大概似估計、物件偵測、統計建模、文字辨識 , automation,component drawing,maximum likelihood estimation,object detection,statistical modeling,text recognition]

產學合作計畫統計

電子零件自動參數擷取系統(2/2)
1110601~1120531
[自動化工程、零件工程視圖、最大概似估計、物件偵測、統計建模、文字辨識 , automation,component drawing,maximum likelihood estimation,object detection,statistical modeling,text recognition]

期刊著作

An algorithm for estimating threshold boundary regression models
Computational Statistics and Data Analysis, 214, 2026-02-01
[ Least-squares method,Support vector machine,Weighted binary classification ]
A dynamic stock trading strategy based on machine learning and hypothesis testing
中國統計學報 Journal of the Chinese Statistical Association, 64, 1, 1-30, 2026-01-01
[ 假設檢定、機器學習、最佳停利點、最佳停損點 ]
Temporal and Spatial Alignment-Based Approaches for Text Recognition
Journal of Classification, 2026-01-01
[ Anomaly detection,Compressed learning,Dynamic time warping,Feature selection,Kriging ]
Boosted Hybrid Method for Non-stationary Data Analysis=提升混合法之非平穩數據分析
中國統計學報 Journal of the Chinese Statistical Association, 63, 4, 364-394, 2025-12-01
[ 提升方法,混合模型,線性模型,模型選取,神經網絡模型,非線性模型,Boosting method,Hybrid models,Linear models,Model selection;,Neural network method,Nonlinear models ]
Electronic Component Parameter Recognition by a Nonparametric Approach with an Assignment Algorithm
Lobachevskii Journal of Mathematics, 46, 10, 5127-5142, 2025-10-01
[ assignment algorithm,automatic recognition,footprint design,nonparametric statistics ]
Catastrophe risk with global climate change determines the price of catastrophe equity puts
North American Journal of Economics and Finance, 80, 2025-09-01
[ Catastrophe equity put,Catastrophe risk,Global climate change,Systematic risk ]
Decision-making in renewable energy trading markets using Nash equilibrium and reinforcement Learning
中國統計學報 Journal of the Chinese Statistical Association, 63, 3, 297-336, 2025-09-01
[ energy markets, high-resolution data, Nash equilibrium, Q-learning, reinforcement learning ]
A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference
International Journal of Forecasting, 41, 1, 345-360, 2025-01-01
[ Asynchronous time series,GARCH,Variable selection,Variational Bayesian inference,Vector autoregressive model ]
ECOPICA: empirical copula-based independent component analysis
Statistics and Computing, 34, 1, 2024-02-01
[ Blind image separation,Cocktail-party problem,Copula,Grasshopper optimization algorithm,Independent component analysis ]
Less Volatile Value-at-Risk Estimation Under a Semi-parametric Approach*
Asia-Pacific Journal of Financial Studies, 52, 3, 374-393, 2023-06-01
[ C14,C32,C53,Data sequence,Fluctuation reduction,Generalized nearly isotonic regression,Value-at-risk ]
Using the Kriging Correlation for unsupervised feature selection problems
Scientific Reports, 12, 1, 2022-12-01
Classification of Plank Techniques Using Wearable Sensors
Sensors, 22, 12, 2022-06-01
[ athlete,coaching,core training,kinematics,motion analysis,sports performance ]
Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach
Applied Energy, 309, 2022-03-01
[ Energy demand,Functional time series,High-resolution data,Stochastic covariate,Time-varying coefficients ]
A network autoregressive model with GARCH effects and its applications
PLoS ONE, 16, 7 July, 2021-07-01
A shape approximation for medical imaging data
Sensors, 20, 20, 1-21, 2020-10-02
[ Imaging data,Parkinson’s disease,PSO algorithm,Shape equation ]
Classification of temporal data using dynamic time warping and compressed learning
Biomedical Signal Processing and Control, 57, 2020-03-01
[ Compressed sensing,Dynamic time warping,Temporal data classification ]
Stock market trend prediction using a functional time series approach
Quantitative Finance, 20, 1, 69-79, 2020-01-02
[ Area under curve,B-spline,Functional autoregressive model,Multi-resolution,Vector autoregressive model ]
Prediction intervals for time series and their applications to portfolio selection
Revstat Statistical Journal, 18, 1, 131-151, 2020-01-01
[ Coherent risk measure,Portfolio selection,Prediction interval ]
Bayesian structure selection for vector autoregression model
Journal of Forecasting, 38, 5, 422-439, 2019-08-01
[ Bayesian variable selection,segmentized grouping,time series,universal grouping ]
A Linearization of the Portfolio Optimization Problem with General Risk Measures Under Multivariate Conditional Heteroskedastic Models
Asia-Pacific Journal of Financial Studies, 47, 3, 449-469, 2018-06-01
[ Conditional heteroskedastic model,Expected shortfall,Linear programming,Portfolio selection,Spectral risk measure,Transaction cost ]
Multi-asset empirical martingale price estimators for financial derivatives
Statistica Sinica, 28, 2, 995-1008, 2018-04-01
[ Empirical martingale simulation,Esscher transform,Multi-asset derivatives pricing ]
Hedging Barrier Options in GARCH Models with Transaction Costs
Australian and New Zealand Journal of Statistics, 57, 3, 301-324, 2015-09-01
[ Calendar-spread,First passage time,Static hedging,Strike-spread ]
COPICA—independent component analysis via copula techniques
Statistics and Computing, 25, 2, 273-288, 2015-03-01
[ Blind source separation,Canonical maximum likelihood method,Givens rotation matrix,Signal/noise ratio,Simulated annealing algorithm ]
High dimensional mean-variance optimization through factor analysis
Journal of Multivariate Analysis, 133, 140-159, 2015-01-01
[ Factor model,Mean-variance optimization,Optimal portfolio allocation ]
Model risk of the implied GARCH-normal model
Quantitative Finance, 14, 12, 2215-2224, 2014-12-13
[ Conditional leptokurtic model,Dynamic semiparametric approach,Extended Girsanov principle,GARCH model,Model risk,Option pricing ]
Asymptotic distribution of the EPMS estimator for financial derivatives pricing
Computational Statistics and Data Analysis, 73, 129-145, 2014-01-01
[ Empirical P-martingale simulation,Monte Carlo simulation,Option pricing ]
A modified empirical martingale simulation for financial derivative pricing
Communications in Statistics - Theory and Methods, 43, 2, 328-342, 2014-01-01
[ Empirical martingale simulation,GARCH,Option pricing ]
Path integral method for limiting distribution of an estimator arising from an ar(1)-process with a unit root
Infinite Dimensional Analysis, Quantum Probability and Related Topics, 16, 4, 2013-12-01
[ Classical Wiener space,path-integral method,unit root test ]
Moment bounds and mean squared prediction errors of long-memory time series
Annals of Statistics, 41, 3, 1268-1298, 2013-06-01
[ ARFIMA model,Integrated AR model,Long-memory time series,Mean squared prediction error,Moment bound,Multi-step prediction ]
An optimal multi-step quadratic risk-adjusted hedging strategy
Journal of the Korean Statistical Society, 42, 1, 37-49, 2013-03-01
[ Discrete time hedging,Extended Girsanov principle,Multi-step hedging,Quadratic risk minimization,Risk-adjusted criterion ]
Financial derivative valuation - a dynamic semiparametric approach
Statistica Sinica, 19, 3, 1037-1054, 2009-07-01
[ American option,Black-Scholes model,Convertible bond,Copula,European option,Jump-diffusion model,Multi-dimensional option pricing,NGARCH model ]

研討會著作

An LLM-Assisted Framework for Extracting Pinout Information of IC Components
579-580, 2026-01-01
[ EAST,electronic design automation,IC diagram,LLM,pinout recognition ]
Portfolio Optimization Based on Dynamic Networks and Vine Copulas
2025-08-20
[ financial network, minimum spanning tree, network centrality, portfolio optimization, vine copula ]
Portfolio Optimization Based on Dynamic Networks and Vine Copulas
2024-12-15
[ financial network, minimum spanning tree, network centrality, portfolio optimization, vine copula ]
A Modified VAR-deGARCH Model for Asynchronous Multivariate Financial Time Series via Variational Bayesian Inference
2024-07-17
[ asynchronous time series, GARCH, variable selection, variational Bayesian inference, vector autoregressive model ]
Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
2024-07-09
[ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]
A Modified VAR-deGARCH Model for Asynchronous Multivariate Financial Time Series via Variational Bayesian Inference
2024-04-05
[ asynchronous time series, GARCH, variable selection, variational Bayesian inference, vector autoregressive model ]
Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
2023-08-01
[ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]
Forecasting of High-resolution Electricity Consumption with Stochastic Climatic Covariates via a Functional Time Series Approach
2023-07-12
[ energy demand, functional time series, high-resolution data, stochastic covariate, time-varying coefficients ]
Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
2023-06-02
[ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]
Deep-learning-based Extraction of Electronic Component Parameters from Datasheets
5501-5506, 2021-01-01
[ deep learning,electronic design automation,object detection,text extraction,three-view drawing ]
A Feature Fusion Approach for Multiple Signal Classification
37-42, 2020-12-01
[ autoregressive,common spatial pattern,discrete wavelet transform,functional principal component analysis,multiple signal classification ]
Pricing American options in a jump diffusion model
221-228, 2011-11-23
[ American options,early exercise boundary,early exercise premium,jump diffusion model,McKean's equation ]

專書

Handbook of Computational Finance
605-631, 2012-01-01
Applied Quantitative Finance: Second Edition
295-309, 2008-12-01

校外榮譽

114 [中華機率統計學會] 貢獻獎
114 [國際統計學會 ( ISI )] 2025 國際統計學會會士

校內獲獎

115 研究傑出獎
111 新聘卓越獎

演講

受污染之零膨脹複合 Poisson–Gamma 過程的統計推論及其應用 (1150808 ~ 1150810)
Invited talk given at The 9th International Conference on Econometrics and Statistics (EcoSta 2026), Ryukoku University, Kyoto, Japan, August 8-10, 2026.
基於動態網路和藤蔓Copula的投資組合優化 (1141204 ~ 1141206)
Invited talk given at the IASC-ARS 2025, University of Economics, Ho Chi Minh City, Vietnam, Dec. 4-6, 2025.
統計和數據科學方法在金融領域的應用 (1140925 ~ 1140925)
An invited talk given at the Department of Applied Mathematics, National Sun Yat-Sen University, Kaohsiung, Taiwan, Sep. 25, 2025.
基於動態網路和藤蔓Copula的投資組合優化 (1140821 ~ 1140823)
An invited talk given at The 8th International Conference on Econometrics and Statistics (EcoSta 2025), Waseda University, Tokyo, Japan, August 21-23, 2025.
基於動態網路和Vine Copula的投資組合優化 (1140619 ~ 1140620)
第34屆南區統計研討會邀請演講
基於動態網路和Vine Copula的投資組合優化 (1140512 ~ 1140512)
An invited talk given at the Department of Statistics, National Chengchi University
基於動態網路和Vine Copulas的投資組合優化 (1131214 ~ 1131216)
An invited talk given at The 18th International Joint Conference CFE-CMStatistics, King's College London, UK, Dec. 14-16, 2024.
基於動態網路和藤連結函數的投資組合優化 (1131008 ~ 1131008)
應邀前往東海大學統計系給予演講
基於變分貝式推理的非同步多元金融時間序列的改良VAR-deGARCH模型 (1130717 ~ 1130719)
第七屆國際計量經濟學與統計會議 (EcoSta 2024) 邀請演講
具有軟資訊的滯後多元貝氏結構GARCH模型 (1130709 ~ 1130710)
國際統計與數據科學會議邀請演講
聚類性能的理論評估及其在氣象資料中的應用 (1130627 ~ 1130628)
第33屆南區統計研討會邀請演講
具有軟資訊的滯後多元貝氏結構GARCH模型 (1130527 ~ 1130527)
中央研究院統計科學研究所邀請演講
基於變分貝式推理的非同步多元金融時間序列的改良VAR-deGARCH模型 (1130405 ~ 1130405)
時間序列分析及相關領域的最新進展邀請演講
基於變分貝式推理的非同步多元金融時間序列的改良VAR-deGARCH模型 (1121201 ~ 1121201)
中國統計學社年會邀請演講
具有軟資訊的滯後多元貝氏結構GARCH模型 (1120801 ~ 1120803)
第六屆計量經濟學與統計學國際會議 (EcoSta 2023) 邀請演講
透過函數時間序列方法預測具有隨機氣候協變量的高解析度電力消耗 (1120712 ~ 1120713)
受邀於國際統計與數據科學研討會演講
具有軟訊息的滯後多元貝式結構GARCH模型 (1120602 ~ 1120603)
An invited talk given at The 31st Annual Conference on Pacific Basin Finance, Economics, Accounting and Management, National Yang Ming Chiao Tung University, Hsinchu, Taiwan.

期刊編輯

1150801 ~ 1160731 Statistica Sinica ISSN 1017-0405 EISSN 1996-8507
副編輯
1150801 ~ 1160731 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
執行編輯
1140801 ~ 1150731 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
執行編輯
1130801 ~ 1140731 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
執行編輯
1120801 ~ 1130731 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
副編輯
1110801 ~ 1120731 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
副編輯
1100801 ~ 1110731 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
擔任副編輯
1070801 ~ 1100731 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
副編輯

邀請校外學者來訪

1150727 ~ 1150729 邀請 TUD Dresden University of Technology, Germany 學者演講
1150727 ~ 1150729 邀請 TUD Dresden University of Technology 學者國際學術合作/演講
1141121 ~ 1141123 邀請德克薩斯州A&M大學 (德州農工大學) 學者國際學術合作
1141025 ~ 1141025 邀請首爾大學學者國際學術合作

國內外學術組織擔任重要職務

1150101 ~ 1151231 擔任 [中華機率統計學會] 理事兼學術委員
1140101 ~ 1141231 擔任 [中華機率統計學會] 理事兼學術委員
1130101 ~ 1131231 擔任 [行政院主計總處] 政府資料開放諮詢小組委員
1130101 ~ 1131231 擔任 [中華機率統計學會] 秘書長
1120101 ~ 1121231 擔任 [行政院主計總處] 政府資料開放諮詢小組委員
1120101 ~ 1121231 擔任 [中華機率統計學會] 秘書長
1110101 ~ 1111231 擔任 [中華機率統計學會] 秘書長
1080101 ~ 1101231 擔任 [中華機率統計學會] 第10屆理事
1060101 ~ 1081231 擔任 [中華機率統計學會] 第9屆理事兼會務委員

舉辦研討會

1141018 ~ 1141019 舉辦 2025 統計與數據科學博士生工作坊
1140117 ~ 1140118 舉辦 2025統計學門研究成果發表會
1120603 ~ 1120603 舉辦第五屆碩士生統計研究成果研討會

著作審查

1140413 ~ 1140517 以相關領域專家受邀審查Statistics and Computing之著作
1140325 ~ 1140501 以相關領域專家受邀審查Computational Statistics and Data Analysis之著作
1131002 ~ 1131209 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1130812 ~ 1131205 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1130809 ~ 1131225 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1130731 ~ 1130904 以相關領域專家受邀審查Computational Statistics and Data Analysis之著作
1130518 ~ 1130813 以相關領域專家受邀審查Journal of Statistical Computation and Simulation之著作
1130129 ~ 1130304 以相關領域專家受邀審查Computational Statistics and Data Analysis之著作
1120902 ~ 1121005 以相關領域專家受邀審查PLoS ONE之著作
1120828 ~ 1121015 以相關領域專家受邀審查Japanese Journal of Statistics and Data Science之著作
1120517 ~ 1121117 以相關領域專家受邀審查Computational Statistics之著作
1111231 ~ 1120325 以相關領域專家受邀審查Journal of Statistical Computation and Simulation之著作
1111102 ~ 1120422 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1110809 ~ 1110912 以相關領域專家受邀審查Journal of Forecasting之著作
1110726 ~ 1111011 以相關領域專家受邀審查Journal of Global Optimization之著作
1110608 ~ 1110802 以相關領域專家受邀審查Australian and New Zealand Journal of Statistics之著作
1110324 ~ 1110519 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1110314 ~ 1110331 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1110302 ~ 1110524 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1101212 ~ 1110625 以相關領域專家受邀審查Computational Statistics and Data Analysis之著作
1100709 ~ 1100820 以相關領域專家受邀審查中國統計學報 Journal of the Chinese Statistical Association之著作
1100607 ~ 1101008 以相關領域專家受邀審查PLoS ONE之著作
1100407 ~ 1100831 以相關領域專家受邀審查Journal of Forecasting之著作

黃士峰

Huang, Shih-Feng

現職

專長

專長簡述

最高學歷

相關連結

科技部學門領域

政府GRB研究專長領域

教育部學門領域

國科會計畫統計

金融領域的張量時間序列：建模、估計與預測(1/3) 1150801~1160731

基於聚類分析和強化學習進行投資組合選取之研究 1140801~1150731 [資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]

基於聚類分析和強化學習進行投資組合選取之研究 1130801~1140731 [資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]

基於聚類分析和強化學習進行投資組合選取之研究 1120801~1130731 [資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]

時間序列橫斷面資料分析系統及其應用 1110801~1121031 [特徵融合、特徵提取、市場投資組合、網絡時間序列 , feature fusion,feature extraction,market portfolio,network time series]

電子零件自動參數擷取系統(2/2) 1110801~1120531 [自動化工程、零件工程視圖、最大概似估計、物件偵測、統計建模、文字辨識 , automation,component drawing,maximum likelihood estimation,object detection,statistical modeling,text recognition]

產學合作計畫統計

電子零件自動參數擷取系統(2/2) 1110601~1120531 [自動化工程、零件工程視圖、最大概似估計、物件偵測、統計建模、文字辨識 , automation,component drawing,maximum likelihood estimation,object detection,statistical modeling,text recognition]

期刊著作

An algorithm for estimating threshold boundary regression models Computational Statistics and Data Analysis, 214, 2026-02-01 [ Least-squares method,Support vector machine,Weighted binary classification ]

A dynamic stock trading strategy based on machine learning and hypothesis testing 中國統計學報 Journal of the Chinese Statistical Association, 64, 1, 1-30, 2026-01-01 [ 假設檢定、機器學習、最佳停利點、最佳停損點 ]

Temporal and Spatial Alignment-Based Approaches for Text Recognition Journal of Classification, 2026-01-01 [ Anomaly detection,Compressed learning,Dynamic time warping,Feature selection,Kriging ]

Electronic Component Parameter Recognition by a Nonparametric Approach with an Assignment Algorithm Lobachevskii Journal of Mathematics, 46, 10, 5127-5142, 2025-10-01 [ assignment algorithm,automatic recognition,footprint design,nonparametric statistics ]

Catastrophe risk with global climate change determines the price of catastrophe equity puts North American Journal of Economics and Finance, 80, 2025-09-01 [ Catastrophe equity put,Catastrophe risk,Global climate change,Systematic risk ]

Decision-making in renewable energy trading markets using Nash equilibrium and reinforcement Learning 中國統計學報 Journal of the Chinese Statistical Association, 63, 3, 297-336, 2025-09-01 [ energy markets, high-resolution data, Nash equilibrium, Q-learning, reinforcement learning ]

A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference International Journal of Forecasting, 41, 1, 345-360, 2025-01-01 [ Asynchronous time series,GARCH,Variable selection,Variational Bayesian inference,Vector autoregressive model ]

ECOPICA: empirical copula-based independent component analysis Statistics and Computing, 34, 1, 2024-02-01 [ Blind image separation,Cocktail-party problem,Copula,Grasshopper optimization algorithm,Independent component analysis ]

Less Volatile Value-at-Risk Estimation Under a Semi-parametric Approach* Asia-Pacific Journal of Financial Studies, 52, 3, 374-393, 2023-06-01 [ C14,C32,C53,Data sequence,Fluctuation reduction,Generalized nearly isotonic regression,Value-at-risk ]

Using the Kriging Correlation for unsupervised feature selection problems Scientific Reports, 12, 1, 2022-12-01

Classification of Plank Techniques Using Wearable Sensors Sensors, 22, 12, 2022-06-01 [ athlete,coaching,core training,kinematics,motion analysis,sports performance ]

Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach Applied Energy, 309, 2022-03-01 [ Energy demand,Functional time series,High-resolution data,Stochastic covariate,Time-varying coefficients ]

A network autoregressive model with GARCH effects and its applications PLoS ONE, 16, 7 July, 2021-07-01

A shape approximation for medical imaging data Sensors, 20, 20, 1-21, 2020-10-02 [ Imaging data,Parkinson’s disease,PSO algorithm,Shape equation ]

Classification of temporal data using dynamic time warping and compressed learning Biomedical Signal Processing and Control, 57, 2020-03-01 [ Compressed sensing,Dynamic time warping,Temporal data classification ]

Stock market trend prediction using a functional time series approach Quantitative Finance, 20, 1, 69-79, 2020-01-02 [ Area under curve,B-spline,Functional autoregressive model,Multi-resolution,Vector autoregressive model ]

Prediction intervals for time series and their applications to portfolio selection Revstat Statistical Journal, 18, 1, 131-151, 2020-01-01 [ Coherent risk measure,Portfolio selection,Prediction interval ]

Bayesian structure selection for vector autoregression model Journal of Forecasting, 38, 5, 422-439, 2019-08-01 [ Bayesian variable selection,segmentized grouping,time series,universal grouping ]

Multi-asset empirical martingale price estimators for financial derivatives Statistica Sinica, 28, 2, 995-1008, 2018-04-01 [ Empirical martingale simulation,Esscher transform,Multi-asset derivatives pricing ]

Hedging Barrier Options in GARCH Models with Transaction Costs Australian and New Zealand Journal of Statistics, 57, 3, 301-324, 2015-09-01 [ Calendar-spread,First passage time,Static hedging,Strike-spread ]

COPICA—independent component analysis via copula techniques Statistics and Computing, 25, 2, 273-288, 2015-03-01 [ Blind source separation,Canonical maximum likelihood method,Givens rotation matrix,Signal/noise ratio,Simulated annealing algorithm ]

High dimensional mean-variance optimization through factor analysis Journal of Multivariate Analysis, 133, 140-159, 2015-01-01 [ Factor model,Mean-variance optimization,Optimal portfolio allocation ]

Model risk of the implied GARCH-normal model Quantitative Finance, 14, 12, 2215-2224, 2014-12-13 [ Conditional leptokurtic model,Dynamic semiparametric approach,Extended Girsanov principle,GARCH model,Model risk,Option pricing ]

Asymptotic distribution of the EPMS estimator for financial derivatives pricing Computational Statistics and Data Analysis, 73, 129-145, 2014-01-01 [ Empirical P-martingale simulation,Monte Carlo simulation,Option pricing ]

A modified empirical martingale simulation for financial derivative pricing Communications in Statistics - Theory and Methods, 43, 2, 328-342, 2014-01-01 [ Empirical martingale simulation,GARCH,Option pricing ]

Path integral method for limiting distribution of an estimator arising from an ar(1)-process with a unit root Infinite Dimensional Analysis, Quantum Probability and Related Topics, 16, 4, 2013-12-01 [ Classical Wiener space,path-integral method,unit root test ]

Moment bounds and mean squared prediction errors of long-memory time series Annals of Statistics, 41, 3, 1268-1298, 2013-06-01 [ ARFIMA model,Integrated AR model,Long-memory time series,Mean squared prediction error,Moment bound,Multi-step prediction ]

An optimal multi-step quadratic risk-adjusted hedging strategy Journal of the Korean Statistical Society, 42, 1, 37-49, 2013-03-01 [ Discrete time hedging,Extended Girsanov principle,Multi-step hedging,Quadratic risk minimization,Risk-adjusted criterion ]

Financial derivative valuation - a dynamic semiparametric approach Statistica Sinica, 19, 3, 1037-1054, 2009-07-01 [ American option,Black-Scholes model,Convertible bond,Copula,European option,Jump-diffusion model,Multi-dimensional option pricing,NGARCH model ]

研討會著作

An LLM-Assisted Framework for Extracting Pinout Information of IC Components 579-580, 2026-01-01 [ EAST,electronic design automation,IC diagram,LLM,pinout recognition ]

Portfolio Optimization Based on Dynamic Networks and Vine Copulas 2025-08-20 [ financial network, minimum spanning tree, network centrality, portfolio optimization, vine copula ]

Portfolio Optimization Based on Dynamic Networks and Vine Copulas 2024-12-15 [ financial network, minimum spanning tree, network centrality, portfolio optimization, vine copula ]

A Modified VAR-deGARCH Model for Asynchronous Multivariate Financial Time Series via Variational Bayesian Inference 2024-07-17 [ asynchronous time series, GARCH, variable selection, variational Bayesian inference, vector autoregressive model ]

Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information 2024-07-09 [ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]

A Modified VAR-deGARCH Model for Asynchronous Multivariate Financial Time Series via Variational Bayesian Inference 2024-04-05 [ asynchronous time series, GARCH, variable selection, variational Bayesian inference, vector autoregressive model ]

Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information 2023-08-01 [ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]

Forecasting of High-resolution Electricity Consumption with Stochastic Climatic Covariates via a Functional Time Series Approach 2023-07-12 [ energy demand, functional time series, high-resolution data, stochastic covariate, time-varying coefficients ]

Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information 2023-06-02 [ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]

Deep-learning-based Extraction of Electronic Component Parameters from Datasheets 5501-5506, 2021-01-01 [ deep learning,electronic design automation,object detection,text extraction,three-view drawing ]

A Feature Fusion Approach for Multiple Signal Classification 37-42, 2020-12-01 [ autoregressive,common spatial pattern,discrete wavelet transform,functional principal component analysis,multiple signal classification ]

Pricing American options in a jump diffusion model 221-228, 2011-11-23 [ American options,early exercise boundary,early exercise premium,jump diffusion model,McKean's equation ]

專書

Handbook of Computational Finance 605-631, 2012-01-01

Applied Quantitative Finance: Second Edition 295-309, 2008-12-01

校外榮譽

校內獲獎

演講

期刊編輯

邀請校外學者來訪

國內外學術組織擔任重要職務

舉辦研討會

著作審查

金融領域的張量時間序列：建模、估計與預測(1/3)
1150801~1160731

基於聚類分析和強化學習進行投資組合選取之研究
1140801~1150731
[資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]

基於聚類分析和強化學習進行投資組合選取之研究
1130801~1140731
[資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]

基於聚類分析和強化學習進行投資組合選取之研究
1120801~1130731
[資產配置,融合,馬可夫決策問題,投資組合選取,強化學習 , asset allocation,fusion ,Markov decision problem,portfolio selection,reinforcement learning]

時間序列橫斷面資料分析系統及其應用
1110801~1121031
[特徵融合、特徵提取、市場投資組合、網絡時間序列 , feature fusion,feature extraction,market portfolio,network time series]

電子零件自動參數擷取系統(2/2)
1110801~1120531
[自動化工程、零件工程視圖、最大概似估計、物件偵測、統計建模、文字辨識 , automation,component drawing,maximum likelihood estimation,object detection,statistical modeling,text recognition]

電子零件自動參數擷取系統(2/2)
1110601~1120531
[自動化工程、零件工程視圖、最大概似估計、物件偵測、統計建模、文字辨識 , automation,component drawing,maximum likelihood estimation,object detection,statistical modeling,text recognition]

An algorithm for estimating threshold boundary regression models
Computational Statistics and Data Analysis, 214, 2026-02-01
[ Least-squares method,Support vector machine,Weighted binary classification ]

A dynamic stock trading strategy based on machine learning and hypothesis testing
中國統計學報 Journal of the Chinese Statistical Association, 64, 1, 1-30, 2026-01-01
[ 假設檢定、機器學習、最佳停利點、最佳停損點 ]

Temporal and Spatial Alignment-Based Approaches for Text Recognition
Journal of Classification, 2026-01-01
[ Anomaly detection,Compressed learning,Dynamic time warping,Feature selection,Kriging ]

Electronic Component Parameter Recognition by a Nonparametric Approach with an Assignment Algorithm
Lobachevskii Journal of Mathematics, 46, 10, 5127-5142, 2025-10-01
[ assignment algorithm,automatic recognition,footprint design,nonparametric statistics ]

Catastrophe risk with global climate change determines the price of catastrophe equity puts
North American Journal of Economics and Finance, 80, 2025-09-01
[ Catastrophe equity put,Catastrophe risk,Global climate change,Systematic risk ]

Decision-making in renewable energy trading markets using Nash equilibrium and reinforcement Learning
中國統計學報 Journal of the Chinese Statistical Association, 63, 3, 297-336, 2025-09-01
[ energy markets, high-resolution data, Nash equilibrium, Q-learning, reinforcement learning ]

A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference
International Journal of Forecasting, 41, 1, 345-360, 2025-01-01
[ Asynchronous time series,GARCH,Variable selection,Variational Bayesian inference,Vector autoregressive model ]

ECOPICA: empirical copula-based independent component analysis
Statistics and Computing, 34, 1, 2024-02-01
[ Blind image separation,Cocktail-party problem,Copula,Grasshopper optimization algorithm,Independent component analysis ]

Less Volatile Value-at-Risk Estimation Under a Semi-parametric Approach*
Asia-Pacific Journal of Financial Studies, 52, 3, 374-393, 2023-06-01
[ C14,C32,C53,Data sequence,Fluctuation reduction,Generalized nearly isotonic regression,Value-at-risk ]

Using the Kriging Correlation for unsupervised feature selection problems
Scientific Reports, 12, 1, 2022-12-01

Classification of Plank Techniques Using Wearable Sensors
Sensors, 22, 12, 2022-06-01
[ athlete,coaching,core training,kinematics,motion analysis,sports performance ]

Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach
Applied Energy, 309, 2022-03-01
[ Energy demand,Functional time series,High-resolution data,Stochastic covariate,Time-varying coefficients ]

A network autoregressive model with GARCH effects and its applications
PLoS ONE, 16, 7 July, 2021-07-01

A shape approximation for medical imaging data
Sensors, 20, 20, 1-21, 2020-10-02
[ Imaging data,Parkinson’s disease,PSO algorithm,Shape equation ]

Classification of temporal data using dynamic time warping and compressed learning
Biomedical Signal Processing and Control, 57, 2020-03-01
[ Compressed sensing,Dynamic time warping,Temporal data classification ]

Stock market trend prediction using a functional time series approach
Quantitative Finance, 20, 1, 69-79, 2020-01-02
[ Area under curve,B-spline,Functional autoregressive model,Multi-resolution,Vector autoregressive model ]

Prediction intervals for time series and their applications to portfolio selection
Revstat Statistical Journal, 18, 1, 131-151, 2020-01-01
[ Coherent risk measure,Portfolio selection,Prediction interval ]

Bayesian structure selection for vector autoregression model
Journal of Forecasting, 38, 5, 422-439, 2019-08-01
[ Bayesian variable selection,segmentized grouping,time series,universal grouping ]

Multi-asset empirical martingale price estimators for financial derivatives
Statistica Sinica, 28, 2, 995-1008, 2018-04-01
[ Empirical martingale simulation,Esscher transform,Multi-asset derivatives pricing ]

Hedging Barrier Options in GARCH Models with Transaction Costs
Australian and New Zealand Journal of Statistics, 57, 3, 301-324, 2015-09-01
[ Calendar-spread,First passage time,Static hedging,Strike-spread ]

COPICA—independent component analysis via copula techniques
Statistics and Computing, 25, 2, 273-288, 2015-03-01
[ Blind source separation,Canonical maximum likelihood method,Givens rotation matrix,Signal/noise ratio,Simulated annealing algorithm ]

High dimensional mean-variance optimization through factor analysis
Journal of Multivariate Analysis, 133, 140-159, 2015-01-01
[ Factor model,Mean-variance optimization,Optimal portfolio allocation ]

Model risk of the implied GARCH-normal model
Quantitative Finance, 14, 12, 2215-2224, 2014-12-13
[ Conditional leptokurtic model,Dynamic semiparametric approach,Extended Girsanov principle,GARCH model,Model risk,Option pricing ]

Asymptotic distribution of the EPMS estimator for financial derivatives pricing
Computational Statistics and Data Analysis, 73, 129-145, 2014-01-01
[ Empirical P-martingale simulation,Monte Carlo simulation,Option pricing ]

A modified empirical martingale simulation for financial derivative pricing
Communications in Statistics - Theory and Methods, 43, 2, 328-342, 2014-01-01
[ Empirical martingale simulation,GARCH,Option pricing ]

Path integral method for limiting distribution of an estimator arising from an ar(1)-process with a unit root
Infinite Dimensional Analysis, Quantum Probability and Related Topics, 16, 4, 2013-12-01
[ Classical Wiener space,path-integral method,unit root test ]

Moment bounds and mean squared prediction errors of long-memory time series
Annals of Statistics, 41, 3, 1268-1298, 2013-06-01
[ ARFIMA model,Integrated AR model,Long-memory time series,Mean squared prediction error,Moment bound,Multi-step prediction ]

An optimal multi-step quadratic risk-adjusted hedging strategy
Journal of the Korean Statistical Society, 42, 1, 37-49, 2013-03-01
[ Discrete time hedging,Extended Girsanov principle,Multi-step hedging,Quadratic risk minimization,Risk-adjusted criterion ]

Financial derivative valuation - a dynamic semiparametric approach
Statistica Sinica, 19, 3, 1037-1054, 2009-07-01
[ American option,Black-Scholes model,Convertible bond,Copula,European option,Jump-diffusion model,Multi-dimensional option pricing,NGARCH model ]

An LLM-Assisted Framework for Extracting Pinout Information of IC Components
579-580, 2026-01-01
[ EAST,electronic design automation,IC diagram,LLM,pinout recognition ]

Portfolio Optimization Based on Dynamic Networks and Vine Copulas
2025-08-20
[ financial network, minimum spanning tree, network centrality, portfolio optimization, vine copula ]

Portfolio Optimization Based on Dynamic Networks and Vine Copulas
2024-12-15
[ financial network, minimum spanning tree, network centrality, portfolio optimization, vine copula ]

A Modified VAR-deGARCH Model for Asynchronous Multivariate Financial Time Series via Variational Bayesian Inference
2024-07-17
[ asynchronous time series, GARCH, variable selection, variational Bayesian inference, vector autoregressive model ]

Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
2024-07-09
[ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]

A Modified VAR-deGARCH Model for Asynchronous Multivariate Financial Time Series via Variational Bayesian Inference
2024-04-05
[ asynchronous time series, GARCH, variable selection, variational Bayesian inference, vector autoregressive model ]

Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
2023-08-01
[ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]

Forecasting of High-resolution Electricity Consumption with Stochastic Climatic Covariates via a Functional Time Series Approach
2023-07-12
[ energy demand, functional time series, high-resolution data, stochastic covariate, time-varying coefficients ]

Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
2023-06-02
[ Bayesian inference, multivariate time series, regime-switching, hysteresis, soft information ]

Deep-learning-based Extraction of Electronic Component Parameters from Datasheets
5501-5506, 2021-01-01
[ deep learning,electronic design automation,object detection,text extraction,three-view drawing ]

A Feature Fusion Approach for Multiple Signal Classification
37-42, 2020-12-01
[ autoregressive,common spatial pattern,discrete wavelet transform,functional principal component analysis,multiple signal classification ]

Pricing American options in a jump diffusion model
221-228, 2011-11-23
[ American options,early exercise boundary,early exercise premium,jump diffusion model,McKean's equation ]

Handbook of Computational Finance
605-631, 2012-01-01

Applied Quantitative Finance: Second Edition
295-309, 2008-12-01