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Shih-Feng Huang  Professor

Shih-Feng Huang  Professor

Office：M504

Tel： (03)422-7151#65458

Fax： (03)425-8602

E-mail：huangsf@ncu.edu.tw 

Web：https://sites.google.com/site/huangsf525

Education 

Ph.D., Department of Applied Mathematics, National Sun Yat-sen University, 2008

Experiences

Director, Graduate Institute of Statistics, National Central University, 2025.2～present

Professor, Graduate Institute of Statistics, National Central University, 2022.8～present

Research Interests  

Time Series Analysis

Financial Engineering

Financial Econometrics

Risk Management

Data Science

Publications 

  1. Huang, S. F.* and Lai, L. B. (2025). Decision-making in renewable energy trading markets using Nash equilibrium and reinforcement Learning. Chinese Stat. Assoc., Accepted. (NSTC 112-2118-M-008-004-MY3) TSSCI
  2. Huang, S. F.* and Chu, Y. W. (2025). A dynamic stock trading strategy based on machine learning and hypothesis testing. Chinese Stat. Assoc., Accepted. (NSTC 112-2118-M-008-004-MY3) TSSCI
  3. Chang, C. H., Huang, S. F., and Lo, Y. S. (2025). Boosted hybrid method for non-stationary data analysis. Chinese Stat. Assoc., Accepted. (NSTC 112-2118-M-008-004-MY3) TSSCI
  4. Lai, W. T., Chen, R. B., and Huang, S. F.* (2025). A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference. International Journal of Forecasting 41, 345-360. (NSTC 112-2118-M-008-004-MY3) SSCI
  5. Pi, H. K., Guo, M. H., Chen, R. B., and Huang, S. F.* (2024). ECOPICA: Empirical copula-based independent component analysis. Statistics and Computing 34, 52. (NSTC 112-2118-M-008-004-MY3) SCI
  6. Huang, S. F. and Wang, D. K.* (2023). A less volatile value-at-risk estimation under a semi-parametric approach. Asia-Pacific Journal of Financial Studies 52, 374-393. https://onlinelibrary.wiley.com/doi/10.1111/ajfs.12433 (MOST 110-2118-M-390-002-MY2) SSCI
  7. Chua, C. H., Guo, M. H., and Huang, S. F.* (2022). Using the kriging correlation for unsupervised feature selection problems. Scientific Reports 12, 11522. https://doi.org/10.1038/s41598-022-15529-4 (MOST 110-2118-M-390-002-MY2) SCI
  8. Chen, Z. R., Tsai, W. C., Huang, S. F., Li, T. Y., and Song, C. Y.* (2022). Classification of plank techniques using wearable sensors. Sensors, 22, SCI
  9. Huang, S. F.* and Liao, Y. P. (2022). Housing price forecasting by generalized additive models. Chinese Stat. Assoc. 60, 95-124. (MOST 110-2118-M-390-002-MY2) TSSCI
  10. Chang, C. H., Chen, Z. B., and Huang, S. F.* (2022). Forecasting of high-resolution electricity consumption with stochastic climatic covariates via a functional time series approach. Applied Energy, 309, 118418. (MOST 110-2118-M-390-002-MY2) SCI
  11. Hong, T. P.*, Chiu, H. W., Huang, S. F., and Chen, Y. T. (2021). Deep-learning-based extraction of electronic component parameters from datasheets. In 2021 IEEE International Conference on Big Data (Big Data)(pp. 5501-5506). IEEE.
  12. Huang, S. F.*, Chiang, H. H., and Lin, Y. J. (2021). A network autoregressive model with GARCH effects and its applications. PLOS ONE, 16, e0255422. (MOST 108-2118-M-390-003-MY2) SCI
  13. Huang, S. F.* and Lin, Y. W. (2020). A features fusion approach for multiple signal classification. In Proceedings of the ICS 2020 Workshop on AI Learning & Statistics. (MOST 108-2118-M-390-003-MY2)
  14. Huang, S. F.*, Wen, Y. H., Chu, C. H., and Hsu, C. C. (2020). A shape approximation for medical imaging data. Sensors, 20, 5879. (MOST 108-2118-M-390-003-MY2) SCI
  15. Huang, S. F.* and Lu, H. P. (2020). Classification of temporal data using dynamic time warping and compressed learning. Biomedical Signal Processing and Control, 57, 101781. (MOST 108-2118-M-390-003-MY2) SCI
  16. Huang, S. F. and Hsu, L.* (2020). Prediction intervals for time series and their applications to portfolio selection. REVSTAT-Stat. J., 18, 131-151. (MOST 104-2118-M-390-003-MY2) SCI
  17. Huang, S. F., Guo, M. H.* and Chen, M. R. (2020). Stock market trend prediction using functional time series approach. Quantitative Finance, 20, 69-79. (MOST 106-2118-M-390- 001-MY2) SCI, SSCI
  18. Huang, P. Y., Hsu, C. S., Hong, T. P.*, Wang, Y. Z., Huang, S. F., and Li, S. M. (2020) Automatic parameter setting in Hough circle transform. In: Nguyen N., Jearanaitanakij K., Selamat A., Trawiński B., Chittayasothorn S. (eds) Intelligent Information and Database Systems. ACIIDS 2020. Lecture Notes in Computer Science, vol 12033, pp. 527-535. Springer, Cham.
  19. Chu, C. H., Lo Huang, M. N., Huang, S. F.*, and Chen, R. B. (2019). Bayesian structure selection for vector autoregression model. Journal of Forecasting, 38, 422-439. (MOST 106-2118-M-390-001-MY2) SSCI
  20. Huang, S. F.* and Lin, T. Y. (2018). A linearization of portfolio optimization problem with general risk measures under multivariate conditional heteroskedastic models. Asia-Pacific Journal of Financial Studies, 47, 449-469. (MOST 106-2118-M-390-001-MY2) SSCI
  21. Huang, S. F.* and Ciou, G. C. (2018). Multi-asset empirical martingale price estimators for financial derivatives. Statistica Sinica, 28, 995-1008. (MOST 104-2118-M-390-003-MY2) SCI
  22. Huang, S. F.*, Lin, C. H., and Lin, T. Y. (2017). Portfolio selection with spectral risk measures. In Applied Quantitative Finance, 3rd Edition (Edited by Härdle, C. Chen, and L. Overbeck), Springer, GmbH Germany, 39-56. (MOST 104-2118-M-390-003-MY2)
  23. Huang, S. F.* and Tsai, C. Y. (2015). Hedging barrier options in GARCH models with transaction costs. Australian & New Zealand Journal of Statistics, 57, 301-324. (NSC 101-2118-M-390-002) SCI
  24. Chen, R. B., Guo, M. H.*, Haerdle, W., and Huang, S. F. (2015). COPICA－Independent component analysis via copula techniques. Statistics and Computing, 25, 273-288. (NSC 101-2118-M-390-002) SCI
  25. Chen, B., Huang, S. F., and Pan, G.* (2015). High dimensional mean-variance optimization through factor analysis. Multivariate Analysis, 133, 140-159. (MOST 103-2118-M-390-003) SCI
  26. Huang, S. F. and Guo, M. H.* (2014). Model risk of the implied GARCH-normal model. Quantitative Finance, 14, 2215-2224. (NSC 99-2118-M-390-003) SCI, SSCI
  27. Huang, S. F.* and Tu, Y. T. (2014). Asymptotic distribution of the EPMS estimator for financial derivatives pricing. Computational Statistics & Data Analysis, 73, 129-145. (NSC 101-2118-M-390-002) SCI
  28. Huang, S. F.* (2014). A modified empirical martingale simulation for financial derivative pricing. Communications in Statistics – Theory and Methods, 43, 328-342. (NSC 100-2118-M-390-001) SCI
  29. Huang, S. F., Lee, Y. J., and Shih, S. H.* (2013). Path integral method for limiting distribution of an estimator arising from an AR(1)-process. Dimens. Anal. Quantum. Probab. Relat. Top., 16, 1350029 (15 pages). (NSC 100-2118-M-390-001) SCI
  30. Chan, N. H., Huang, S. F., and Ing, C.-K.* (2013). Moment bounds and mean squared prediction errors of long-memory time series. Annals of Statistics, 41, 1268-1298. (NSC 100-2118-M-390-001) SCI
  31. Huang, S. F. and Guo, M. H.* (2013). An optimal multi-step quadratic risk-adjusted hedging strategy. Korean Statistical Society, 42, 37-49. (NSC 100-2118-M-390-001) SCI
  32. Huang, S. F.* (2012). A strike-spread hedge of barrier options. Journal of Statistics and Computing, 14, 17-34. (NSC 101-2118-M-390-002)
  33. Guo, M. H., Liu, C. A., and Huang, S. F.* (2012). Dynamic co-movement detection of high frequency financial data. Data Science, 10, 345-362. (NSC 100-2118-M-390-001)
  34. Huang, S. F.* and Yu, J. F. (2012). Hedging rainbow options in discrete time. Chinese Stat. Assoc., 50, 1-20. (NSC 100-2118-M-390-001) TSSCI
  35. Huang, S. F.*, Liu, Y. C., and Wu, J. Y. (2012). An empirical study on implied GARCH models. Data Science, 10, 87-105. (NSC 99-2118-M-390-003)
  36. Huang, S. F.* and Guo, M. H. (2012). Dynamic programming and hedging strategies in discrete time. In Handbook of Computational Finance, (Edited by C. Duan, J. Gentle, and W. Härdle), Springer, Berlin, 605-631. (NSC 98-2118-M-390-003)
  37. Guo, M. H.*, Chang, Y. C., and Huang, S. F. (2011). Pricing American options in a jump diffusion model. Proceedings of the 14th IEEE International Conference on Computational Science and Engineering (CSE-2011), 221-228. EI
  38. Huang, S. F.* and Huang, J. Y. (2009). Hedging strategies against path-dependent contingent claims. Chinese Stat. Assoc., 47, 194-218. (NSC 97-2118-M-194-002) TSSCI
  39. Huang, S. F. and Guo, M. H.* (2009). Financial derivative valuation – A dynamic semiparametric approach. Statistica Sinica, 19, 1037-1054. (NSC 97-2118-M-194-002) SCI
  40. Huang, S. F.* and Guo, M. H. (2009). Valuation of multidimensional Bermudan options. In Applied Quantitative Finance, 2nd Edition (Edited by W. Härdle, N. Hautsch, and L. Overbeck), Springer, Berlin, 295-309.
  41. Myers, J.*, Huang, S. F., and Tsay, J. S. (2007). Exact conditional inference for two-way randomized Bernoulli experiments. Stat. Softw., 21, Code Snippet 1. SCI
  42. Guo, M. H.* and Huang, S. F. (2001). Power approximations for test statistics with dominant components. Statistica Sinica, 11, 675-689. SCI

Teaching

Mathematical Statistics

Financial Time Series

Statistical Methods for Finance  

Statistical Practice

Statistical Inference