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Education |  |
| Ph.D., Department of Applied Mathematics, National Sun Yat-sen University, 2008 Assistant Professor, Department of Mathematics, National Chung Cheng University, 2008.8～2009.7 Assistant Professor, Department of Applied Mathematics, National University of Kaohsiung, 2009.8～2013.1 Associate Professor, Department of Applied Mathematics, National University of Kaohsiung, 2013.2～2016.1 Professor, Department of Applied Mathematics, National University of Kaohsiung, 2016.2～2022.7 Professor, Graduate Institute of Statistics, National Central University, 2022.8～present Director, Institute of Statistics, National University of Kaohsiung, 2013.8～2019.1 Director, Big Data Research Center, National University of Kaohsiung, 2016.2～2022.7 Dean, College of Science, National University of Kaohsiung, 2019.2～2022.1 |
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Research Interests | |
| Time Series Analysis Financial Engineering Financial Econometrics Risk Management Data Science |
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Publications | |
| 1. 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. 2. 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 3. 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 4. 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, 4510. 5. Huang, S. F.* and Liao, Y. P. (2022). Housing price forecasting by generalized additive models. J. Chinese Stat. Assoc. 60, 95-124. 6. 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. 7. 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. 8. 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. 9. 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. 10. 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 11. 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. 12. Huang, S. F. and Hsu, H. L.* (2020). Prediction intervals for time series and their applications to portfolio selection. REVSTAT-Stat. J., 18, 131-151. 13. 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. 14. 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. 15. 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. 16. 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. 17. Huang, S. F.* and Ciou, G. C. (2018). Multi-asset empirical martingale price estimators for financial derivatives. Statistica Sinica, 28, 995-1008. 18. 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 W. Härdle, C. Chen, and L. Overbeck), Springer, GmbH Germany, 39-56. 19. 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. 20. hen, 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. 21. Chen, B., Huang, S. F. and Pan, G.* (2015). High dimensional mean-variance optimization through factor analysis. J. Multivariate Analysis, 133, 140-159. 22. Huang, S. F. and Guo, M. H.* (2014). Model risk of the implied GARCH-normal model. Quantitative Finance, 14, 2215-2224. 23. 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. 24. Huang, S. F.* (2014). A modified empirical martingale simulation for financial derivative pricing. Communications in Statistics - Theory and Methods, 43, 328-342. 25. 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. Infin. Dimens. Anal. Quantum. Probab. Relat. Top., 16, 1350029. 26. 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. 27. Huang, S. F. and Guo, M. H.* (2013). An optimal multi-step quadratic risk-adjusted hedging strategy. J. Korean Statistical Society, 42, 37-49. 28. Huang, S. F.* (2012). A strike-spread hedge of barrier options. Journal of Statistics and Computing, 14, 17-34. 29. Guo, M. H., Liu, C. A., and Huang, S. F.* (2012). Dynamic co-movement detection of high frequency financial data. J. Data Science, 10, 345-362. 30. Huang, S. F.* and Yu, J. F. (2012). Hedging rainbow options in discrete time. J. Chinese Stat. Assoc., 50, 1-20. 31. Huang, S. F.*, Liu, Y. C. and Wu, J. Y. (2012). An empirical study on implied GARCH models. J. Data Science, 10, 87-105. 32. Huang, S. F.* and Guo, M. H. (2012). Dynamic programming and hedging strategies in discrete time. In Handbook of Computational Finance, (Edited by J. C. Duan, J. Gentle, and W. Härdle), Springer, Berlin, 605-631. 33. 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. 34. Huang, S. F.* and Huang, J. Y. (2009). Hedging strategies against path-dependent contingent claims. J. Chinese Stat. Assoc., 47, 194-218. 35. Huang, S. F. and Guo, M. H.* (2009). Financial derivative valuation – A dynamic semiparametric approach. Statistica Sinica, 19, 1037-1054. 36. 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. 37. Myers, J.*, Huang, S. F., and Tsay, J. S. (2007). Exact conditional inference for two-way randomized Bernoulli experiments. J. Stat. Softw., 21, Code Snippet 1. 38. Guo, M. H.* and Huang, S. F. (2001). Power approximations for test statistics with dominant components. Statistica Sinica, 11, 675-689. |
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Teaching | |
| Mathematical Statistics Financial Time Series Statistical Methods for Finance |
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