高竹嵐

Mixture of Decision-Focused Trading Experts with Adaptive Routing for Mean Variance Portfolio Optimization.

數據科學與工程研究所・共同指導：曾新穆

投資組合管理、交易策略、均值變異數最佳化、目標專注學習、混和專家模型、自適應路由器、Portfolio Management、Mean-Variance Optimization、Decision-focused Learning、Mixture-of-Experts、Adaptive Routing

Prediction Intervals for Time Series

統計學研究所

時間序列預測、區間預測、混合模型、Minusformer、DistPred、time series forecasting、interval prediction、hybrid model

Integrating Variance Reduction Methods into Approximate Best Response for Stable Strategy Evaluation in Imperfect Information Games

統計學研究所

不完美資訊賽局、近似最佳回應、ISMCTS-BR、變異數縮減、共同隨機數、控制變數、imperfect information games、approximate best response、variance reduction、common random numbers、control variates

Time-Series Causal Inference under Underspecified Instruments

統計學研究所

工具變量、向量自我回歸模型、工具不足、因果效應、時間序列、因果圖、Instrumental Variables、Vector Autoregressive Model、Under-specified Instruments、Causal Inference、Time Series、DAGs

TREND: Trusted-Retrieval-Enhanced Diffusion Frameworkfor Medical Label-Noise Learning

數據科學與工程研究所・共同指導：曾新穆

雜訊標籤、資料不平衡、擴散式模型、醫療影像分類、Noisy Labels、Imbalanced Data、Diffusion、Medical Image Classification

Individual Effects of Mixture Autoregressive Panel Models

統計學研究所

個體效應、面板模型、混合狀態模型、自迴歸模型、EM演算法、GLES面板、individual effects、panel models、mixture models、AR models、EM algorithm、GLES Panel

Financial Time Series Generation with Price Jumps using QuantGAN and WGAN-GP

統計學研究所

時間序列、資料增強、深度學習、對抗式生成網路、價格跳躍、異常偵測、Time series、Data augmentation、Deep learning、GANs、Price jump、Anomaly detection

Multi-Scale EMD–Based Deep Learning Approach for Structural Change Monitoring in Equity Markets

統計學研究所

金融時間序列、預測區間、結構性變化偵測、深度學習、頻率分解分析、Financial time series、Prediction interval、Structural change detection、Deep learning、Frequency decomposition analysis

A Study on the Application of Interval and Multivariate Time Series Methods in Stock Price Forecasting

統計學研究所

OHLC、卡爾曼濾波器、VAR、VECM、AIR、Kalman filter

Improving the Efficiency of Time Series Generation via the Sig-MMD

統計學研究所

時間序列生成、簽名特徵、最大均值差異、簽名核、生成對抗網路、計算效率、Time Series Generation、Signature Features、MMD、Signature Kernel、GANs、Efficiency

Effectiveness Evaluation and Improvement of Markov Chain Monte Carlo Stationary Testing

統計學研究所

馬可夫鏈蒙地卡羅、穩態檢測、區塊拔靴法、隱馬可夫鏈、Geweke檢測、Revisiting Gelman-Rubin檢測、Markov Chain Monte Carlo、stationary diagnostic、block-bootstrap、Geweke's diagnostic、Revisiting Gelman-Rubin diagnostic

Prediction of Next Week's Significant Stock Trends Based on Multi-Time Granularity Technical Indicators

數據科學與工程研究所・共同指導：曾新穆

股票趨勢、時間粒度、技術指標、時間序列、巨量資料、Stock Trend、Time Granularity、Technical Indicators、Time Series、Big Data

A State Space Approach for Mixed-Frequency Data: Applications on TAIEX and Macroeconomics

統計學研究所

混頻資料、狀態空間模型、EM演算法、Modulation depth、Mixed-frequency data、State space model、EM algorithm

ATime Series Forecasting Method Combining Kalman Filter and Artificial Neural Networks

統計學研究所

時間序列模型、混合式模型、卡爾曼濾波器、ARIMA、類神經網路、拔靴法、time series model、hybrid model、Kalman filter、ANN、bootstrap

Ensemble Classifier by Sparse Random Projection

統計學研究所

降維、隨機投影、隨機投影整合分類器、Dimensionality reduction、Random projection、Random projection ensemble classifier

The Numbers of State Estimation in Hidden Markov Model and Application of The PIN Model

統計學研究所

隱馬可夫模型、隱藏狀態數、資訊準則、PIN 模型、Hidden Markov Models、The Number of Hidden States、Information Criterion、The PIN Model

Two-Stage Improved VL-Granger Causality Test for Identifying Different Lag Relationships

統計學研究所

Granger 因果試驗、VL-Granger 因果試驗、兩階段、lag、平移量、Granger Causality Test、VL-Granger Causality Test、Two-Stage、translation

Copula-based Clustering on Evaluating the Correlation Structure for Probability of Informed Trading Models

統計學研究所

PIN 模型、copula、知情交易率、EM 演算法、ECM 演算法、Probability of informed trading (PIN)、EM algorithm、ECM algorithm

Hellinger Distance Decision Tree and some issues of CORELEARN package

統計學研究所

類別不平衡、Hellinger Distance、決策樹、CORELEARN、隨機森林、class imbalance、decision tree、random forest

Dynamic Time Warping Algorithm Applied to Covid-19

統計學研究所

動態時間規整、疫情爆發、防疫能力、移動平均、分群、dynamic time warping、outbreak ranking、epidemic prevention ability、moving average、clustering

Simulation study on Analysis of Variance for Fréchet

統計學研究所・共同指導：黃禮珊

Fréchet迴歸、變異數分析、無母數迴歸分析、Fréchet Regression、Analysis of Variance、Nonparametric Regression

Cluster-then-Predict for Binary Classification with Imbalance Problem: Applications of Credit Scoring Models

數據科學與工程研究所・共同指導：鄧惠文

分群、分類、權重縮放、機器學習、極限梯度提升、羅吉斯迴歸、不平衡數據、信用評估、Clustering、Classification、Rescale、Machine learning、XGBoost、Logistic Regression、Imbalanced data、Credit scoring

Combing with Stepwise Regression and Measure Transport Method in High-dimensional Bayesian Lasso

統計學研究所

逐步迴歸、Bayesian Lasso、測量傳輸法、stepwise regression、measure transport method

Prediction of the End-of-Life of Lithium-Ion Battery

統計學研究所

鋰電池、廣義加成性模型、Lithium Battery、General Additive Model、End-of-Life Prediction、Knee Point

Effectiveness Evaluation for Incorporating Expert Trading Behavior in Stock Prediction Models

數據科學與工程研究所・共同指導：曾新穆

股價趨勢預測、機器學習、時間序列、專家投資行為、Stock Trend Prediction、Machine Learning、Time Series、Expert Trading Behavior

The Estimation of the Number of States in Hidden Markov Model

統計學研究所

隱馬可夫模型、隱藏狀態個數、高斯混和模型、最大值望值演算法、卷積神經網路、hidden Markov model、the number of hidden states、Gaussian mixture model、expectation-maximization algorithm、convolutional neural network

Forecasting Error of Markov-Switching Model

統計學研究所

隱馬可夫模型、誤差分解、拔靴法、MSI(2)-AR(1)、Markov-switching model、error decomposition、bootstrap

Information Network analysis of US high frequency stock price by Causal decomposition

統計學研究所

經驗模態分解法、本質分量函數、相位相干性、因果分解、因果網路、網路分析、empirical mode decomposition、intrinsic mode function、phase coherence、causal decomposition、causal network、network analysis

Spatial Statistics Applied to Loan Default Rate

統計學研究所

空間統計、信貸違約率、空間自相關、Spatial Statistics、Loan Default Rate、Spatial Autocorrelation

Estimating mortality rate: Dynamic Factor Copula Model

統計學研究所・共同指導：蔡子晧

死亡率估計、動態因子模型、耦合模型、多變量相關性、死亡率相依、Estimating mortality rate、Dynamic Factor Copula、Copula model、Multivariate correlation、Mortality dependence

Time Series Analysis of Loan Default Rate

統計學研究所

時間序列、ADF、Ljung-Box、ACF、PACF、ARIMA、GARCH、VAR、time series

Data Driven Tree Structure for Probability of Informed Trading (PIN)

統計學研究所

知情交易率、階層式分群法、樹狀結構投票、Probability of Informed Trading、Hierarchical Clustering、Tree Voting

Application of Machine Learning in Arts Ticket

統計學研究所

類神經網路、雙樣本t檢定、相關性分析、藝文節目表現、Neural Network、two sample t-test、artificial performance

Component Inference on Mixture Model of Overdispersion Poisson

統計學研究所

分群、clustering

Face De-identification with GAN

統計學研究所

去識別化、生成對抗神經網絡、影像處理、face de-identification、GAN、image process

Volatility and Efficient Frontier under Hidden Markovian Regime Switching Model

統計學研究所

Markowitz 效率前緣、投資組合、隱馬可夫狀態轉換模型、Markowitzefficient frontier、portfolio、hidden Markovian regime switching model

Application of Machine Learning in Foreign Institutional Investors’ Behavior and Trading Strategies

統計學研究所

機器學習、台股、外資籌碼、交易策略、Machine Learning、Taiwan Stock Index、Foreign Institutional Investors’ Holding、Trading Strategy

On the Validity of Volatility Prediction using Financial Lexicon Features

統計學研究所

文字探勘、詞彙、波動率、Text mining、Lexicon、Volatility

Application of Logistic Regression on MMN Data

統計學研究所・共同指導：王秀瑛

腦波、不匹配負向波、總體經驗模態分解法、邏輯式迴歸、brain wave、mismatch negativity(MMN)、ensemble empirical mode decomposition (EEMD)、logistic regression

Financial Trading with Deep Reinforcement Learning

應用數學系所・共同指導：吳金典

深度強化學習、深度遞迴Q網路、金融交易、外匯市場、deep reinforcement learning、deep recurrent Q-network、financial trading、foreign exchange