Remi (Yu-Lieh Huang)

Professor of Quantitative Finance at NTHU

Researcher of CRETA at NTU

Remi (Yu-Lieh Huang)

Professor of Quantitative Finance at NTHU

Researcher of CRETA at NTU

Resume
Experience
Professor
2015 ~ Present
Professor

Department of Quantitative Finance

National Tsing Hua University

Certificate
Associate Professor
2007 ~ 2015
Associate Professor

Department of Quantitative Finance

National Tsing Hua University

Assistant Professor
2002 ~ 2007
Assistant Professor

Department of Quantitative Finance

National Tsing Hua University

Education
National Taiwan University
1997 ~ 2002
National Taiwan University

Ph.D., Department of Economics

Certificate
National Taiwan University
1995 ~ 1997
National Taiwan University

M.A., Department of Economics

Languages
  • Taiwanness
  • Mandarin
  • English
  • French
Coding Skills
  • R
    90%
  • Python
    85%
  • Gauss
    80%
  • EViews
    75%
Research Fields
  • Econometric Theory
  • Data Analysis
  • Text Mining
  • Machine Learning
Teaching Courses
  • Data Analysis
  • Introduction to Business and Quantitative Finance
  • Machine Learning and Financial Intelligence
  • Research Methods and Academic Ethics
  • ESG and Sustainable Development of The Enterprise
  • Econometrics
  • Mathematical Finance
  • Financial Time Series Analysis

0 0 0 3 8 7

Published Articles
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Chen, C.C., Y.L. Huang and Yang, F. (2024), “Semantics Matter: An Empirical Study on Economic Policy Uncertainty Index,” International Review of Economics and Finance, 89, 1286-1302.

Chen, C.C., Huang, H.H., Takamura, H., Kato, M.P., Y.L. Huang (2022), “FinTech on theWeb,” ACM Transactions on the Web, 17,1-3.

Huang, Y.L. and C.M. Kuan (2021), “Economic Prediction with the FOMC Minutes: An Application of Text Mining,” International Review of Economics and Finance, 71, 751-761.

Huang, Y.L., J.H. Yeh and C.C. Chen (2021), “Economic Policy Uncertainty Index for Taiwan,” Taiwan Economic Review, 49, 307-334. (in Chinese)

Huang, Y.L. and C.M. Kuan (2019), “Text Mining of the FOMC Minutes and Forecasts of Taiwan Economic Variables,” Taiwan Economic Review, 47, 363-391. (in Chinese)

Wu, J.Y. and Y.L. Huang (2017), “Impact of US and Japan Quantitative Easing Policies on Taiwan: A GVAR Approach,” Taiwan Economic Forecast and Policy, 48, 1-39. (in Chinese)

Chen, J-H, Y.L. Huang and J.R. Chang (2017), “Robust Good-Deal Bounds in Incomplete Markets: The Case of Taiwan,” Hitotsubashi Journal of Economics, 58, 53-67.

Lu, T.S., J.R. Chang and Y.L. Huang (2016), “Can Anomalies be Explained by Technical Analysis? Evidence from Candlestick Patterns,” Advances in Investment Analysis and Portfolio Management, 7, 65-83.53-67.

Chen, S.L. and Y.L. Huang (2015), “Taiwan Business Reference Series Re-examination,” Taiwan Economic Forecast and Policy, 46, 1-42.

Huang, Y.L. and C.H. Huang (2015), “Uncertain Effect of Shocks vs. Uncertain Unit Root: An Alternative View of U.S. Real GDP,” Hitotsubashi Journal of Economics, 56, 117-134.

Chen, S.L. and Y.L. Huang (2014), “Actuarial Implications of Structural Changes in El Nino-Southern Oscillation Index Dynamics,” Annals of Financial Economics, 9, 125-138.

Bao, Xiaohue,  Y.L. Huang,  and  P.T. Lin  (2014),  “Volatility Clustering  in  Land  Markets,”  Property  Management32, 378-385.

Huang, Y.L. (2014), “Testing Markov Switching Models,” Applied Economics, 46, 2047-2051.

Huang, Y.L., J. T. Tsay, S.S. Yang, and H. W. Cheng (2014), “Price Bounds of Mortality-Linked Security in Incomplete Insuarance Market,” Insurance: Mathematics and Economics, 55, 30-39.

Kuan, C.M, C. C. Hsu, Y.L. Huang and S. H. Hsu (2014), “Financial Conditions and the Macroeconomy in Taiwan,” Taiwan Economic Forecast and Policy, 44, 103-132. (in Chinese)

Chen, S.L. and Y.L. Huang (2014), “An Evaluation of Component Series of Business Indicators: An Application of LARS Method,” Taiwan Economic Forecast and Policy, 44, 133-170. (in Chinese)

Chen, S.L., C.H. Huang and Y.L. Huang (2012), “International Economic Linkages between Taiwan and the World: A Global Vector Autoregressive Approach,” Academia Economic Papers, 40, 343-375.

Lin, C.C., Y.L. Huang and C. Lu (2012), “Estimating Mortgage Prepayment Rates using the Gibbs-Sampling Approach,” Advances in Financial Planning and Forecasting, 5, 215-230.

Huang, Y.L. (2012), “Measuring Business Cycles: A Temporal Disaggregation Model with Regime Switching,” Economic Modelling, 29,  283-290.

Huang, Y.L. (2010), “Estimating Taiwan’s Monthly GDP in an Exact Kalman Filter Framework: A Research Note,” Taiwan Economic Review, 38, 147-160.

Huang, Y.L. (2009), “Identifying Turbulent and Calm Regimes in Stock Prices: Evidence from the Taiwan Stock Market,” Applied Economics Letters, 14, 1477-1481.

Huang, Y.L., C.H. Huang and C.M. Kuan (2008), “Re-examining the Permanent Income Hypothesis with Uncertainty in Permanent and Transitory Innovation States,” Journal of Macroeconomics, 3, 1816-1836.

Huang, Y.L. and  C.W. Ho (2008), “Beyond the Bull and the Bear: Demarcating Stable and Turbulent Regimes in Stock Markets,” Economic Bulletin, 3, 1-11.

Huang, Y.L. (2008), “An Alternative Estimation Algorithm for Innovation Regime-Switching Models,” Applied Economics Letters, 15, 225-229.

Huang, Y.L. and C.H. Huang (2007), “The Persistence of Taiwan’s Output Fluctuations: An Empirical Study using Innovation Regime-Switching Model,” Applied Economics, 39, 2673-2679.

Huang, Y.L. (2007), “On the Pricing of Collateralized Debt Obligation: A Copula Function Approach,” Academia Economic Papers, 35, 21-52. (in Chinese)

Kuan, C.M., Y.L. Huang and R.S. Tsay (2005), “An Unobserved-Component Model with Switching Permanent and Ttransitory Innovations,” Journal of Business and Economic Statistics, 23, 443-454.

Huang, Y.L., C.C. Hsu and H.W. Chen (2005), “Reference Cycles: The CEPD Methodology Revisited,” Taiwan Economic Review, 33, 295-319. (in Chinese)

Huang, Y.L., C.M. Kuan, and K. Lin (1998), “Identifying the Turning Points of Business Cycles and Forecasting Economic Growth Rates in Taiwan,” Taiwan Economic Review, 26, 431-457. (in Chinese)

Conference Papers

Chung-Chi Chen, H.H. Huang, Y.L. Huang, and H.H. Chen (2021), “Distilling Numeral Information for Volatility Forecasting,”  Proceedings of The 30th ACM International Conference on Information and Knowledge Management (CIKM’21).

Chung-Chi Chen, H.H. Huang, Y.L. Huang, and H.H. Chen (2021), ” Constructing Noise Free Economic Policy Uncertainty Index,”  Proceedings of The 30th ACM International Conference on Information and Knowledge Management (CIKM’21).

Working Papers

 Y.L. Huang (2024), “Textual Analysis and Chinese Sentiment Dictionary,”  Working Paper.

Portfolios
Current Students

2024

  • 陳慧光, 財金專班
  • 陳耀倫, 財金專班
  • 蔡含章, 財金專班
  • 鄭雅薷, 財金專班
  • 柯博智, 財金專班
  • 蔡亞昕, 財金專班
  • 游雅涵, 財金專班
  • 黃振祐, 財金專班
  • 王維彤, 財金專班
  • 周玟妡, 財金專班
  • 李佳儒, 計財所
  • 張庭維, 計財所
  • 簡丞威, 計財所
  • 李冠宇, 計財所
2024
Graduated Students

2023

  • 徐婉瑄, 財金專班
  • 金士為, 財金專班
  • 陳思翰, 財金專班
  • 李柏衡, 財金專班
  • 徐新嵐, 財金專班
  • 周文雄, EMBA
  • 林昕宏, 計財所
  • 曾彥寧, 計財所
2023

2022

  • 陳宜楓, 財金專班
  • 陳詮之, 財金專班
  • 王宜晴, 財金專班
  • 蔡昀蓁, 財金專班
  • 侯國弘, 財金專班
  • 江晨立, 計財所
  • 陳冠維, 計財所
  • 洪慈君, 計財所
  • 周育如, 計財所
2022

2021

  • 黃郁婷, 財金專班
  • 雷程皓, 財金專班
  • 聶瑞毅, 財金專班
  • 王沁婕, 財金專班
  • 吳宜琳, 財金專班
  • 林昱澄, 財金專班
  • 朱桓誼, 計財所
  • 林呈憲, 計財所
  • 蔡佩珊, 計財所
  • 黃偉德, 計財所
  • 李伊婷, 計財所
2021

2020

  • 蔡曉婷, 財金專班
  • 毛登民, 財金專班
  • 林羽淇, 財金專班
  • 張芷菱, 財金專班
  • 謝佩娟, 財金專班
  • 王潔馨, 財金專班
  • 郭庭佑, 財金專班
  • 高芳璘, 財金專班
  • 鄭裕明, 財金專班
  • 楊方瑀, 計財所
  • 謝孟辰, 計財所
  • 謝宇堂, 計財所
  • 杜安迪, 計財所
2020

2019

  • 楊士醇, 財金專班
  • 郭致呈, 財金專班
  • 康宇皓, 財金專班
  • 王瓊佩, 財金專班
  • 李芷華, 財金專班
  • 徐仕旻, 財金專班
  • 蔡政峰, 財金專班
  • 徐卉君, 財金專班
  • 浦家柔, 財金專班
  • 馬偉翔, 財金專班
  • 莫梓晨, 計財所
  • 謝欣穎, 計財所
  • 陳忠傳, 計財所
2019

2018

  • 謝宛宴, 財金專班
  • 劉昱廷, 財金專班
  • 施碩奕, 財金專班
  • 沈家瑜, 財金專班
  • 黃姿蓉, 財金專班
2018

2016

  • 池    凡, 計財所
2016

2015

  • 洪振哲, 計財所
  • 李季芳, 計財所
2015

2014

  • 王敏如, 計財所
  • 戴婉淳, 計財所
2014

2013

  • 賴昭安, 計財所
  • 曾麗玲, 計財所
  • 黃日甫, 計財所
2013

2011

  • 莊雅伊, 計財所
  • 王尹貞, 計財所
2011

2009

  • 林俊宇, 計財所
2009

2008

  • 李宜靜, 科管所
2008

2007

  • 陳祥俊, 經濟所
2007

2006

  • 莊敬平, 經濟所
  • 沈宗慶, 科管所
2006

2005

  • 張淑芳, 科管所
2005
Blogs
December 31, 2023 Happy New Year, 2024

Welcome to Remi’s Home Page 告別 2023, 迎向 2024, 新年快樂.

Contact

Office Hours

Monday Not Avaliable
Tuesday 9:00 ~ 16:00
Wednesday Not Available
Thursday 15:00 ~ 18:00
Friday Not Available
  • Address: 101, Sec 2., Kuang-Fu Rd., CTM Building, Hsinchu, Taiwan
  • Email: ylihuang@mx.nthu.edu.tw
  • Phone: +886 3 5162125
Contact Information

    Chinese Financial Sentiment Lexicon: Background

    文本資料

    建構一部財經中文情緒字典除了需適當的分類模型外,還需要資料、人力等各方面配合。首先,其文本來源應從財經相關的新聞以及政府部門的紀要為主,不應以大眾常用的情緒字眼為考量,才能避免錯誤語意。例如 Ku et al. (2009) 基於社群媒體資訊所建構之情緒字典,其主要考量一般大眾的情緒字詞。

    台大情緒字典
    財經情緒字典

    在台大情緒字點中,「財富」、「資源」、「失業人數」與「徵稅」等都被歸類為情緒字眼。另外,橫跨的資料時間也要夠長,才能考量如「金融海嘯」、「量化寬鬆 (QE)」、與「Covid-19」疫情等字詞的影響性。

    議題分類

    中文博大精深,相同的字詞在不同的議題上常有不同的意涵。

    不同議題下的意涵
    財經情緒字典

    經濟活動「放緩」在「景氣」的議題上屬偏負面或中性字詞,但通膨「放緩」在「物價」議題上則屬正面消息。又例如「上調」存款準備率以及「上調」經濟預測不一定都代表正面消息。而「復甦」、「緊縮」等常見的字詞,在不同的上、下文間就有不一樣的情緒描述 (如「景氣復甦」、「心肺復甦」、「通貨緊縮」、「資金緊縮」與「身子緊縮」)。

    國情考量

    其次,不宜直接將國外的字典直接翻譯 (如英翻中或簡轉繁體),因為不同的國情,用字一定會有差異。

    國外情緒字典
    財經情緒字典

    例如 Loughran and McDonald (2011) 的英文財經情緒字典中,"purporting" 「聲稱」與 "shut"「關上」被認為是某種財經情緒字眼。而 Jiang et al. (2019) 與姜富偉等人 (2021) 的簡體財經字典中,「樂顛顛」、「愛崗敬業」、「出籠」、「漏子」與「新股弱勢」等均為財經相關的情緒字詞。

    Properties

    橫跨資料包含財經相關新聞以及政府部門的紀要,文本資料橫跨期間長 (2003-05 ~2023-12),且容易維護。

    除編製一般正、負面財經情緒字典以外,另還依據「景氣」、「貨幣政策」、「物價」、「利率」、「匯率」、「房地產價格」等議題的情緒字詞進行分類。。

    除了利用大量人力進行標記外,記錄情緒字詞在國內新聞出現的頻率外,亦參考 Loughran and McDonald (2011) 中文翻譯內容以及 Jiang et al. (2019) 與姜富偉等人  (2021) 的簡體財經字典,再透過 Chat-GPT4 進行標記的驗證。

    Usage

    依據特定的關鍵字找出文本中出現此關鍵字的句子(sentence),再以此句為中心,額外增加前、後各 1 個句子 (共 3 個句子) 以形成詞句片斷 (snipped)。再依議題的情緒字詞對詞句片斷進行分類。

    決定議題方向後,即可透過財經情緒字典進行正、負面情緒判斷,以編製情緒指標。建議排除詞句片斷的情緒以免重覆計算。

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