FIMA Lab

Finance ∙ Intelligence ∙ Math ∙ Analytics

Welcome to FIMA Lab. Founded by Prof. Huei-Wen Teng in 2010 and now based at National Yang Ming Chiao Tung University, Taiwan, we bring together statistics, machine learning, financial engineering, and FinTech to turn data into practical, evidence-based answers. We publish with collaborators around the world, mentor students, and work with industry on real problems. Researchers, students, and companies are all welcome. Get in touch at hwteng@nycu.edu.tw.

Our research spans four pillars, and lab members collaborate across them. Selected publications are listed under each pillar.

1. Explainable AI & FinTech — machine learning for credit scoring and default prediction

Credit-scoring and default-prediction models that keep machine-learning accuracy while staying transparent enough for banks and regulators.

  1. Hung-Yin Chen, Henghsiu Tsai, PingHan Chen, and Huei-Wen Teng. AI Act compliance in credit scoring: reconciling interpretability and accuracy via quadratic terms and powershap. Applied Economics Letters, pages 1–7, 2026.
  2. Huei-Wen Teng, Ming-Hsuan Kang, I-Han Lee, and Le-Chi Bai. Bridging Accuracy and Interpretability: A Rescaled Cluster-then-Predict Approach for Enhanced Credit Scoring. International Review of Financial Analysis, 91:103005, 2024. [pdf]
  3. Le Quoc Tuan, Chih-Yung Lin, and Huei-Wen Teng. Machine learning methods for predicting failures of US commercial bank. Applied Economics Letters, 31(15):1353–1359, 2024.
  4. Huei-Wen Teng and Michael Lee. Estimation Procedures of Using Five Alternative Machine Learning Methods for Predicting Credit Card Default. Review of Pacific Basin Financial Markets and Policies, 22(03):1950021, 2019.

2. Trading & Portfolio Management — empirical asset pricing with machine learning

Forecasting stock returns, earnings and Bitcoin volatility from market data and text, and building portfolios on those forecasts.

  1. Huei-Wen Teng and Han-Yi Chiou. Forecasting Intraday Bitcoin Volatility: Do Financial News Embeddings Add Value Beyond Market Microstructure? Finance Research Letters, 114:110976, 2026. [pdf]
  2. Huei-Wen Teng, Yu-Chuan Shih, and Ming-Hsuan Kang. Qualitative insights meet quantitative forecasts with GPT-4o mini for Taiwan earnings prediction. Journal of the Chinese Statistical Association, 64:417–450, 2026. [pdf]
  3. Yu-Jui Chen, Chen-Yen Hsieh, Huei-Wen Teng, Ming-Che Hu, and Alex YiHou Huang. Risk parity strategies with risk factors. Journal of Risk, 27(5):1–27, 2025.
  4. Huei-Wen Teng. Comparisons between the Markowitz Model and the Black-Litterman Model. In Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives, volume 3, chapter 85, pages 2727–2749. World Scientific, Singapore, 2024.
  5. Huei-Wen Teng and Yu-Hsien Li. Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors? Digital Finance, 5(1):149–182, 2023. [pdf]
  6. Huei Wen Teng, Yu-Hsien Li, and Shang-Wen Chang. Machine Learning in Empirical Asset Pricing Models. In 2020 International Conference on Pervasive Artificial Intelligence (ICPAI), pages 123–129. IEEE, 2020.
  7. Wei-Hung Lin, Huei-Wen Teng, and Chi-Chun Yang. A heteroskedastic Black-Litterman portfolio optimization model with views derived from a predictive regression. In Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, edited by Cheng Few Lee and John Lee, volume 1, chapter 14, pages 563–581. World Scientific, Hackensack, NJ, 2020.
  8. Cheng-Der Fuh, Huei-Wen Teng, and Ren-Her Wang. On-Line VWAP trading strategies. Sequential Analysis, 29(3):292–310, 2010.

3. Financial Market Risk Management — tail risk and digital asset regulation

Tail risk, Value-at-Risk and expected shortfall for Basel capital, and the regulation of digital assets.

  1. Huei-Wen Teng, Wolfgang K Härdle, Jörg Osterrieder, Daniel Traian Pele, et al. Digital assets: risks, regulations, mitigation. Financial Innovation, 12(1):65, 2026.
  2. Ioana Florina Coita, Marcos R. Machado, et al. (with Huei-Wen Teng). Taxonomy of fraud types in alternative finance using hybrid systematic review. International Journal of Information Management Data Insights, 6(2):100435, 2026.
  3. Huei-Wen Teng, Hsin-Pei Huang, and Yu-Chuan Shih. Tail risk in Bitcoin under the Basel framework. Finance Research Letters, 86:108528, 2025.
  4. Huei-Wen Teng. Importance Sampling for Calculating the Value-at-Risk and Expected Shortfall of the Quadratic Portfolio with t-Distributed Risk Factors. Computational Economics, 62(3):1125–1154, 2023. [pdf]
  5. Cheng-Der Fuh, Huei-Wen Teng, and Ren-Her Wang. Efficient simulation of value-at-risk under a jump diffusion model: A new method for moderate deviation events. Computational Economics, 51(4):973–990, 2018.
  6. Huei-Wen Teng. A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management. In 2017 Winter Simulation Conference (WSC), pages 469–480. IEEE, 2017.

4. Financial Derivatives Pricing — Monte Carlo simulation and cryptocurrency options

Monte Carlo methods for pricing and hedging options, including cryptocurrency options.

  1. Yung-Chi Chang, Huei-Wen Teng, and Wolfgang Härdle. Stochastic volatility dynamic hedging for Deribit BTC options. Journal of Futures and Options, 16(2):1–48, 2023.
  2. Huei-Wen Teng and Ming-Hsuan Kang. On accelerating Monte Carlo integration using orthogonal projections. Methodology and Computing in Applied Probability, 24(2):1143–1168, 2022. [pdf]
  3. Huei-Wen Teng and Xiang-An Zhao. On pricing quanto options with spherical Monte Carlo simulation. Journal of Futures and Options, 14(2):25–82, 2021.
  4. Yuh-Dauh Lyuu, Huei-Wen Teng, Yao-Te Tseng, and Sheng-Xiang Wang. A systematic and efficient simulation scheme for the Greeks of financial derivatives. Quantitative Finance, 19(7):1199–1219, 2019.
  5. Huei-Wen Teng, Cheng-Der Fuh, and Chun-Chieh Chen. On an automatic and optimal importance sampling approach with applications in finance. Quantitative Finance, 16(8):1259–1271, 2016.
  6. Wolfgang Karl Härdle, Brenda López-Cabrera, and Huei-Wen Teng. State price densities implied from weather derivatives. Insurance: Mathematics and Economics, 64:106–125, 2015.
  7. Chun-Chieh Chen, Cheng-Der Fuh, and Huei-Wen Teng. Efficient Option Pricing with Importance Sampling. Journal of the Chinese Statistical Association, 51(3):253–273, 2013.
  8. Yuh-Dauh Lyuu and Huei-Wen Teng. Unbiased and efficient Greeks of financial Options. Finance and Stochastics, 15(1):141–181, 2011.

5. Miscellaneous

  1. Huei-Wen Teng and Cheng-Der Fuh. Simulating false alarm probability in K-distributed sea clutter. Communications in Statistics-Simulation and Computation, 51(9):5081–5098, 2022.
  2. Sheng-Feng Luo, Huei-Wen Teng, and Yu-Hsuan Lee. Forecasting mortality using imputed data: The case of Taiwan. Asia-Pacific Journal of Risk and Insurance, 10(1):1–20, 2016.
  3. Huei-Wen Teng, Ming-Hsuan Kang, and Cheng-Der Fuh. On spherical Monte Carlo simulations for multivariate normal probabilities. Advances in Applied Probability, 47(3):817–836, 2015.
  4. Huei-Wen Teng, Wen-Liang Hung, and Yen-Ju Chao. Bayesian Markov chain Monte Carlo imputation for the transiting exoplanets with an application in clustering analysis. Journal of Applied Statistics, 42(5):1120–1132, 2015.
  5. Tse-Chuan Yang, Huei-Wen Teng, and Murali Haran. The impacts of social capital on infant mortality in the U.S.: A spatial investigation. Applied Spatial Analysis and Policy, 2(3):211–227, 2009.

Interested in Joining? Let’s Make an Impact Together!

  1. Enrolling in my Machine Learning & FinTech course is a great way to build relevant skills for our research — it’s highly recommended.
  2. MUST attend weekly lab meeting on Wednesday afternoon.
  3. If you are from a different department, we encourage you to review the suggested course plan to help build a solid foundation in finance.
  4. Email me! ✉️ hwteng@nycu.edu.tw

🏠 Back Home