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Publications
Journal
- Bernard Lee, Shih-Fen Cheng and Annie Koh.
Would Price Limits Have Made any Difference to the 'Flash Crash' on May 6, 2010,
Review of Futures Market, 19(Special IFM Issue): 55-93, 2011.
- An earlier version appeared in the 21st Asia-Pacific Futures Research Symposium (APFRS-11), Singapore, February 2011.
- Shih-Fen Cheng, John Tajan, and Hoong Chuin Lau.
Robust distributed scheduling via time period aggregation, Web Intelligence and Agent Systems, accepted, 2011.
- Bernard Lee, Shih-Fen Cheng and Annie Koh.
An analysis of extreme price shocks and illiquidity among systematic trend followers,
Review of Futures Market, 18(4): 385-419, 2010.
- An earlier version appeared in the 20th Asia-Pacific Futures Research Symposium (APFRS-10), Hong Kong, February 2010.
- This research was also presented in the R/Rmetrics Singapore Conference 2010 - Computational Topics in Finance, Singapore, February 2010 and 5th International Symposium on Financial Engineering and Risk Management, Taipei, Taiwan, June 2010.
- Shih-Fen Cheng, Marina A. Epelman and Robert L. Smith.
CoSIGN: A parallel algorithm for coordinated traffic signal control,
IEEE Transactions on Intelligent Transportation Systems, 7(4): 551-564, 2006.
- Shih-Fen Cheng, Evan Leung, Kevin M. Lochner, Kevin O'Malley, Daniel M. Reeves, Julian L. Schvartzman, and Michael P. Wellman.
Walverine: A Walrasian trading agent,
Decision Support Systems, 39: 169-184, 2005.
- An earlier version appeared in AAMAS-03, pages 465-472, Melbourne, Australia, July 2003.
- Michael P. Wellman, Shih-Fen Cheng, Daniel M. Reeves and Kevin M. Lochner.
Trading agents competing: Performance, progress, and market effectiveness,
IEEE Intelligent Systems, 18(6): 48-53, 2003.
- An earlier version appeared in IJCAI-03 Workshop on Trading Agent Design and Analysis, Acapulco, Mexico, August 2003.
Referred Conference
- Shih-Fen Cheng and Thi Duong Nguyen.
TaxiSim: A multiagent simulation platform for evaluating taxi fleet operations,
2011 IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT-11), pages 14-21, Lyon, France, August 2011.
- Pradeep Varakantham, Shih-Fen Cheng and Thi Duong Nguyen.
Decentralized Decision Support for an agent population in dynamic and uncertain domains (Extended Abstract),
10th International Joint Conference on Autonomous Agents and MultiAgent Systems (AAMAS-11), pages 1147-1148, Taipei, Taiwan, May 2011.
- Bernard Lee, Shih-Fen Cheng and Annie Koh.
Would Position Limits Have Made any Difference to the 'Flash Crash' on May 6, 2010,
21st Asia-Pacific Futures Research Symposium (APFRS-11), Singapore, February 2011.
- Shih-Fen Cheng.
Event study method for validating agent-based trading simulations,
2010 IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT-10), pages 465-469, Toronto, Canada, September 2010.
- Bernard Lee, Shih-Fen Cheng and Annie Koh.
An analysis of extreme price shocks and illiquidity among systematic trend followers,
20th Asia-Pacific Futures Research Symposium (APFRS-10), Hong Kong, February 2010.
- Shih-Fen Cheng and Xin Qu.
A service choice model for optimizing taxi service delivery,
12th International IEEE Conference on Intelligent Transportation Systems (ITSC-09), pages 66-71, St. Louis, MO, October 2009.
- Shih-Fen Cheng and Yee Pin Lim.
An agent-based commodity trading simulation,
21st Annual Conference on Innovative Applications of Artificial Intelligence (IAAI-09), pages 72-78, Pasadena, CA, July 2009.
- Shih-Fen Cheng, John Tajan, and Hoong Chuin Lau.
Distributing complementary resources across multiple periods with stochastic demand: Hedging via time frame aggregation,
2008 IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT-08), pages 373-379, Sydney, Australia, December 2008.
- Shih-Fen Cheng.
Designing the market game for a commodity trading simulation,
2007 IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT-07), pages 445-449, San Jose, CA, November 2007.
- Hoong Chuin Lau, Shih-Fen Cheng, Thin Yin Leong, Jong Han Park, and Zhengyi Zhao.
Multi-period combinatorial auction mechanism for distributed resource allocation and scheduling,
2007 IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT-07), pages 407-411, San Jose, CA, November 2007.
- Shih-Fen Cheng and Michael P. Wellman.
Iterated weaker-than-weak dominance,
20th International Joint Conference on Artificial Intelligence (IJCAI-07), pages 1233-1238, Hyderabad, India, January 2007.
- Michael P. Wellman, Daniel M. Reeves, Kevin M. Lochner, Shih-Fen Cheng, and Rahul Suri.
Approximate strategic reasoning through hierarchical reduction of large symmetric games,
20th National Conference on Artificial Intelligence (AAAI-05), pages 502-508, Pittsburgh, PA, July 2005.
- Shih-Fen Cheng, Chung-Chih Chou, Cheng-Yu Lin and Dar-Zen Chen.
Computer-aided sketching of articulated gear mechanisms,
13th Chinese Society of Mechanical Engineers Annual Conference, pages 298-304, Taipei, Taiwan, 1996.
Referred Workshop
Referred Technical Demo
Articles in Books
- Shih-Fen Cheng, Michael P. Wellman and Dennis G. Perry.
Market-based resource allocation for information-collection scenarios.
In K. Kurumatani, S.-H. Chen, and A. Ohuchi, editors, Multiagent for Mass User Support, LNAI 3012, pages 33-47. Springer-Verlag, January 2004.
Media Mentions
- Clearing Corp funds derivatives research, Financial Times, May 3, 2010.
- IFM to fund clearing, position-limit studies, Futures Magazine, May 2, 2010.
- Watching for the tipping point, Business Times, March 23, 2010.
Technical Reports, Working Paper and Others
* The date on working paper reflects latest draft.
- Density clustering technique for noisy and low-resolution spatio-temporal data (with Dongchang Liu), working paper, 2011.
- A dynamic programming approach to achieving an optimal end state along a serial production line (with Blake Nicholson, Marina A. Epelman, Daniel Reaume, and Robert L. Smith),
under revision for 2nd round review, 2010.
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Sampled fictitious play for multi-action stochastic dynamic programs (with Archis Ghate, Stephen Baumert, Daniel Reaume, Dushyant Sharma, and Robert L. Smith),
under revision for 2nd round review
(earlier version available as IOE Technical Report 05-05), 2010.
Presentations
- Shih-Fen Cheng.
Parallel Markets, Interdependent Assets, and Market Crashes: An Agent-Based Modeling Perspective,
2011 Winter Workshop on Economic Heterogeneous Interacting Agents (2011 Winter WEHIA), Tianjin, China, November 2011.
- Shih-Fen Cheng, Bernard Lee, and Annie Koh.
Parallel Markets, Interdependent Assets, and Market Crashes: An Agent-Based Modeling Perspective,
17th International Conference on Computing in Economics and Finance (CEF 2011), San Francisco, CA, June 2011.
- Shih-Fen Cheng, Bernard Lee, and Annie Koh.
Evaluating the impact of extreme conditions in financial markets with a flexible agent-based market simulation,
16th International Conference on Computing in Economics and Finance (CEF 2010), London, UK, July 2010.
- Bernard Lee, Shih-Fen Cheng and Annie Koh.
An analysis of extreme price shocks and illiquidity among trend followers,
5th International Symposium on Financial Engineering and Risk Management, Taipei, Taiwan, June 2010.
- Bernard Lee, Shih-Fen Cheng and Annie Koh.
An analysis of extreme price shocks and illiquidity among trend followers,
R/Rmetrics Singapore Conference 2010 - Computational Topics in Finance, Singapore, February 2010.
- Shih-Fen Cheng, Darshan Santani, and Jason Woodard.
Optimal routing policy for taxi queuing,
INFORMS Annual Meeting, Washington, DC, October 2008.
- Shih-Fen Cheng.
Game-theoretic approaches for complex systems optimization (Dantzig Dissertation Award presentation),
INFORMS Annual Meeting, Seattle, WA, November 2007.
- Hoong Chuin Lau, Shih-Fen Cheng, and Thin Ying Leong.
Combinatorial auction for multi-period distributed resource allocation,
INFORMS Annual Meeting, Seattle, WA, November 2007.
- Shih-Fen Cheng.
Learning best reply evaluations in the sample fictitious play algorithm,
INFORMS Annual Meeting, Seattle, WA, November 2007.
- Danny Oh, Shih-Fen Cheng, Dan Ma, and Ravi Bapna.
Designing an experimental gaming platform for trading grid resources,
Third International Workshop on Grid Computing and Applications, Singapore, June 2007.
- Danny Oh, Shih-Fen Cheng, Dan Ma, and Ravi Bapna.
Designing an experimental gaming platform for trading grid resources,
Second International Conference on Design Science Research in Information Systems & Technology, Pasadena,
CA, May 2007.
- Shih-Fen Cheng, Blake Nicholson, Marina A. Epelman, Daniel Reaume, and Robert L. Smith.
A dynamic programming approach to the end-state problem,
Symposium on Complexity and Advanced Analytics: Theory and Applications, Detroit, MI, October 2006.
- Shih-Fen Cheng, Marina A. Epelman and Robert L. Smith.
A fictitious play algorithm for coordinated traffic signal control and dynamic route guidance,
INFORMS Annual Meeting, San Francisco, CA, November 2005.
- Shih-Fen Cheng, Marina A. Epelman and Robert L. Smith.
CoSIGN: A fictitious play algorithm for coordinated traffic signal control,
INFORMS Annual Meeting, Denver, CO, October 2004.
- Stephen Baumert, Shih-Fen Cheng and Robert L. Smith.
Joint optimization of investment, production, and maintenance in production systems,
Symposium on Complexity and Advanced Analytics Applied to Business, Government and Public Policy, Dearborn, MI, October 2004.
- Michael P. Wellman and Shih-Fen Cheng.
Market-based task allocation for dynamic information processing environments,
International Conference on Integration of Knowledge Intensive Multi-Agent Systems, Cambridge, MA, October 2003.
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