Associate Professor
Education
- Ph.D. Industrial Engineering and Operations Research (1999), University of California.
- M.S. Mathematics (1993), University of Minnesota at Minneapolis
- B.S. Applied Mathematics (1991), Peking University
Expertise
- Economic Decision Analysis
About
Dr. Shijie Deng is an Associate Professor in the H. Milton Stewart School of Industrial and Systems Engineering at Georgia Tech.
Professor Deng's research interests include financial asset pricing and real options valuation, financial engineering applications in energy markets, electricity transmission pricing and auction design, risk management and contract theory in supply chains, stochastic modeling and simulation. He has consulted with several private and public companies on issues of pricing, risk management, and asset valuation in energy and finance industries.
He received a B.S. in applied mathematics from Peking University in P.R. China, an M.S. in mathematics from the University of Minnesota, and a Ph.D. in industrial engineering and operations research from the University of California.
Research
Professor Deng's research centers on financial engineering, stochastic optimization, data-driven decision-making, and risk analysis in complex systems. His work develops robust and efficient methodologies for financial asset pricing and for managing uncertainty in operations and supply chains. His research spans asset pricing, portfolio optimization, and real options valuation; energy storage valuation, energy risk management, electricity market design, and transmission pricing; as well as statistical learning and data analytics with applications in energy and healthcare.
Teaching
Professor Deng's teaching interests encompass quantitative finance, data analytics, stochastic modeling, and decision analysis under uncertainty at both undergraduate and graduate levels. He emphasizes foundational concepts in these areas, aiming to build strong analytical and problem-solving skills among students. His courses often integrate mathematical modeling and computational methods relevant to industrial and financial engineering. Professor Deng encourages the involvement of students in research projects to enhance their practical understanding and application of the material.
Awards and Honors
- NSF CAREER Award, National Science Foundation, 2002.
Representative Publications
[1] Xiang, Y., and S.J. Deng (2025). “Long-range Dependence and Asset Return Anomaly,” Annuals of Operations Research, Vol.346 (1), p.369-391.
[2] Xiang, Y., and S.J. Deng (2024). “Statistical Arbitrage under a Fractal Price Model,” Annuals of Operations Research, Vol.335 (1), p.425-439.
[3] M.K. Sim, S.J. Deng, (2020). “Estimation of Level-I Hidden Liquidity Using the Dynamics of Limit Order-book,” Physica A: Statistical Mechanics and its Applications, Volume 540, available online.
[4] J.L. Kirkby and S.J Deng (2019). “Static Hedging and Pricing of Exotic Options with Payoff Frames,” Mathematical Finance, 2019-04, Vol.29 (2), p.612-658.
[5] X.F. Gao, S.J Deng (2018). “Hydrodynamic Limit of Order Book Dynamics,” Probability in the Engineering and Informational Sciences (PEIS), Vol. 32 (1), p.96-125.
[6] J.B. Guerard, R.A. Gillam, H.Markowitz, G.L. Xu, S.J Deng, Z.W. Wang, (2018). “Data Mining Corrections Testing in Chinese Stock,” INFORMS Interfaces, Vol.48 (2), p.108-120.
[7] Lei, M., Z.H. Yin, X.W. Yu, S.J. Deng (2017). “Carbon-weighted Economic Development Performance and Driving Force Analysis: Evidence from China”, Energy Policy, Vol. 111, p.179-192.