Lei Yan

Yale University

Statistician

New Haven, CT 06511

United States

SCHOLARLY PAPERS

6

DOWNLOADS

239

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Ideas:
“  My research is at the intersection of commodities and finance, with an emphasis on derivative pricing.  ”

Scholarly Papers (6)

1.

Sunshine vs. Predatory Trading Effects in Commodity Futures Markets: New Evidence from Index Rebalancing

Number of pages: 50 Posted: 03 Dec 2020
Yale University, University of Illinois at Urbana-Champaign and Southern Illinois University - Agribusiness Economics
Downloads 68 (414,369)

Abstract:

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commodity futures, financialization, index, order flow, rebalancing

2.

Hedging Pressure and Commodity Option Prices

Number of pages: 43 Posted: 01 Oct 2021
Ing-Haw Cheng, Ke Tang and Lei Yan
University of Toronto - Rotman School of Management, Institute of Economics, School of Social Sciences, Tsinghua University and Yale University
Downloads 63 (438,134)

Abstract:

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commodities, options, hedging pressure

3.

Is the Supply Curve for Commodity Futures Contracts Upward Sloping?

Number of pages: 58 Posted: 16 Apr 2019
Yale University, University of Illinois at Urbana-Champaign and Southern Illinois University - Agribusiness Economics
Downloads 62 (434,643)
Citation 1

Abstract:

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commodity futures, index, limits to arbitrage, order flow, rebalancing

4.

How Much Would You Pay to Resolve Volatility Risk in Agricultural Commodity Markets?

Number of pages: 37 Posted: 25 Apr 2019
Lei Yan and Philip Garcia
Yale University and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics
Downloads 46 (496,827)

Abstract:

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volatility risk, commodity options, straddle, term structure

5.

Portfolio Investment: Are Commodities Useful?

Journal of Commodity Markets (2017), 8:43-55. DOI: 10.1016/j.jcomm.2017.10.002
Posted: 26 Apr 2019
Lei Yan and Philip Garcia
Yale University and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics

Abstract:

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Commodity Index; Estimation Error; Portfolio Diversification

6.

Mapping Algorithms, Agricultural Futures, and the Relationship Between Commodity Investment Flows and Crude Oil Futures Prices

Energy Economics, Vol. 72:486-504, 2018
Posted: 25 Apr 2019 Last Revised: 06 May 2020
Yale University, University of Illinois at Urbana-Champaign and Southern Illinois University - Agribusiness Economics

Abstract:

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Commodity futures, Crude oil, Index investment, Mapping algorithm