Lei Yan

Yale University

Statistician

New Haven, CT 06511

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 6,747

SSRN RANKINGS

Top 6,747

in Total Papers Downloads

13,652

TOTAL CITATIONS

5

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

Scholarly Papers (6)

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1.

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 13,135 (768)

Abstract:

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commodities, options, hedging pressure

2.

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

Number of pages: 50 Posted: 03 Dec 2020
Lei Yan, Scott H. Irwin and Dwight R. Sanders
Yale University, University of Illinois at Urbana-Champaign and Southern Illinois University - Agribusiness Economics
Downloads 234 (283,191)
Citation 4

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commodity futures, financialization, index, order flow, rebalancing

3.

Is the Supply Curve for Commodity Futures Contracts Upward Sloping?

Number of pages: 58 Posted: 16 Apr 2019
Lei Yan, Scott H. Irwin and Dwight R. Sanders
Yale University, University of Illinois at Urbana-Champaign and Southern Illinois University - Agribusiness Economics
Downloads 174 (373,376)
Citation 1

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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 109 (544,768)

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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

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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
Lei Yan, Scott H. Irwin and Dwight R. Sanders
Yale University, University of Illinois at Urbana-Champaign and Southern Illinois University - Agribusiness Economics

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Commodity futures, Crude oil, Index investment, Mapping algorithm