Lei Yan

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL 61820

United States

SCHOLARLY PAPERS

5

DOWNLOADS

83

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Ideas:
“  My research is at the intersection of commodities and finance, with an emphasis on derivative pricing. On-going projects include estimating the impact of uninformed order flows on commodity futures prices, developing the theory of normal backwardation in commodity option markets, and studying how the uncertainty of USDA announcements is priced ex ante.  ”

Scholarly Papers (5)

1.

Is the Supply Curve for Commodity Futures Contracts Upward Sloping?

Number of pages: 58 Posted: 16 Apr 2019
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and Southern Illinois University at Carbondale - Agribusiness Economics
Downloads 53 (423,540)
Citation 1

Abstract:

Loading...

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

2.

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
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics
Downloads 30 (522,890)

Abstract:

Loading...

volatility risk, commodity options, straddle, term structure

3.

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
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics

Abstract:

Loading...

Commodity Index; Estimation Error; Portfolio Diversification

4.

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
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and Southern Illinois University at Carbondale - Agribusiness Economics

Abstract:

Loading...

Commodity futures, Crude oil, Index investment, Mapping algorithm

5.

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

Number of pages: 50
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and Southern Illinois University at Carbondale - Agribusiness Economics
Downloads 0

Abstract:

Loading...

commodity futures, financialization, index, order flow, rebalancing