Ke Tang

Institute of Economics, School of Social Sciences, Tsinghua University

Professor

No.1 Tsinghua Garden

Beijing, 100084

China

SCHOLARLY PAPERS

33

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97

CROSSREF CITATIONS

47

Scholarly Papers (33)

1.

Impact of Temperature and Relative Humidity on the Transmission of COVID-19: A Modeling Study in China and the United States

BMJ Open, 11(2), e043863
Number of pages: 55 Posted: 10 Mar 2020 Last Revised: 22 Aug 2021
Beihang University (BUAA), Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA), Beihang University (BUAA) - Department of Computer Science, Beihang University, University of Connecticut and Cornell University - Cornell University
Downloads 70,959 (16)
Citation 184

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COVID-19, Transmission, Effective Reproductive Number, Temperature, Humidity

2.

AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI

Number of pages: 69 Posted: 20 Apr 2020 Last Revised: 12 Oct 2021
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University (BUAA)
Downloads 2,463 (7,047)
Citation 2

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Artificial Intelligence, Distillation, LSTM, Machine Learning, Portfolio Theory, Reinforcement Learning.

3.

Crypto Wash Trading

Number of pages: 62 Posted: 02 Mar 2020 Last Revised: 16 Aug 2021
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Newcastle - Newcastle University Business School, Institute of Economics, School of Social Sciences, Tsinghua University and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,756 (12,180)
Citation 10

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Bitcoin; Cryptocurrency; FinTech; Forensic Finance; Fraud Detection; Regulation

4.

A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 14 Jun 2014 Last Revised: 22 Apr 2019
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,635 (13,604)
Citation 26

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Commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

5.

Crowding and Factor Returns

Number of pages: 51 Posted: 15 Mar 2021
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,280 (19,842)

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Crowding, Factor Investing, Carry, Momentum, Value, Commodity Futures, Commodities

6.
Downloads 968 ( 29,846)
Citation 11

Commodity Investing

Yale ICF Working Paper No. 06-12
Number of pages: 31 Posted: 08 Jun 2012 Last Revised: 10 Aug 2012
K. Geert Rouwenhorst and Ke Tang
Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 968 (29,397)
Citation 11

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Commodity futures, Theory of Storage, Theory of Normal Backwardation, Risk premium, Trader positions

Commodity Investing

Annual Review of Financial Economics, Vol. 4, pp. 447-467, 2012
Posted: 04 Nov 2012
K. Geert Rouwenhorst and Ke Tang
Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University

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7.

Leverage is a Double-Edged Sword

Number of pages: 77 Posted: 28 May 2021 Last Revised: 12 Oct 2021
University of California, Los Angeles (UCLA) - Finance Area, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Nanjing University - School of Management and Engineering
Downloads 955 (30,475)

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Leverage, Futures, Margin call, Smart investors, Trading performance

8.

Index Investment and Financialization of Commodities

Number of pages: 49 Posted: 17 Aug 2009 Last Revised: 21 Sep 2010
Ke Tang and Wei Xiong
Institute of Economics, School of Social Sciences, Tsinghua University and Princeton University - Department of Economics
Downloads 886 (33,759)
Citation 47

Abstract:

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co-movement of commodities, volatility, financial crisis

9.

Commodities as Collateral

Forthcoming, Review of Financial Studies
Number of pages: 54 Posted: 17 Nov 2013 Last Revised: 19 Apr 2016
Ke Tang and Haoxiang Zhu
Institute of Economics, School of Social Sciences, Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 690 (47,512)
Citation 5

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commodity, collateral, financialization, theory of storage, capital control

10.

Economic Linkages, Relative Scarcity, and Commodity Futures Returns

Number of pages: 50 Posted: 26 Nov 2008 Last Revised: 31 Mar 2020
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University - S.C. Johnson College of Business - School of Hotel Administration and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 673 (49,158)
Citation 10

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commodity futures, economic linkages, relative scarcity, correlation term structure, convenience yields, spread options

11.

The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield

Journal of Empirical Finance, Forthcoming
Number of pages: 26 Posted: 25 Mar 2008 Last Revised: 18 Dec 2010
Peng Liu and Ke Tang
Cornell University - S.C. Johnson College of Business - School of Hotel Administration and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 517 (68,710)
Citation 2

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commodity, convenience yield, heteroskedasticity, affine models, volatility smile

12.

When is the COVID-19 Pandemic Over? Evidence from the Stay-at-Home Policy Execution in 106 Chinese Cities

Number of pages: 17 Posted: 27 Mar 2020 Last Revised: 10 Apr 2020
Beihang University (BUAA), Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University
Downloads 457 (79,883)
Citation 4

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COVID-19, Stay at home, Baidu Mobility Index, Movement restriction

13.

Political Uncertainty and Commodity Markets

Fisher College of Business Working Paper No. 2017-03-025, Charles A. Dice Center Working Paper No. 2017-25
Number of pages: 54 Posted: 06 Nov 2017 Last Revised: 08 Jun 2020
Kewei Hou, Ke Tang and Bohui Zhang
Ohio State University (OSU) - Department of Finance, Institute of Economics, School of Social Sciences, Tsinghua University and The Chinese University of Hong Kong, Shenzhen
Downloads 436 (84,385)
Citation 3

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Political Uncertainty, Commodity Prices, Inventories, Convenience Yields, Risk Premiums, U.S. Presidential Elections

14.

Asymmetric Cross-side Network Effects on Financial Platforms:Theory and Evidence from Marketplace Lending

Number of pages: 68 Posted: 04 Oct 2019 Last Revised: 15 Mar 2021
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Tsinghua University - Institute of Economics and The Nielsen Company
Downloads 397 (94,106)

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Network Externality; P2P Lending; Platforms; FinTech

15.

Long and Short Term Jumps in Commodity Futures Prices

Number of pages: 52 Posted: 27 Mar 2008 Last Revised: 15 Dec 2010
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 340 (112,142)

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commodity futures, convenience yields, jumps, non-Gaussian state space models, extended Kalman …lter, importance sampling

16.

Size and Performance of Chinese Mutual Funds: The Role of Economy of Scale and Liquidity

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 43 Posted: 26 Sep 2011
Ke Tang, Wenjun Wang and Rong Xu
Institute of Economics, School of Social Sciences, Tsinghua University, Renmin University of China and Renmin University of China
Downloads 307 (125,238)
Citation 1

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Chinese mutual funds, size, performance, economy of scale, liquidity

17.

How Digital Platform Enables Social Governance: Containing COVID-19 in China

Number of pages: 38 Posted: 27 Mar 2020 Last Revised: 20 Oct 2021
Ke Rong, Di Zhou, Ke Tang and Cong Cao
Institute of Economics, School of Social Sciences, Tsinghua University, Institute of Economics, School of Social Sciences, Tsinghua University, Institute of Economics, School of Social Sciences, Tsinghua University and University of Nottingham, Ningbo
Downloads 300 (128,389)

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We-governance, Platform Governance, Social Governance, Social Media, COVID-19

18.

Financialization and Commodity Market Serial Dependence

Number of pages: 65 Posted: 06 Dec 2018 Last Revised: 02 Nov 2020
Zhi Da, Ke Tang, Yubo Tao and Liyan Yang
University of Notre Dame - Mendoza College of Business, Institute of Economics, School of Social Sciences, Tsinghua University, Singapore Management University - School of Economics and University of Toronto - Rotman School of Management
Downloads 246 (157,176)
Citation 1

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Financialization, Return autocorrelation, Index trading, News sentiment, Price discovery

19.

Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?

Forthcoming in Quantitative Finance
Number of pages: 34 Posted: 05 Feb 2013
Liyan Han, Rong Liang and Ke Tang
Beihang University (BUAA) - School of Economic and Management Science, Renmin University of China and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 230 (167,671)

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Cross-market Price Discovery, Soybeans Futures, Danlian Commodity Exchange, Chicago Board of Trade

20.

Estimating Exponential Affine Models with Correlated Measurement Errors: Applications to Fixed Income and Commodities

22nd Australasian Finance and Banking Conference 2009
Number of pages: 38 Posted: 24 Aug 2009
M. A. H. Dempster and Ke Tang
University of Cambridge - Centre for Financial Research and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 176 (214,114)

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exponential affine model, state space form, Kalman filter, EM algorithm, measurement errors, serial correlation, commodity futures, yield curves

21.

Decision Making with Machine Learning and ROC Curves

Number of pages: 52 Posted: 30 May 2019
Beihang University (BUAA), Stanford University, Institute of Economics, School of Social Sciences, Tsinghua University and Beihang University (BUAA)
Downloads 160 (233,475)
Citation 3

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ROC Curve, Binary Classification, Neyman Pearson Lemma, Incentive Heterogeneity, Information Asymmetry

22.

Artificial-Intelligence Assisted Decision Making: A Statistical Framework

Number of pages: 58 Posted: 11 Jan 2020 Last Revised: 12 May 2021
Stanford University, Beihang University (BUAA) - Department of Computer Science, Institute of Economics, School of Social Sciences, Tsinghua University and Beihang University (BUAA)
Downloads 154 (240,978)
Citation 4

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artificial intelligence, machine learning, decision making, ROC curve

23.

Maximal Affine Models for Multiple Commodities: A Note

Number of pages: 17 Posted: 09 Sep 2012
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University - S.C. Johnson College of Business - School of Hotel Administration and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 122 (287,416)

Abstract:

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maximal affine models, multiple commodities, futures prices

24.

Are Chinese Warrants Derivatives? Evidence from Connections to their Underlying Stocks

Quantitative Finance, Forthcoming
Number of pages: 35 Posted: 08 Oct 2012
Ke Tang and Changyun Wang
Institute of Economics, School of Social Sciences, Tsinghua University and affiliation not provided to SSRN
Downloads 120 (290,857)

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warrants, Chinese market, short sales prohibition, arbitrage pricing theory, resale-option, bubble theory

25.

An AI-assisted Economic Model of Endogenous Mobility and Infectious Diseases: The Case of COVID-19 in the United States

Number of pages: 31 Posted: 13 Aug 2021 Last Revised: 01 Sep 2021
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University (BUAA)
Downloads 79 (381,341)

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AI, Mitigation, Pandemic, SIR

26.

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)

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commodities, options, hedging pressure

27.

Internet Appendix to 'A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets'

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 2019-09
Number of pages: 14 Posted: 21 May 2019
School of Finance, Shanghai University of Finance and Economics, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 61 (438,134)
Citation 1

Abstract:

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commodity futures, liquidity provision, return predictability, theory of normal backwardation, hedging pressure, risk premium

28.

Commodity Prices and GDP Growth

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 16 Jun 2020
Yiqing Ge and Ke Tang
Tsinghua University - Institute of Economics and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 58 (448,956)

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GDP Growth; Commodity Prices; Basis; Predictability

29.

Contagion, Migration and Misallocation in a Pandemic

Number of pages: 30 Posted: 05 Feb 2021 Last Revised: 20 Oct 2021
Ke Tang, Danxia Xie and Longtian Zhang
Institute of Economics, School of Social Sciences, Tsinghua University, Tsinghua University - Institute of Economics and Central University of Finance and Economics
Downloads 55 (460,136)

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SIR Model, Migration, Misallocation, Hospitalization Resource, Pandemic

30.

Hospital Run

Number of pages: 40 Posted: 04 Oct 2021
Institute of Economics, School of Social Sciences, Tsinghua University, Tsinghua University - Institute of Economics, University of Toronto - Rotman School of Management and School of Social Sciences, Tsinghua University
Downloads 23 (621,799)

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COVID-19, pandemic, hospital run, testing, quarantine

31.

Do Corporate Managers Believe in Luck? Evidence of the Chinese Zodiac Effect

International Review of Financial Analysis, Forthcoming
Number of pages: 49 Posted: 30 Aug 2021
Durham Business School, Durham Business School, Glasgow University and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 19 (650,041)

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Risk perception, behavioural bias, belief in luck, superstition, zodiac year, cash holdings

32.

Deep Sequence Modeling: Development and Applications in Asset Pricing

The Journal of Financial Data Science Winter 2021, jfds.2020.1.053; DOI: https://doi.org/10.3905/jfds.2020.1.053
Posted: 12 Aug 2020
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University (BUAA)

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Artificial Intelligence, Asset Pricing, Machine Learning, Risk Premia, Time Series

33.

Relative Basis and Expected Returns in Commodity Futures Markets

Number of pages: 67 Posted: 21 Jun 2019
Ming Gu, Wenjin Kang, Dong Lou and Ke Tang
Xiamen University - School of Economics, School of Finance, Shanghai University of Finance and Economics, London School of Economics & Political Science (LSE) and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 409

Abstract:

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relative basis, commodity futures, expected return, convenience yield, theory of storage