Ke Tang

Institute of Economics, School of Social Sciences, Tsinghua University

Professor

No.1 Tsinghua Garden

Beijing, 100084

China

SCHOLARLY PAPERS

39

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97

CROSSREF CITATIONS

47

Scholarly Papers (39)

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 71,408 (20)
Citation 184

Abstract:

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

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 4,003 (3,631)

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commodities, options, hedging pressure

3.

AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI

Number of pages: 76 Posted: 20 Apr 2020 Last Revised: 02 Mar 2022
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 3,728 (4,065)
Citation 2

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

4.

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 3,513 (4,524)
Citation 10

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

5.

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 1,862 (12,706)
Citation 26

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

6.

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 1,721 (14,448)

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

7.

Leverage is a Double-Edged Sword

Number of pages: 83 Posted: 28 May 2021 Last Revised: 08 Dec 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 1,249 (23,368)

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

8.
Downloads 1,022 ( 31,248)

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 1,022 (30,786)
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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9.

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 903 (37,214)
Citation 47

Abstract:

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co-movement of commodities, volatility, financial crisis

10.

Value Premium, Network Adoption, and Factor Pricing of Crypto Assets

Number of pages: 65 Posted: 15 Dec 2021 Last Revised: 16 May 2022
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - SC Johnson College of Business, Institute of Economics, School of Social Sciences, Tsinghua University and Tsinghua University
Downloads 705 (51,992)

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Blockchain, Cryptocurrency, DeFi, Factor Models, Network Effect, Market Segmentation

11.

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 704 (52,080)
Citation 5

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

12.

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 681 (54,440)
Citation 10

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

13.

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 647 (58,080)

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Network Externality; P2P Lending; Platforms; FinTech

14.

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 556 (70,426)
Citation 5

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

15.

Relative Basis and Expected Returns in Commodity Futures Markets

Number of pages: 67 Posted: 21 Jun 2019 Last Revised: 28 Oct 2021
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 553 (70,912)

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

16.

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 530 (74,770)
Citation 2

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

17.

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 491 (82,091)
Citation 4

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

18.

Staking, Token Pricing, and Crypto Carry

Number of pages: 74 Posted: 06 Apr 2022 Last Revised: 29 Jun 2022
Cornell University - Samuel Curtis Johnson Graduate School of Management, Tsinghua University - Institute of Economics and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 482 (84,127)

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Blockchain, DeFi, Proof-of-Stake, Yield Farming, Tokenomics.

19.

Financialization and Commodity Markets Serial Dependence

Number of pages: 83 Posted: 06 Dec 2018 Last Revised: 22 Jul 2022
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, University of Macau - Department of Economics and University of Toronto - Rotman School of Management
Downloads 352 (121,296)
Citation 1

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

20.

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 344 (123,587)

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

21.

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 333 (128,034)

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AI, Mitigation, Pandemic, SIR

22.

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 325 (131,373)

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

23.

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 324 (131,778)
Citation 1

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

24.

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 248 (172,988)

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

25.

Artificial-Intelligence-Assisted Decision Making: A Statistical Framework

Number of pages: 60 Posted: 11 Jan 2020 Last Revised: 25 Feb 2022
Stanford University, Beihang University (BUAA) - Department of Computer Science, Institute of Economics, School of Social Sciences, Tsinghua University and Beihang University (BUAA)
Downloads 243 (177,136)
Citation 4

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artificial intelligence, machine learning, decision making, ROC curve

26.

Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem

Number of pages: 74 Posted: 29 Jul 2022
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Xi'an Jiaotong University (XJTU) and Xi'an Jiaotong University (XJTU) - School of Management
Downloads 225 (206,253)

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Blockchain, DeFi, EIP-1559, Inclusion, Inequality, Redistribution, Transaction Fees

27.

Properties of ROC curves

Number of pages: 46 Posted: 30 May 2019 Last Revised: 26 Feb 2022
Beihang University (BUAA), Stanford University, Institute of Economics, School of Social Sciences, Tsinghua University and Beihang University (BUAA)
Downloads 208 (204,443)
Citation 3

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ROC Curve, Binary Classification, Neyman-Pearson Lemma, Bayesian Optimal Decision Rule, Randomization

28.

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 179 (233,432)

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

29.

Closing Pressure, Predatory Trading, and the Negative Price of Oil

Number of pages: 58 Posted: 20 Apr 2022
Tsinghua University - Institute of Economics, School of Finance, Shanghai University of Finance and Economics, Institute of Economics, School of Social Sciences, Tsinghua University and University of Toronto - Rotman School of Management
Downloads 142 (285,643)

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Closing pressure, TAS market, predatory trading, negative oil price

30.

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 127 (307,647)

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

31.

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 127 (307,647)

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maximal affine models, multiple commodities, futures prices

Contagion, Migration and Misallocation in a Pandemic

Number of pages: 34 Posted: 05 Feb 2021 Last Revised: 24 Jul 2022
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 101 (363,381)

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SIR Model, Migration, Misallocation, Hospitalization Resource, Pandemic

Contagion, Migration, and Misallocation in a Pandemic

Number of pages: 31 Posted: 29 Apr 2022
Ke Tang, Danxia Xie and Longtian Zhang
Institute of Economics, School of Social Sciences, Tsinghua University, Tsinghua University and Central University of Finance and Economics
Downloads 5 (876,474)

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SIR Model, Migration, Misallocation, Hospital Resource, Pandemic

33.

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 91 (385,254)

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GDP Growth; Commodity Prices; Basis; Predictability

34.

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 72 (441,102)

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

35.

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 70 (447,905)
Citation 1

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

36.

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 53 (512,172)

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

37.

Online Prices and Inflation During the Nationwide COVID-19 Quarantine Period: Evidence from 107 Chinese Websites

Finance Research Letters, Vol. 49, 103166, 2022
Number of pages: 17 Posted: 05 Aug 2022
University of International Business and Economics (UIBE) - School of Banking and Finance, Tsinghua University, Institute of Economics, School of Social Sciences, Tsinghua University and School of Social Sciences, Tsinghua University
Downloads 17 (727,737)

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COVID-19 pandemic, online prices, stay-at-home economy, inflation, price stickiness

38.

Can the E-Commercialization Improve Residents’ Income? – Evidence From 'Taobao Counties' in China

International Review of Economics & Finance, Forthcoming
Number of pages: 32 Posted: 30 Mar 2022
Institute of Economics, School of Social Sciences, Tsinghua University, Tsinghua University and Tsinghua University
Downloads 12 (772,362)

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E-commercialization; Taobao County; propensity score matching; per capita disposable income.

39.

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