Ke Tang

Institute of Economics, School of Social Sciences, Tsinghua University

Professor

No.1 Tsinghua Garden

Beijing, 100084

China

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 6,544

SSRN RANKINGS

Top 6,544

in Total Papers Downloads

6,594

CITATIONS
Rank 3,497

SSRN RANKINGS

Top 3,497

in Total Papers Citations

150

Scholarly Papers (18)

1.

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
Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 1,050 (19,798)
Citation 9

Abstract:

Loading...

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

2.
Downloads 883 ( 25,559)

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 883 (25,140)
Citation 11

Abstract:

Loading...

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

Abstract:

Loading...

3.

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 834 (27,702)
Citation 136

Abstract:

Loading...

co-movement of commodities, volatility, financial crisis

4.

Economic Linkages, Relative Scarcity, and Commodity Futures Returns

Number of pages: 50 Posted: 26 Nov 2008 Last Revised: 31 Jul 2012
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 645 (39,242)

Abstract:

Loading...

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

5.

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 642 (39,517)
Citation 6

Abstract:

Loading...

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

6.

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 and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 502 (54,335)
Citation 7

Abstract:

Loading...

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

7.

Financial-Demand Based Commodity Pricing: A Theoretical Model for Financialization of Commodities

Number of pages: 36 Posted: 19 Oct 2011 Last Revised: 08 Sep 2012
Peng Liu, Zhigang Qiu and Ke Tang
Cornell University, Hanqing Advanced Institute of Economics and Finance, Renmin University of China and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 488 (56,334)
Citation 4

Abstract:

Loading...

commodities, financial demand, demand based asset pricing, convenience yield

8.

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 316 (94,037)

Abstract:

Loading...

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

9.

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 277 (108,389)
Citation 1

Abstract:

Loading...

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

10.

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 213 (141,280)

Abstract:

Loading...

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

11.

Political Uncertainty and Commodity Prices

Fisher College of Business Working Paper No. 2017-03-025, Charles A. Dice Center Working Paper No. 2017-25
Number of pages: 58 Posted: 06 Nov 2017
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 174 (170,074)

Abstract:

Loading...

Political Uncertainty, Commodity Prices, U.S. Presidential Elections

12.

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 168 (175,390)
Citation 5

Abstract:

Loading...

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

13.

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 and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 115 (237,482)

Abstract:

Loading...

maximal affine models, multiple commodities, futures prices

14.

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 112 (241,937)
Citation 3

Abstract:

Loading...

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

15.

Commodity Convexity

Number of pages: 54 Posted: 21 Jun 2019 Last Revised: 26 Jun 2019
Ming Gu, Wenjin Kang, Dong Lou and Ke Tang
Xiamen University - School of Economics, Renmin University of China - Hanqing Institute, London School of Economics & Political Science (LSE) and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 65 (346,363)

Abstract:

Loading...

commodity futures, convexity, basis, inventory, convenience yield

16.

Financialization and Commodity Market Serial Dependence

Number of pages: 40 Posted: 06 Dec 2018 Last Revised: 12 Dec 2018
Zhi Da, Ke Tang and Yubo Tao
University of Notre Dame - Mendoza College of Business, Institute of Economics, School of Social Sciences, Tsinghua University and School of Economics, Singapore Management University
Downloads 57 (361,042)

Abstract:

Loading...

Return autocorrelation, Index trading, News sentiment, Non-fundamental shocks

17.

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 40 (418,882)

Abstract:

Loading...

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

18.

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

Journal of Finance, Forthcoming
Number of pages: 14 Posted: 21 May 2019
Renmin University of China - Hanqing Institute, Yale School of Management - International Center for Finance and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 13 (555,697)

Abstract:

Loading...

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