Details about Ke Tang

Access statistics for papers by Ke Tang.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pta430

Working Papers

2024

1. FinTech Platforms and Asymmetric Network Effects: Theory and Evidence from Marketplace Lending
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Statistical Tests for Replacing Human Decision Makers with Algorithms
   Papers, arXiv.org

2023

3. Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2022

4. Crypto Wash Trading
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   Also in Papers, arXiv.org (2021) View citations (7)
   See also Journal Article Crypto Wash Trading, Management Science, INFORMS (2023) View citations (2) (2023)
5. Experience of the COVID-19 pandemic in Wuhan leads to a lasting increase in social distancing
   Papers, arXiv.org View citations (2)

2021

6. An AI-assisted Economic Model of Endogenous Mobility and Infectious Diseases: The Case of COVID-19 in the United States
   Papers, arXiv.org
7. Deep Sequence Modeling: Development and Applications in Asset Pricing
   Papers, arXiv.org View citations (4)

2019

8. AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks
   Papers, arXiv.org View citations (14)
9. Decision Making with Machine Learning and ROC Curves
   Papers, arXiv.org View citations (1)

2017

10. Political Uncertainty and Commodity Prices
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (11)

2014

11. Maximal Gaussian Affine Models for Multiple Commodities: A Note
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile.
    See also Journal Article Maximal Gaussian Affine Models for Multiple Commodities: A Note, Journal of Futures Markets, John Wiley & Sons, Ltd. (2015) (2015)

2011

12. Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. View citations (1)
13. The chinese financial system at the Dawn of the 21st century: An Overview
    MPRA Paper, University Library of Munich, Germany View citations (3)

2010

14. Index Investment and Financialization of Commodities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (177)
    See also Journal Article Index Investment and the Financialization of Commodities, Financial Analysts Journal, Taylor & Francis Journals (2012) View citations (49) (2012)

Journal Articles

2024

1. Financialization and Commodity Markets Serial Dependence
   Management Science, 2024, 70, (4), 2122-2143 View citations (1)
2. Leverage Is a Double‐Edged Sword
   Journal of Finance, 2024, 79, (2), 1579-1634 View citations (1)

2023

3. Crypto Wash Trading
   Management Science, 2023, 69, (11), 6427-6454 View citations (2)
   See also Working Paper Crypto Wash Trading, NBER Working Papers (2022) View citations (2) (2022)
4. Financialization of commodity markets ten years later
   Journal of Commodity Markets, 2023, 30, (C) View citations (20)

2022

5. Can the E-commercialization improve residents’ income? --Evidence from “Taobao Counties” in China
   International Review of Economics & Finance, 2022, 78, (C), 540-553 View citations (4)
6. Online prices and inflation during the nationwide COVID-19 quarantine period: Evidence from 107 Chinese websites
   Finance Research Letters, 2022, 49, (C) View citations (5)

2021

7. Do corporate managers believe in luck? Evidence of the Chinese zodiac effect
   International Review of Financial Analysis, 2021, 77, (C) View citations (8)
8. Gender and herding
   Journal of Empirical Finance, 2021, 64, (C), 379-400 View citations (4)

2020

9. A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
   Journal of Finance, 2020, 75, (1), 377-417 View citations (71)
10. Commodity prices and GDP growth
    International Review of Financial Analysis, 2020, 71, (C) View citations (22)
11. Editor’s foreword
    Quantitative Finance, 2020, 20, (12), 1901-1902

2018

12. Latent jump diffusion factor estimation for commodity futures
    Journal of Commodity Markets, 2018, 9, (C), 35-54
13. Special Issue of Quantitative Finance on ‘Chinese Derivatives Markets’
    Quantitative Finance, 2018, 18, (9), 1451-1451

2016

14. China’s road to modernization
    Journal of Chinese Economic and Business Studies, 2016, 14, (1), 1-8
15. Commodities as Collateral
    The Review of Financial Studies, 2016, 29, (8), 2110-2160 View citations (17)

2015

16. Maximal Gaussian Affine Models for Multiple Commodities: A Note
    Journal of Futures Markets, 2015, 35, (1), 75-86
    See also Working Paper Maximal Gaussian Affine Models for Multiple Commodities: A Note, Documentos de Trabajo (2014) (2014)

2014

17. China's Imported Inflation and Global Commodity Prices
    Emerging Markets Finance and Trade, 2014, 50, (3), 162-177 View citations (3)
18. Guest Editors’ Introduction: Chinese Exploration and World Economic Order
    Emerging Markets Finance and Trade, 2014, 50, (S6), 1-3

2013

19. Are Chinese warrants derivatives? Evidence from connections to their underlying stocks
    Quantitative Finance, 2013, 13, (8), 1225-1240 View citations (4)
20. Asset pricing with heterogeneous beliefs and relative performance
    Journal of Banking & Finance, 2013, 37, (11), 4107-4119 View citations (7)
21. Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade?
    Quantitative Finance, 2013, 13, (4), 613-626 View citations (17)
22. Economic Linkages, Relative Scarcity, and Commodity Futures Returns
    The Review of Financial Studies, 2013, 26, (5), 1324-1362 View citations (44)

2012

23. Commodity Investing
    Annual Review of Financial Economics, 2012, 4, (1), 447-467 View citations (32)
24. Determinants of oil futures prices and convenience yields
    Quantitative Finance, 2012, 12, (12), 1795-1809 View citations (14)
25. Index Investment and the Financialization of Commodities
    Financial Analysts Journal, 2012, 68, (6), 54-74 View citations (49)
    See also Working Paper Index Investment and Financialization of Commodities, NBER Working Papers (2010) View citations (177) (2010)
26. Size and performance of Chinese mutual funds: The role of economy of scale and liquidity
    Pacific-Basin Finance Journal, 2012, 20, (2), 228-246 View citations (29)
27. The determinants of homebuilder stock price exposure to lumber: Production cost versus housing demand
    Journal of Housing Economics, 2012, 21, (3), 211-222 View citations (3)
28. Time-varying long-run mean of commodity prices and the modeling of futures term structures
    Quantitative Finance, 2012, 12, (5), 781-790 View citations (9)

2011

29. Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market
    Emerging Markets Finance and Trade, 2011, 47, 47-60 View citations (14)
30. Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities
    Journal of Banking & Finance, 2011, 35, (3), 639-652 View citations (11)
31. The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
    Journal of Empirical Finance, 2011, 18, (2), 211-224 View citations (44)

2010

32. No-arbitrage conditions for storable commodities and the modeling of futures term structures
    Journal of Banking & Finance, 2010, 34, (7), 1675-1687 View citations (12)

2008

33. Long term spread option valuation and hedging
    Journal of Banking & Finance, 2008, 32, (12), 2530-2540 View citations (30)