Details about Ke Tang

Access statistics for papers by Ke Tang.

Last updated 2021-10-21. Update your information in the RePEc Author Service.

Short-id: pta430

Working Papers

2021

1. An AI-assisted Economic Model of Endogenous Mobility and Infectious Diseases: The Case of COVID-19 in the United States
   Papers, arXiv.org
2. Crypto Wash Trading
   Papers, arXiv.org
3. Deep Sequence Modeling: Development and Applications in Asset Pricing
   Papers, arXiv.org View citations (1)

2019

4. AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks
   Papers, arXiv.org
5. Decision Making with Machine Learning and ROC Curves
   Papers, arXiv.org

2017

6. Political Uncertainty and Commodity Prices
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (4)

2014

7. Maximal Gaussian Affine Models for Multiple Commodities: A Note
   Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile.
   See also Journal Article in Journal of Futures Markets (2015)

2011

8. 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)
9. The chinese financial system at the Dawn of the 21st century: An Overview
   MPRA Paper, University Library of Munich, Germany View citations (2)

2010

10. Index Investment and Financialization of Commodities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (151)

Journal Articles

2021

1. Do corporate managers believe in luck? Evidence of the Chinese zodiac effect
   International Review of Financial Analysis, 2021, 77, (C)

2020

2. 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 (14)
3. Commodity prices and GDP growth
   International Review of Financial Analysis, 2020, 71, (C) View citations (3)
4. Editor’s foreword
   Quantitative Finance, 2020, 20, (12), 1901-1902

2018

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

2016

7. China’s road to modernization
   Journal of Chinese Economic and Business Studies, 2016, 14, (1), 1-8
8. Commodities as Collateral
   Review of Financial Studies, 2016, 29, (8), 2110-2160 View citations (10)

2015

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

2014

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

2013

12. Are Chinese warrants derivatives? Evidence from connections to their underlying stocks
    Quantitative Finance, 2013, 13, (8), 1225-1240 View citations (4)
13. Asset pricing with heterogeneous beliefs and relative performance
    Journal of Banking & Finance, 2013, 37, (11), 4107-4119 View citations (7)
14. 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 (9)
15. Economic Linkages, Relative Scarcity, and Commodity Futures Returns
    Review of Financial Studies, 2013, 26, (5), 1324-1362 View citations (31)

2012

16. Commodity Investing
    Annual Review of Financial Economics, 2012, 4, (1), 447-467 View citations (20)
17. Determinants of oil futures prices and convenience yields
    Quantitative Finance, 2012, 12, (12), 1795-1809 View citations (11)
18. 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 (24)
19. 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 (2)
20. Time-varying long-run mean of commodity prices and the modeling of futures term structures
    Quantitative Finance, 2012, 12, (5), 781-790 View citations (7)

2011

21. Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market
    Emerging Markets Finance and Trade, 2011, 47, 47-60 View citations (9)
22. 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 (9)
23. The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
    Journal of Empirical Finance, 2011, 18, (2), 211-224 View citations (34)

2010

24. No-arbitrage conditions for storable commodities and the modeling of futures term structures
    Journal of Banking & Finance, 2010, 34, (7), 1675-1687 View citations (10)

2008

25. Long term spread option valuation and hedging
    Journal of Banking & Finance, 2008, 32, (12), 2530-2540 View citations (26)