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Details about Ke Tang

E-mail:
Workplace:Institute of Economics, Tsinghua University, (more information at EDIRC)

Access statistics for papers by Ke Tang.

Last updated 2020-02-13. Update your information in the RePEc Author Service.

Short-id: pta430


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Working Papers

2019

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

2017

  1. Political Uncertainty and Commodity Prices
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (2)

2014

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

2011

  1. 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. Downloads View citations (1)
  2. The chinese financial system at the Dawn of the 21st century: An Overview
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2010

  1. Index Investment and Financialization of Commodities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (144)

Journal Articles

2020

  1. A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
    Journal of Finance, 2020, 75, (1), 377-417 Downloads View citations (1)

2018

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

2016

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

2015

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

2014

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

2013

  1. Are Chinese warrants derivatives? Evidence from connections to their underlying stocks
    Quantitative Finance, 2013, 13, (8), 1225-1240 Downloads View citations (3)
  2. Asset pricing with heterogeneous beliefs and relative performance
    Journal of Banking & Finance, 2013, 37, (11), 4107-4119 Downloads View citations (5)
  3. Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade?
    Quantitative Finance, 2013, 13, (4), 613-626 Downloads View citations (7)
  4. Economic Linkages, Relative Scarcity, and Commodity Futures Returns
    Review of Financial Studies, 2013, 26, (5), 1324-1362 Downloads View citations (29)

2012

  1. Commodity Investing
    Annual Review of Financial Economics, 2012, 4, (1), 447-467 Downloads View citations (15)
  2. Determinants of oil futures prices and convenience yields
    Quantitative Finance, 2012, 12, (12), 1795-1809 Downloads View citations (11)
  3. Size and performance of Chinese mutual funds: The role of economy of scale and liquidity
    Pacific-Basin Finance Journal, 2012, 20, (2), 228-246 Downloads View citations (18)
  4. The determinants of homebuilder stock price exposure to lumber: Production cost versus housing demand
    Journal of Housing Economics, 2012, 21, (3), 211-222 Downloads View citations (1)
  5. Time-varying long-run mean of commodity prices and the modeling of futures term structures
    Quantitative Finance, 2012, 12, (5), 781-790 Downloads View citations (6)

2011

  1. Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market
    Emerging Markets Finance and Trade, 2011, 47, 47-60 Downloads View citations (6)
  2. Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities
    Journal of Banking & Finance, 2011, 35, (3), 639-652 Downloads View citations (9)
  3. The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
    Journal of Empirical Finance, 2011, 18, (2), 211-224 Downloads View citations (34)

2010

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

2008

  1. Long term spread option valuation and hedging
    Journal of Banking & Finance, 2008, 32, (12), 2530-2540 Downloads View citations (23)
 
Page updated 2020-10-23