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
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Working Papers
2021
- An AI-assisted Economic Model of Endogenous Mobility and Infectious Diseases: The Case of COVID-19 in the United States
Papers, arXiv.org
- Crypto Wash Trading
Papers, arXiv.org
- Deep Sequence Modeling: Development and Applications in Asset Pricing
Papers, arXiv.org View citations (1)
2019
- AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks
Papers, arXiv.org
- Decision Making with Machine Learning and ROC Curves
Papers, arXiv.org
2017
- Political Uncertainty and Commodity Prices
Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (4)
2014
- 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
- 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)
- The chinese financial system at the Dawn of the 21st century: An Overview
MPRA Paper, University Library of Munich, Germany View citations (2)
2010
- Index Investment and Financialization of Commodities
NBER Working Papers, National Bureau of Economic Research, Inc View citations (151)
Journal Articles
2021
- Do corporate managers believe in luck? Evidence of the Chinese zodiac effect
International Review of Financial Analysis, 2021, 77, (C)
2020
- 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)
- Commodity prices and GDP growth
International Review of Financial Analysis, 2020, 71, (C) View citations (3)
- Editor’s foreword
Quantitative Finance, 2020, 20, (12), 1901-1902
2018
- Latent jump diffusion factor estimation for commodity futures
Journal of Commodity Markets, 2018, 9, (C), 35-54
- Special Issue of Quantitative Finance on ‘Chinese Derivatives Markets’
Quantitative Finance, 2018, 18, (9), 1451-1451
2016
- China’s road to modernization
Journal of Chinese Economic and Business Studies, 2016, 14, (1), 1-8
- Commodities as Collateral
Review of Financial Studies, 2016, 29, (8), 2110-2160 View citations (10)
2015
- Maximal Gaussian Affine Models for Multiple Commodities: A Note
Journal of Futures Markets, 2015, 35, (1), 75-86 
See also Working Paper (2014)
2014
- China's Imported Inflation and Global Commodity Prices
Emerging Markets Finance and Trade, 2014, 50, (3), 162-177 View citations (3)
- Guest Editors’ Introduction: Chinese Exploration and World Economic Order
Emerging Markets Finance and Trade, 2014, 50, (S6), 1-3
2013
- Are Chinese warrants derivatives? Evidence from connections to their underlying stocks
Quantitative Finance, 2013, 13, (8), 1225-1240 View citations (4)
- Asset pricing with heterogeneous beliefs and relative performance
Journal of Banking & Finance, 2013, 37, (11), 4107-4119 View citations (7)
- 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)
- Economic Linkages, Relative Scarcity, and Commodity Futures Returns
Review of Financial Studies, 2013, 26, (5), 1324-1362 View citations (31)
2012
- Commodity Investing
Annual Review of Financial Economics, 2012, 4, (1), 447-467 View citations (20)
- Determinants of oil futures prices and convenience yields
Quantitative Finance, 2012, 12, (12), 1795-1809 View citations (11)
- 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)
- 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)
- 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
- Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market
Emerging Markets Finance and Trade, 2011, 47, 47-60 View citations (9)
- 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)
- 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
- 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
- Long term spread option valuation and hedging
Journal of Banking & Finance, 2008, 32, (12), 2530-2540 View citations (26)
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