Ke TANG ( )



Hanqing Advanced Institute of Economics and Finance and School of Finance

Renmin University of China, Beijing, China.

C V                                    简历

Managing Editor, Quantitative Finance

Organizer, International Conference on Futures and other Derivative Markets


Working Papers

1.    Financial-Demand Based Commodity Pricing: A Theoretical Model for Financialization of Commodities with Peng Liu (Cornell University) and Zhigang Qiu (Renmin University of China)

We develop an equilibrium model that shows financial investment does influence commodity prices and volatilities. Furthermore, financial investments dilute the relationship between convenience yields (a proxy for the fundamentals) and commodity prices.

o    Annual Meeting of Asian Finance Association 2010

o    Financial Management Association Asian Conference 2010

2.    Long and Short Term Jumps in Commodity Futures Prices: Statistical and Economic Perspectives with Micheal Dempster (Cambridge University), and Elena Medova (Cambridge University).

Both long- and short-term jumps are essential in commodity prices. They behave differently and have different causes. The technique to pin down jumps is also novel in this paper.

o    World Econometrics Congress 2010

o    Australian Banking and Finance Annual Conference 2010


Invited Policy Talks

o    Financialization of Commodities, OECD and FAO Joint Technical Conference on Commodity Futures, January 2011, Paris, France

o    Financialization of Commodities, 2011 Global Commodity Forum, United Nations Conference on Trade and Development (UNCTAD), February 2011, Geneva, Switzerland

o    Excess Volatility of Commodities, Commodities and raw materials: challenges and policy responses, European Commission, June 2011, Brussels, Belgium

o    Financial Investment and Commodity Prices, 2012 Global Commodity Forum, United Nations Conference on Trade and Development (UNCTAD), February 2012, Geneva, Switzerland




1.       Long Term Spread Option Valuation and Hedging with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Journal of Banking and Finance, 2008, 32, 2530-2540. 

A spread option study for spreads with cointegrated legs.

2.       No-arbitrage Conditions for Storable Commodities and the Modelling of Futures Term Structures with Peng Liu (Cornell University), Journal of Banking and Finance, 2010, 34, 1675-1687.

The convenience yield of commodities has to be nonnegative; models violating this constraint are not arbitrage free.

3.       Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities with Michael Dempster (Cambridge University), Journal of Banking and Finance, 2011, 35, 639-652.

Measurement errors in many affine models fail to satisfy the iid assumption of the Kalman filter. This paper proposes a new method to resolve this issue.

4.       The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield with Peng Liu (Cornell University), Journal of Empirical Finance, 2011, 18, 211-224.

The convenience yield volatility of industrial commodities is heteroskedastic; i.e. when the convenience yield is high, its volatility is also high.

5.       Time-varying Long Run Mean of Commodity Prices and the Modelling of Futures Term Structure, Quantitative Finance, 2012, 12, 781-790.

Commodity prices do not revert to a constant but rather a stochastic long-run mean.

6.       Determinants of Oil Futures Prices and Convenience Yields with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Quantitative Finance, 2012,12,1795-1809.

What are the economic drivers behind the latent factors estimated from affine models? This paper addresses this question in the context of a three factor model for crude oil spot prices by studying the relations between these factors and appropriate economic variables.

7.       Commodity Investing with K. Geert Rouwenhorst (Yale University), Annual Review of Financial Economics, 2012, 4, 447–467.

A review article on commodity futures markets.

8.       The Determinants of Homebuilder Stock Price Exposure to Lumber: Production Cost versus Housing Demand with Peng Liu (Cornell University) and Xiaomeng Lu (Cornell University), Journal of Housing Economics, 2012, 21, 211-222.

The slope of the lumber futures is an indicator to the homebuilder stock price exposure to lumber.

9.       Index Investment and the Financialization of Commodities with Wei Xiong (Princeton University), Financial Analyst Journal, 2012, 68, 54-74.

Correlations among different commodities increase largely as a result of rapidly growing index investment to commodities markets since early 2000s. Commodities are experiencing a financialization process.

o    Featured by Financial Times, James Hamilton’s bog and the VOX

10.    Economic Linkages, Relative Scarcity, and Commodity Futures Returns with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University) , Review of Financial Studies, 2013, 26, 1324-1362.

If an economic (such as production, substitutive, complementary) relationship exists among commodities, the price and convenience yield of a certain commodity are partly determined by the price of related commodities.  For example, the convenience yield of the heating oil is influenced by the crude oil price.

11.    Maximal Affine Models for Multiple Commodities: A Note with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University), Journal of Futures Markets, forthcoming.

The correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities, where the convenience yield of a certain commodity could depend on the prices of other commodities.


Chinese Financial Markets

12.    Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market with Changyun Wang (Renmin University of China), Emerging Market Finance and Trade, 2011, 47, 47-60. 

Good corporate governance does improve the firm liquidity, as evidenced from the Chinese stock market.

13.    Size and Performance of Chinese Mutual Funds: The Role of Economy of Scale and Liquidity with Wenjun Wang (Renmin University of China) and Rong Xu (Renmin University of China), Pacific-Basin Finance Journal, 2012, 20, 228-246.

A hump-shape relationship exists between fund size and performance for Chinese mutual funds, which can be explained by both economy of scale and liquidity.

14.    Are Chinese Warrants Derivatives? Evidence from Connections to their Underlying Stocks with Changyun Wang (Renmin University of China), Quantitative Finance, forthcoming

Chinese call warrants have a considerable linkage with their underlying but put warrants nearly do not. The combination of the arbitrage pricing theory and the resale-option bubble theory is able to explain this stylized fact.

15.    China’s Imported Inflation and Global Commodity Prices with Changyun Wang (Renmin University of China) and Shiyi Wang (Renmin University of China), Emerging Market Finance and Trade, forthcoming

Final goods prices from upstream industries in China were strongly influenced by the global commodity prices. This effect was partially offset by the production process, i.e., the final goods prices in downstream industries were generally less impacted by global prices.

16.    Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? with Liyan Han (Beihang University) and Rong Liang (Renmin University of China) Quantitative Finance, 2013,13,613-626.

Dalian Commodity Exchange (DCE) plays a prominent role in the global soybean futures price discovery; information transfer from DCE to CBOT is at a similar magnitude as that from CBOT to DCE.

17.     商业银行竞争、效率及其关系研究--以韩国、中国台湾和中国大陆为例(与黄隽合作) ,中国社会科学》并被《新华文摘》转载, 2008年。




18.    Institutional Asset Pricing with Heterogeneous Beliefs with Zhigang Qiu (Renmin University of China), Shiyang Huang (London School of Economics) and Qi Shang (Renmin University of China), Journal of Banking and Finance, forthcoming.

Relative performance has two effects on the agents. First, it leads agents to trade more similarly, which effectively decreases the difference of opinions. Second, it decreases the impact of dominant agent in the extreme economy which effectively increases the difference of opinions.