Meet Our Community

09/2004 — 07/2008, University of Cambridge, PHD in Finance

03/2003 — 03/2004, University of California Berkeley, Master of Financial Engineering

09/1995 — 07/2002, Tsinghua University, Bachelor/Master in Material Science

09/1998 — 07/2000, Tsinghua University, Bachelor in Economics

06/2024 — now, Zhishan College, Tsinghua University, Dean

11/2014 — now, Institute of Economics, School of Social Science, Tsinghua University,Professor

09/2013 — 10/2014, Hanqing Institute of Economics and Finance, Renmin University of China, Professor

09/2009 — 08/2013, Hanqing Institute of Economics and Finance, Renmin University of China, Associate Professor

07/2008 — 09/2009, Hanqing Institute of Economics and Finance, Renmin University of China, Assistant Professor

Executive Editor, Quantitative Finance

FinTech Platforms and Asymmetric Network Effects: Theory and Evidence from Marketplace Lending, 2024 China Tech-Fin Research Conference, Best Paper Award, First Prize, 2024

Crypto Wash Trading, The 2nd Annual CBER-Circle Insight Award, Best Paper Finalist, 2024.

Teaching Economics to the Machines, China International Risk Forum & China Finance Review International Joint Conference, Best Paper Award, 2024

The Tokenomics of Staking, The 36t Asian Finance Association Annual Conference, Best Paper Finalist, 2024

Staking, Token Pricing, and Crypto Carry, Chinese Finance Annual Meeting, CFAM-CSMAR Best Paper Award, 2022

Value Premium, Network Adoption, and Factor Pricing of Crypto Assets, European Financial Management Association (EFMA) Conference, Best Paper Award, 2022

Staking, Token Pricing, and Crypto Carry, Annual Conference of the Asia-Pacific Association of Derivatives, Best Paper Award, 2022

Crypto Wash Trading, Crypto and Blockchain Economics Research (CBER) Conference, Best Paper Award, 2021

Crypto Wash Trading, 2021 Kaiko Prize for Research in Cryptoeconomics, Best Paper Award, 2021

Crypto Wash Trading, Annual Conference of the Asia-Pacific Association of Derivatives (APAD), Best Paper Award, 2021

AlphaPortfolio for Investment and Economically Interpretable AI, The 3rd China International Forum on Finance and Policy，Best Paper Award, 2021

Hedging Pressure and Commodity Option Prices，The 2nd China Derivatives Youth Forum，Best Paper Award, 2021

1. Statistical Tests for Replacing Human Decision Makers with Algorithms, with Han Hong (Stanford University), Xin Lin (BUAA) and Jingyuan Wang (BUAA), Management Science, Forthcoming.

2. Leverage is a Double-Edged Sword, with Avanidhar Subrahmanyam (UCLA), Jingyuan Wang (Beihang University) and Xuewei Yang (Nanjing University), Journal of Finance, 2024, 79, 1579-1634.

3. Financialization and Commodity Markets Serial Dependence, with Zhi Da (Notre Dame University), Yubo Tao (University of Macau) and Liyan Yang (Toronto University), Management Science, 2024, 70, 2023-2704.

4. Crypto Wash Trading, with Lin William Cong (Cornell University), Xi Li (University of Newcastle) and Yang Yang (University of Bristol), Management Science, 2023, 69, 6417-7150.

5. A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets, with Wenjin Kang (SUFE) and Geert Rouwenhorst (Yale University), Journal of Finance, 2020,75, 377-417.

6. Commodity as Collateral, with Haoxiang Zhu (MIT), Review of Financial Studies, 2016, 29, 2110-2160.

7. 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.

8. Index Investment and the Financialization of Commodities, with Wei Xiong (Princeton University), Financial Analyst Journal, 2012, 68, 54-74. (ESI Highly Cited Paper, Google Scholar 2000+)

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

10. 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.

11. 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.

12. 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.

13. 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, 2013, 37, 4107-4119.

14. 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.

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

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

17. 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.

18. 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, 2015, 35, 75-86.

19. 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.

20. Are Chinese Warrants Derivatives? Evidence from Connections to their Underlying Stocks, with Changyun Wang (Renmin University of China), Quantitative Finance, 2013, 13, 1225-1240.

21. 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.

22. 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.

23. 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, 2014, 50, 162–177.

24. Latent Jump Diffusion Factor Estimation for Commodity Futures, with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Journal of Commodity Markets, 2018, 9, 35-54.

25. Commodity Prices and GDP Growth, with Yiqing Ge (Tsinghua University), International Review of Financial Analysis, 2020,5, 101512.

26. Gender and Herding, with Jie Michael Guo (Durham University), YaodongLiu (Durham University), and Zhigang Zheng (Renmin University of China), Journal of Empirical Finance, 2021, 64, 379-400.

27. Do Corporate Managers Believe in Luck? Evidence of the Chinese Zodiac Effect, with Jiarong Li (Durham University), Jie Michael Guo (Durham University), Nan Hu (Glasgow University), International Review of Financial Analysis, 2021, 101861

28. Deep Sequence Modeling: Development and Applications in Asset Pricing, with Lin William Cong (Cornell University), Jingyuan Wang (BUAA) and Yang Zhang (BUAA), The Journal of Financial Data Science, 2021, 3, 28-42.

29. Impact of Temperature and Relative Humidity on the Transmission of COVID-19: A Modelling Study in China and the United States, with Jingyuan Wang, Kai Feng(BUAA), Xin Lin (BUAA), Weifeng Lv (BUAA), Kun Chen (University of Connecticut), Fei Wang (Cornell University), BMJ Open, 2021, 11, e043863 (ESI Highly Cited Paper， Google Scholar 900+)

30. Can the E-commercialization improve residents’ income? --Evidence from “Taobao Counties” in China, with Qiaoqin Xiong(Tsinghua University) and Fengyu Zhang(Tsinghua University), International Review of Economics and Finance, 2022, 3, 540-553.

31. Online Prices and Inflation during the Nationwide COVID-19 Quarantine Period: Evidence from 107 Chinese Websites, with Tingfeng Jiang (UIBE), Taoxiong Liu (Tsinghua University) and Jiaqing Zeng (Tsinghua University), Finance Research Letters, 2022, 49, 103166.

32. Experience of the COVID-19 pandemic in Wuhan leads to a lasting increase in social distancing, with Edoardo Gallo (Cambridge University), Darija Barak (Cambridge University), Ke Rong (Tsinghua University), and Wei Du (Anhui University of Finance and Economics), Scientific Reports, 2022,12, 18457.

33. Assortative Mating on Blood Type: Evidence from One Million Chinese Pregnancies, with Yao Hou (Tsinghua University), Jingyuan Wang (BUAA), Danxia Xie (Tsinghua University), Hanzhe Zhang (Michgan State University), Proceedings of the National Academy of Sciences (PNAS), 2022, 51, e22096431

34. Financialization of Commodity Markets Ten Years Later, with Wenjin Kang (Macau University) and Ningli Wang(Tsinghua), Journal of Commodity Markets, 2023, 30, 100313.

35. GPT's idea of stock factors, with Yuhan Cheng, Quantitative Finance, forthcoming.

Commodity Markets (including Digital Assets)

1. Political Uncertainty and Commodity Markets, with Kewei Hou (Ohio State University) and Bohui Zhang (CUHK) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3064295

2. Relative Basis, with Ming Gu (Xiamen University), Wenjin Kang (SUFE) and Dong Lou (LSE), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3404561

3. Hedging Pressure and Commodity Option Prices, with Inghaw Cheng (Toronto University) and Lei Yan (Yale University) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3933070

4. Value Premium, Network Adoption, and Factor Pricing of Crypto Assets, with Lin William Cong (Cornell University), George Andrew Karolyi (Cornell University) and Weiyi Zhao (Tsinghua University)

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3985631

5. Staking, Token Pricing, and Crypto Carry, with Lin William Cong (Cornell University), and Zhiheng He (Tsinghua University) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4059460

6. Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem, with Lin William Cong (Cornell University), Yanxin Wang (Xi’an Jiao Tong University) and Xi Zhao (Xi’an Jiao Tong University) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4162966

Artificial Intelligence and Fintech

7. AlphaPortfolio for Investment and Economically Interpretable AI, with Lin William Cong (Cornell University), Jingyuan Wang (BUAA) and Yang Zhang (BUAA), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3554486

8. Properties of ROC Curves, with Kai Feng (BUAA), Han Hong (Stanford University) and Jingyuan Wang (BUAA), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3382962

9. Artificial-Intelligence Assisted Decision Making: A Statistical Framework, with Han Hong (Stanford University), Xin Lin (BUAA) and Jingyuan Wang (BUAA), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3508224

10. Teaching Economics to the Machines, with Hui Chen (MIT), Yanchu Liu (Sun Yat-sen University) and Yuhan Cheng (Shandong University), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4642167