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Title

Professor

Office Building

Harding Hall

Office

227

Mailing Address

Harding Hall 227
Economics-Box 2220
University Station
Brookings, SD 57007

Education

• Ph.D. in financial economics | Florida International University
• M.A. in finance | Shanghai University of Finance and Economics
• B.S. in international business | Jilin University

Academic Interests

• Asset pricing
• Derivatives (financial and commodities)
• Risk management
• Volatility modeling
• Machine learning; market microstructure

Academic Responsibilities

• Business finance
• Financial management
• Investments
• Student managed investment fund

Committees and Professional Memberships

• American Finance Association
• Financial Management Association
• Southwestern Finance Association
• NCCC-134

à£à£Ö±²¥Ðãs and Honors

• Southwestern Finance Association, Best Paper à£à£Ö±²¥Ðã in Investments, 2021
• Quinnipiac G.A.M.E. Forum X Portfolio Competition Selected Presentation (adviser), 2021
• Everett and Bernie DuBois Endowed Professorship, South à£à£Ö±²¥Ðã State University, 2020
• IFAMA Case Competition, 1st Prize in Intermediate Group (adviser), 2019
• NESS DME Outstanding Student Investment Club (adviser), South à£à£Ö±²¥Ðã State University, 2018
• SDSU Student Organization à£à£Ö±²¥Ðã, Investment Club (adviser), 2018
• SDSU Student Organization Outstanding Program à£à£Ö±²¥Ðã, Investment Club (adviser), 2017
• Quinnipiac G.A.M.E. Forum VII Portfolio Competition, 1st Place in Undergraduate Core, 2017
• NESS DME Outstanding Faculty Achievement, 2016
• Undergraduate Teacher of the Year, 2016
• Stahly Scholar in Financial Economics, 2011-2014
• Fellow, Institute on Computational Economics, University of Chicago/Argonne, 2009
• Dissertation Year Fellowship, Florida International University, 2009
• Financial Management Association Doctoral Student Consortium, 2008

Grants

• SDDOT 2014-2015 "Agricultural Freight Data Improvement Research Project"
• SDDOT 2012-2013 "Selection of Inflation and Discount Rates for Infrastructure Investment Analyses"

Areas of Research

• Asset pricing
• Financial and commodity derivatives
• Volatility
• Machine learning
• Market microstructure
• Non-gaussian distributions and processes

Work in Progress

• VIX futures and options
• Market microstructure
• Machine learning
• High-frequency trading
• Volatility of commodities
• Commodity futures
• Options pricing

Publications

1. Medvedev* and Wang (2021). . 2021. Journal of Futures Markets, forthcoming.
2. TeSlaa*, L. Elliott, M. Elliott and Wang (2020). New Generation Grain Contracts in Corn and Soybean Commodity Markets. Journal of Commodity Markets, 20, 100113.
3. Wang and Dupoyet (2019). A Dimension-invariant Cascade Model for VIX Futures. Journal of Futures Markets, 39(10), 1214-1227.
4. Wang, Z. (2019). Intraday Trading Invariance in the Grain Futures Markets. Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Minneapolis, MN.
5. Wang, Mishra, and Elliott. (2017). Trade Impact in the Electronic Grain Futures Markets. Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis, MO.
6. TeSlaa*, L. Elliott, M. Elliott, and Wang (2017). Performance of the Producer Accumulator in Corn and Soybean Commodity Markets. Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis, MO.
7. Graham* and Wang (2016). Volatility Transmission: A Linkage between Grain Markets and Food Companies. Journal of Accounting and Finance, 16(4), 136-148.
8. Wang and Daigler (2016). The Option SKEW Index, VIX of VIX, and Market Tail Risk, Review of Futures Markets, 22(4), 1-28.
9. Wu, Meyers, Guan and Wang (2015). Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices. Journal of Empirical Finance, 34, 260-274.
10. Osei* and Wang (2015). Seasonality and Stochastic Volatility in Wheat Options. Journal of Economics, XLI (1), 9-28.
11. Fausti, Wang, Qasmi and Diersen (2014). Risk and Marketing Behavior: Pricing Fed Cattle on a Grid. Agricultural Economics, 45(5), 601–612.
12. Schmitz*, Wang and Kimn (2014). A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis. Journal of Futures Markets, 34(3), 235-260.
13. Fausti, Wang and Lange (2013). Expected Utility, Risk, and Marketing Behavior: Theory and Evidence from the Fed Cattle Market. Canadian Journal of Agricultural Economics, 61(3):371–395.
14. Wang, Fausti and Qasmi (2012). Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market. Journal of Futures Markets, 32(6): 587-608.
15. Wang and Bidarkota (2012). Risk Premia in Forward Foreign Exchange Rates: A Comparison of Signal Extraction and Regression Methods. Empirical Economics, 42(1): 21-51.
16. Wang and Daigler (2011). The performance of VIX option pricing models: Empirical evidence beyond simulation. Journal of Futures Markets, 31(3): 251-281.
17. Wang and Bidarkota (2010). A long-run risks model of asset pricing with fat tails. Review of Finance, 14(3): 409-449.

(*graduate advisee/student)

Working Papers
Wang (2009). How does the Market Price Risks: Evidence from Stock Options.