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Closing Pressure, Predatory Trading, and the Negative Price of Oil
Ge, Yiqing; Kang, Wenjin; Tang, Ke; Yang, Liyan - 2022
This paper examines the contribution of closing pressure and predatory trading to the formation of the negative settlement price of NYMEX West Texas Intermediate (WTI) Crude Oil futures on April 20, 2020. We construct a theoretical model and show that the eagerness to close long positions,...
Persistent link: https://www.econbiz.de/10013292067
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7th International Conference on Futures and Other Derivatives (ICFOD)
Tang, Ke (ed.) - International Conference on Futures and Other … - 2020
Persistent link: https://www.econbiz.de/10012313596
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Evaluating the gains from international risksharing : a comment
Rouwenhorst, K. Geert - In: Carnegie Rochester conference series on public policy : … 42 (1995), pp. 145-149
Persistent link: https://www.econbiz.de/10001183698
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Time to build and aggregate fluctuations : a reconsideration
Rouwenhorst, K. Geert - In: Journal of monetary economics 27 (1991) 2, pp. 241-254
Persistent link: https://www.econbiz.de/10001108310
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Relative scarcity of commodities with a long-term economic relationship and the correlation of futures returns
Casassus, Jaime; Liu, Peng; Tang, Ke - 2011
Persistent link: https://www.econbiz.de/10009382382
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Asset pricing with heterogeneous beliefs and relative performance
Huang, Shiyang; Qiu, Zhigang; Shang, Qi; Tang, Ke - In: Journal of banking & finance 37 (2013) 11, pp. 4107-4119
Persistent link: https://www.econbiz.de/10010244893
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Economic linkages, relative scarcity, and commodity futures returns
Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362
Persistent link: https://www.econbiz.de/10009752184
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Long term spread option valuation and hedging
Dempster, Michael A. H.; Medova, Elena; Tang, Ke - In: Journal of banking & finance 32 (2008) 12, pp. 2530-2540
Persistent link: https://www.econbiz.de/10003795773
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Maximal Gaussian affine models for multiplec commodities: a note
Casassus, Jaime; Liu, Peng; Tang, Ke - 2014
Persistent link: https://www.econbiz.de/10011311374
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Maximal Gaussian affine models for multiple commodities : a note
Casassus, Jaime; Liu, Peng; Tang, Ke - In: The journal of futures markets 35 (2015) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10011346168