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Zhiguang Wang

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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

Biography

Dr. Zhiguang (Gerald) Wang is DuBois Professor of Business Finance and Investments in Ness School of Management and Economics. Dr. Wang joined South Dakota State University in 2009 after graduating from Florida International University. He currently teaches Business Finance, Investments and Student Managed Investment Fund and coordinates First Dakota National Bank eTrading Education Lab. His research focuses on asset pricing and risk management in financial and agricultural commodity markets. He is particularly interested in volatility-related research. His recent research works are focused on Machine Learning and Market Microstructure. He enjoys the intersection of two disciplines: finance and applied mathematics/statistics. His research publications appear in finance and agricultural economics journals, including Review of Finance, Journal of Futures Markets, Journal of Empirical Finance, Journal of Commodity Markets, Agricultural Economics, and Canadian Journal of Agricultural Economics among others. He also serves on the Editorial Board of the Journal of Futures Markets. He has presented in numerous academic conferences and reviewed articles for academic journals. He serves on the Editorial Board for the Journal of Futures Markets and is the faculty advisor for SDSU Investment Club and Student Managed Investment Fund.

Education

Ph.D., Financial Economics, Florida International University.
M.A., Finance, Shanghai University of Finance and Economics.
B.S., International Business, Jilin University.

Academic Interests/Expertise

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

Awards and Honors

Southwestern Finance Association, Best Paper Award in Investments, 2021
Quinnipiac G.A.M.E. Forum X Portfolio Competition Selected Presentation (advisor), 2021
Everett and Bernie DuBois Endowed Professorship, South Dakota State University, 2020
IFAMA Case Competition, 1st Prize in Intermediate Group (advisor), 2019
NESS DME Outstanding Student Investment Club (advisor), South Dakota State University, 2018
SDSU Student Organization Award, Investment Club (advisor), 2018
SDSU Student Organization Outstanding Program Award, Investment Club (advisor), 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"

Professional Memberships

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

Area(s) of Research

Research Interests: Asset pricing, Financial and Commodity Derivatives, Volatility, Machine Learning, Market Microstructure, Non-Gaussian Distributions and Processes

Publications (*graduate advisee/student)
Medvedev* and Wang (2021). Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning. 2021. Journal of Futures Markets, forthcoming. https://doi.org/10.1002/fut.22302

TeSlaa*, L. Elliott, M. Elliott, and Wang (2020). New Generation Grain Contracts in Corn and Soybean Commodity Markets. Journal of Commodity Markets, 20, 100113.

Wang and Dupoyet (2019). A Dimension-invariant Cascade Model for VIX Futures. Journal of Futures Markets, 39(10), 1214-1227.

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.

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.

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.

Graham* and Wang (2016). Volatility Transmission: A Linkage between Grain Markets and Food Companies. Journal of Accounting and Finance, 16(4), 136-148.

Wang and Daigler (2016). The Option SKEW Index, VIX of VIX, and Market Tail Risk, Review of Futures Markets, 22(4), 1-28.

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.

Osei* and Wang (2015). Seasonality and Stochastic Volatility in Wheat Options. Journal of Economics, XLI (1), 9-28.

Fausti, Wang, Qasmi and Diersen (2014). Risk and Marketing Behavior: Pricing Fed Cattle on a Grid. Agricultural Economics, 45(5), 601–612.

Schmitz*, Wang and Kimn (2014). A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis. Journal of Futures Markets, 34(3), 235-260.

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.

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.

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.

Wang and Daigler (2011). The performance of VIX option pricing models: Empirical evidence beyond simulation. Journal of Futures Markets, 31(3): 251-281.

Wang and Bidarkota (2010). A long-run risks model of asset pricing with fat tails. Review of Finance, 14(3): 409-449.

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

Work in Progress
VIX futures and options, Market Microstructure, Machine Learning, High-Frequency Trading, Volatility of Commodities, Commodity Futures and Options Pricing

Department(s)

Links

Zhiguang Wang's Website