Office BuildingHarding Hall
Mailing AddressHarding Hall 227
Brookings, SD 57007
BiographyDr. Zhiguang (Gerald) Wang joined South Dakota State University in 2009 after graduating from Florida International University. Dr. Wang, Associate Professor of Finance, 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 research articles have appeared in Review of Finance, the Journal of Futures Markets, Journal of Empirical Finance, Empirical Economics, Agricultural Economics, Canadian Journal of Agricultural Economics. He has presented in numerous academic conferences and reviewed articles for academic journals. He is an associate editor for Journal of Futures Markets and the faculty advisor of the Investment Club and Student Managed Investment Fund.
EducationPh.D., Financial Economics, Florida International University, 2009.
M.A., Finance, Shanghai University of Finance and Economics, 2004.
B.S., International Business, Jilin University, 2000.
Academic Interests/ExpertiseAsset Pricing; Derivatives (Financial and Commodities), Risk Management
Academic ResponsibilitiesBusiness Finance
Student Managed Investment Fund
Awards and HonorsNESS 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
GrantsSDDOT 2012-2013 "Selection of Inflation and Discount Rates for Infrastructure Investment Analyses"
Professional MembershipsFinancial Management Association
Agricultural and Applied Economics Association
Area(s) of ResearchResearch Interests: Asset pricing, Financial and Commodity Derivatives, Volatility, Non-Gaussian Distributions and Processes
Finance, Agricultural Commodities
Research Interests: Asset pricing, Financial and Commodity Derivatives, Volatility, Non-Gaussian Distributions and Processes
Publications (*graduate advisee/student)
Wang and Dupoyet (2019). A Dimension-invariant Cascade Model for VIX Futures. Journal of Futures Markets. Forthcoming.
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.
Wang (2009). How does the Market Price Risks: Evidence from Stock Options.
Work in Progress
VIX futures and options, High Frequency Trading, Market Microstructure, Volatility of Commodities, Commodity Futures and Options Pricing