Zhiguang (Gerald) Wang
DuBois Professor of Business Finance and Investments, PhD, CFA
Box 2220, Harding Hall (SHH) 227
Ness School of Management and Economics
South Dakota State University
Fall 2020: Business Finance (FIN310), Investments (FIN411/511)
Spring 2021: Student Managed Investment Fund (FIN4/520)
Fall 2009-Spring 2020: Business Finance (FIN310, Face-to-Face, Online and Hybrid); Financial Management (ECON610); Investments (FIN411/511, ECON792); Student Managed Investment Fund (FIN4/520), Principle of Macroeconomics (ECON202).
Research Interests: Asset pricing, Financial and Commodity Derivatives, Volatility, Machine Learning, Market Microstructure, Non-Gaussian Distributions and Processes
Publications/Presentations (*graduate advisee/student)
Medvedev* and Wang (2020). Forecasting: Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning. 2020 SDSU Data Science Symposium. February 11, 2020.
TeSlaa*, L. Elliott, M. Elliott, and Wang (2019). New Generation Grain Contracts in Corn and Soybean Commodity Markets. Journal of Commodity Markets. Forthcoming. [This paper is adapted from the 2017 NCCC-134 conference paper.]
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. [see extended results HERE].
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.