Zhiguang (Gerald) Wang

Zhiguang (Gerald) Wang
DuBois Professor of Business Finance and Investments, Ph.D., CFA
Box 2220, Harding Hall (SHH) 125
Ness School of Management and Economics
South Dakota State University
Phone: 605-688-4861

Current Teaching

• Fall 2022: Business Finance (FIN310), Investments (FIN411/511)
• Summer 2022: Business Finance (FIN310)
• Spring 2023: Student Managed Investment Fund (FIN4/520)

Past Teaching (Fall 2009-Spring 2002)

• 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

Research Interests

• Asset pricing
• Financial and Commodity Derivatives
• Volatility
• Machine Learning
• Market Microstructure
• Non-Gaussian Distributions and Processes

Publications/Presentations

(*graduate advisee / student)

• Diersen and Wang (2022). Weekly Options on Grain Futures. Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting and Market Risk Management, St Louis, MO, April 2022; Commodity & Energy Markets Association, Chicago, IL, June 2022.
• Medvedev* and Wang (2022). Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning. 2021. Journal of Futures Markets, 42(4), 645-667. April 2022. DOI:10.1002/fut.22302
• Diersen and Wang (2022). Trading Commodity Futures and Options in a Student-Managed Fund.  Applied Economics Teaching Resources (AETR), 4(1), March 2022.
• Medvedev* and Wang (2020). Multi-Step Forecast of the Implied Volatility Surface Using Deep Learning. 2020 SDSU Data Science Symposium. February 2020; University of Minnesota, MCFAM Seminar. October 2020; Southwestern Finance Association Annual Meeting 2021 (Best Paper Award in Investments). March 2021.
• 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. 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, Minnesota.
• 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, Missouri.
• 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, Missouri.
• 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].
• 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
• High-Frequency Trading
• Market Microstructure
• Volatility of Commodities
• Commodity Futures and Options Pricing
• Volatility Prediction with Machine Learning