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