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汤珂

2020-02-10


清华大学社会科学学院经济所教授。主要研究方向为大宗商品市场(包括加密货币和数据要素定价)、金融科技和数字经济。在Journal of Finance, Review of Financial Studies等顶级英文期刊上发表多篇论文,目前担任国际期刊Quantitative Finance的执行编辑以及Journal of Commodity Markets的副主编。研究成果得到美国期货管理委员会、联合国大宗商品报告以及多家媒体的报道。

教育背景

2000年7月毕业于清华大学,获得工程学士经济学学士

2002年7月毕业于清华大学,获得工程学硕士学位

2004年4月毕业于加州大学伯克利分校,获得金融工程硕士学位

2008年8月毕业于剑桥大学,获得金融学博士学位

工作履历

2008/102014/10 中国人民大学汉青研究院助理教授、副教授、教授

2014/11 至今 清华大学社会科学学院经济学研究所 教授


期刊兼职

执行编辑, Quantitative Finance (impact factor: 1.5)
副主编, Journal of Commodity Markets (impact factor: 2.3)

 

奖励与荣誉

2004年 加州大学伯克利分校金融工程硕士最佳论文David Pyle奖
2010年 教育部“新世纪人才支持计划”
2010年 北京市哲学社会科学二等奖
2012年 中组部“青年拔尖人才支持计划”(万人计划)
2013年 国家杰出青年科学基金

2017年 北京市哲学社会科学二等奖

2020年      中宣部四个一批”暨哲学社会科学领军人才(万人计划)

 

学术成果 (Publications)

代表英文成果:

1.A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets, with Wenjin Kang (SUFE) and Geert Rouwenhorst (Yale University), Journal of Finance, 2020,75, 377-417.

2.Commodity as Collateral, with Haoxiang Zhu (MIT), Review of Financial Studies, 2016, 29, 2110-2160.

3.Economic Linkages, Relative Scarcity, and Commodity Futures Returns, with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University) , Review of Financial Studies, 2013, 26, 1324-1362.

4.Index Investment and the Financialization of Commodities, with Wei Xiong (Princeton University), Financial Analyst Journal, 2012, 68, 54-74. (ESI 高被引论文, Google Scholar 1400+)

5.Commodity Investing, with K. Geert Rouwenhorst (Yale University), Annual Review of Financial Economics, 2012, 4, 447–467.


其他英文成果:

6.Long Term Spread Option Valuation and Hedging, with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Journal of Banking and Finance, 2008, 32, 2530-2540.

7.No-arbitrage Conditions for Storable Commodities and the Modelling of Futures Term Structures, with Peng Liu (Cornell University), Journal of Banking and Finance, 2010, 34, 1675-1687.

8.Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities, with Michael Dempster (Cambridge University), Journal of Banking and Finance, 2011, 35, 639-652.

9.Institutional Asset Pricing, with Heterogeneous Beliefs, with Zhigang Qiu (Renmin University of China), Shiyang Huang (London School of Economics) and Qi Shang (Renmin University of China), Journal of Banking and Finance, 2013, 37,  4107-4119.

10.The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield, with Peng Liu (Cornell University), Journal of Empirical Finance, 2011, 18, 211-224.

11.Time-varying Long Run Mean of Commodity Prices and the Modelling of Futures Term Structure, Quantitative Finance, 2012, 12, 781-790.

12.Determinants of Oil Futures Prices and Convenience Yields, with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Quantitative Finance, 2012,12,1795-1809.

13.The Determinants of Homebuilder Stock Price Exposure to Lumber: Production Cost versus Housing Demand, with Peng Liu (Cornell University) and Xiaomeng Lu (Cornell University), Journal of Housing Economics, 2012, 21, 211-222.

14.Maximal Affine Models for Multiple Commodities: A Note, with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University), Journal of Futures Markets, 2015, 35, 75-86.

15.Size and Performance of Chinese Mutual Funds: The Role of Economy of Scale and Liquidity, with Wenjun Wang (Renmin University of China) and Rong Xu (Renmin University of China), Pacific-Basin Finance Journal, 2012, 20, 228-246.

16.Are Chinese Warrants Derivatives? Evidence from Connections to their Underlying Stocks, with Changyun Wang (Renmin University of China), Quantitative Finance, 2013, 13, 1225-1240.

17.Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? with Liyan Han (Beihang University) and Rong Liang (Renmin University of China) Quantitative Finance, 2013,13,613-626.

18.Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market, with Changyun Wang (Renmin University of China), Emerging Market Finance and Trade, 2011, 47, 47-60.

19.China’s Imported Inflation and Global Commodity Prices, with Changyun Wang (Renmin University of China) and Shiyi Wang (Renmin University of China), Emerging Market Finance and Trade, 2014, 50, 162–177.

20.Latent Jump Diffusion Factor Estimation for Commodity Futures, with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Journal of Commodity Markets, 2018, 9, 35-54.

21.Commodity Prices and GDP Growth, with Yiqing Ge (Tsinghua University), International Review of Financial Analysis, Forthcoming.


代表中文成果:

22.商业银行竞争、效率及其关系研究--以韩国、中国台湾和中国大陆为例(与黄隽合作) ,《中国社会科学》并被《新华文摘》转载, 2008年,第二作者。

23.中国商品期货投资属性研究(与钟腾合作), 《金融研究》,2016年第4期,通讯作者。

24.一种基于在线大数据的高频CPI指数的设计及应用(与刘涛雄、姜婷凤和仉力合作),《数量经济技术经济研究》,2019年第9期,第二作者。

25.基于在线大数据的中国商品价格粘性研究 (与姜婷凤和刘涛雄合作),《经济研究》,2020年第6期,通讯作者。

26.非权益众筹的亲社会动机及支持行为研究(与姜婷凤合作),《经济学季刊》,已接收,通讯作者。

27.调整期货交易规则可以降低投资者杠杆吗?(与王静远、葛逸清、邓雅琳合作),《管理科学学报》,已接收,通讯作者。




工作论文:


人工智能与金融科技

1.AlphaPortfolio for Investment and Economically Interpretable AI, with Lin William Cong (Cornell University), Jingyuan Wang (BUAA) and Yang Zhang (BUAA),    

 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3554486

2.Decision Making with Machine Learning and ROC Curves, with Kai Feng (BUAA), Han Hong (Stanford University) and Jingyuan Wang (BUAA)

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3382962

3.Artificial-Intelligence Assisted Decision Making: A Statistical Framework, with Han Hong (Stanford University), Xin Lin (BUAA) and Jingyuan Wang (BUAA)

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3508224


大宗商品(包括加密货币)

4.Crypto Wash Trading, with Lin William Cong (Cornell University), Xi Li (University of Newcastle) and Yang Yang (Tsinghua)

 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3530220

5.Political Uncertainty and Commodity Markets, with Kewei Hou (Ohio State University) and Bohui Zhang (CUHK)

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3064295

6.Relative Basis, with Ming Gu (Xiamen University), Wenjin Kang (SUFE) and Dong Lou (LSE)

 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3404561

7.Financialization and Commodity Market Serial Dependence, with Zhi Da (University of Notre Dame), Yubo Tao (Singapore Management University), and Liyan Yang (Toronto University)

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3285541

8.中国大宗商品期货市场定价机制研究,与冯玉林(上财)、康文津(上财)合作


教材

《随机过程与金融衍生品》汤珂 编著,中国人民大学出版社,2014年。



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