汤珂

清华大学至善书院院长，清华大学社科学院经济学研究所教授

清华大学社会科学学院经济学研究所教授，中宣部“四个一批”暨哲学社会科学领军人才（万人计划），国家杰出青年基金获得者。主要研究数据要素、商品交易和数字经济。在Journal of Finance、Review of Financial Studies、Management Science、PNAS、《中国社会科学》、《经济研究》等杂志上发表多篇论文。担任国际期刊Quantitative Finance的执行编辑以及《管理科学学报》的领域编辑。研究成果得到美国期货管理委员会、联合国商品报告以及多家媒体的报道, 入选2020-2023年爱思唯尔中国高被引学者。

人物经历

2000年7月，毕业于清华大学，获得经济学和工程学士学位。

2002年7月，毕业于清华大学，获得工程学硕士学位。

2004年4月，毕业于美国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。

2008年9月至2009年9月，任中国人民大学汉青研究院讲师。

2009年9月至2013年9月，任中国人民大学汉青研究院副教授。

2013年10月2014年10月，任中国人民大学汉青研究院教授。

2014年11月，任清华大学社科学院经济学研究所教授。

2024年6月，任清华大学至善书院院长。

研究方向

大宗商品（包括加密货币）

数字经济

金融科技

获奖记录

中宣部“四个一批”人才

国家杰出青年科学基金。

中组部青年拔尖人才支持计划。

教育部新世纪人才支持计划。

北京市第11届哲学社会科学优秀成果奖二等奖。

加州大学伯克利分校金融工程硕士最佳论文David Pyle奖。

学术兼职

Managing Editor, Quantitative Finance

领域编辑，《管理科学学报》

学术发表

代表英文成果：

1. Leverage is a Double-Edged Sword, with Avanidhar Subrahmanyam (UCLA), Jingyuan Wang (Beihang University) and Xuewei Yang (Nanjing University), Journal of Finance, 2024, 79, 1579-1634.

2. Financialization and Commodity Markets Serial Dependence, with Zhi Da (Notre Dame University), Yubo Tao (University of Macau) and Liyan Yang (Toronto University), Management Science, 2024, 70, 2023-2704.

3. Crypto Wash Trading, with Lin William Cong (Cornell University), Xi Li (University of Newcastle) and Yang Yang (University of Bristol), Management Science, 2023, 69, 6417-7150.

4. 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.

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

6. 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.

7. 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 2000+)

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

其他英文成果：

9. 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.

10. 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.

11. 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.

12. 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.

13. 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.

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

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

16. 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.

17. 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.

18. 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.

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

20. 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.

21. 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.

22. 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.

23. 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.

24. Commodity Prices and GDP Growth, with Yiqing Ge (Tsinghua University), International Review of Financial Analysis, 2020,5, 101512.

25. Gender and Herding, with Jie Michael Guo (Durham University), YaodongLiu (Durham University), and Zhigang Zheng (Renmin University of China), Journal of Empirical Finance, 2021, 64, 379-400.

26. Do Corporate Managers Believe in Luck? Evidence of the Chinese Zodiac Effect, with Jiarong Li (Durham University), Jie Michael Guo (Durham University), Nan Hu (Glasgow University), International Review of Financial Analysis, 2021, 101861

27. Deep Sequence Modeling: Development and Applications in Asset Pricing, with Lin William Cong (Cornell University), Jingyuan Wang (BUAA) and Yang Zhang (BUAA), The Journal of Financial Data Science, 2021, 3, 28-42.

28. Impact of Temperature and Relative Humidity on the Transmission of COVID-19: A Modelling Study in China and the United States, with Jingyuan Wang, Kai Feng(BUAA), Xin Lin (BUAA), Weifeng Lv (BUAA), Kun Chen (University of Connecticut), Fei Wang (Cornell University), BMJ Open, 2021, 11, e043863 (ESI 高被引论文， Google Scholar 900+)

29. Can the E-commercialization improve residents’ income? --Evidence from “Taobao Counties” in China, with Qiaoqin Xiong(Tsinghua University) and Fengyu Zhang(Tsinghua University), International Review of Economics and Finance, 2022, 3, 540-553.

30. Online Prices and Inflation during the Nationwide COVID-19 Quarantine Period: Evidence from 107 Chinese Websites, with Tingfeng Jiang (UIBE), Taoxiong Liu (Tsinghua University) and Jiaqing Zeng (Tsinghua University), Finance Research Letters, 2022, 49, 103166.

31. Experience of the COVID-19 pandemic in Wuhan leads to a lasting increase in social distancing, with Edoardo Gallo (Cambridge University), Darija Barak (Cambridge University), Ke Rong (Tsinghua University), and Wei Du (Anhui University of Finance and Economics), Scientific Reports, 2022,12, 18457.

32. Assortative Mating on Blood Type: Evidence from One Million Chinese Pregnancies, with Yao Hou (Tsinghua University), Jingyuan Wang (BUAA), Danxia Xie (Tsinghua University), Hanzhe Zhang (Michgan State University), Proceedings of the National Academy of Sciences (PNAS), 2022, 51, e22096431

33. Financialization of Commodity Markets Ten Years Later, with Wenjin Kang (Macau University) and Ningli Wang(Tsinghua), Journal of Commodity Markets, 2023, 30, 100313.

34. GPT's idea of stock factors, with Yuhan Cheng, Quantitative Finance, forthcoming.

代表中文成果：

35. 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。

36. 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。

37. 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。

38. 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。

39. 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》，2020年10月，通讯作者。

40. 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》，2021年2月，通讯作者。

41. 数据要素的界权、交易和定价研究进展（与熊巧琴合作），《经济学动态》，2021年2月，第二作者

42. 中国南北方上市公司表现差异及形成机制研究（与何致衡、康文津合作），《经济学季刊》，2023年3月，第二作者

43. 第三方数字平台能否帮助中小微企业提升经营收益？——来自百万商户大数据的证据（与熊巧琴、张丰羽合作），《经济学季刊》，接收，通讯作者

44. 基于在线大数据的通货膨胀“现时”预测（与姜婷凤、刘涛雄合作），《计量经济学报》，2022年7月，通讯作者

45. 中国大宗商品期货市场定价机制研究（与冯玉林和康文津合作），《金融研究》，2022年12月，第二作者

46. 高频全量企业大数据视角下的创业、集聚与制度协同研究，《中国管理科学》，2023年6月，通讯作者

47. 保证金调整与期货价格波动（与汪宁丽合作）,《管理科学学报》，接收，通讯作者

48. 人民币国际化及其影响因素研究：基于汇率联动视角（与徐扬和谢丹夏合作），《国际金融研究》，2023年3月，第二作者

49. 数字时代的算法滥用及其规制研究（与张丰羽合作），《经济学动态》，2023年2月，通讯作者。

50. 企业数据资产化：会计确认与价值评估（与罗枚、李金璞合作），《清华大学学报》，2023年9月，通讯作者。

工作论文

商品交易 (包括数字资产)

1. 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

2. Relative Basis, with Ming Gu (Xiamen University), Wenjin Kang (SUFE) and Dong Lou (LSE), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3404561

3. Hedging Pressure and Commodity Option Prices, with Inghaw Cheng (Toronto University) and Lei Yan (Yale University) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3933070

4. Value Premium, Network Adoption, and Factor Pricing of Crypto Assets, with Lin William Cong (Cornell University), George Andrew Karolyi (Cornell University) and Weiyi Zhao (Tsinghua University)

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3985631

5. Staking, Token Pricing, and Crypto Carry, with Lin William Cong (Cornell University), and Zhiheng He (Tsinghua University) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4059460

6. Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem, with Lin William Cong (Cornell University), Yanxin Wang (Xi’an Jiao Tong University) and Xi Zhao (Xi’an Jiao Tong University) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4162966

人工智能与金融科技

7. 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

8. Properties of ROC Curves, with Kai Feng (BUAA), Han Hong (Stanford University) and Jingyuan Wang (BUAA), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3382962

9. 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

10. Teaching Economics to the Machines, with Hui Chen (MIT), Yanchu Liu (Sun Yat-sen University) and Yuhan Cheng (Shandong University), https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4642167

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