Dacheng Xiu is a Visiting Research Professor of Econometrics and Statistics at Shanghai Advanced Institute of Finance (SAIF) and Professor of Econometrics and Statistics at Booth School of Business, University of Chicago.
Professor Xiu's research interests include developing statistical methodologies and applying them to financial data, while exploring their economic implications. His earlier research involved risk measurement and portfolio management with high-frequency data and econometric modeling of derivatives. His current work focuses on developing machine learning solutions to big-data problems in empirical asset pricing.
Professor Xiu's work has appeared in Econometrica, Journal of Political Economy, Journal of Finance, Review of Financial Studies, Journal of the American Statistical Association, and Annals of Statistics. He is a Co-Editor for the Journal of Financial Econometrics, an Associate Editor for the Review of Financial Studies, Journal of the American Statistical Association, Management Science, Journal of Econometrics, the Econometrics Journal, and the Review of Asset Pricing Studies. He has received several recognitions for his research, including Fellow of the Society for Financial Econometrics, Fellow of the Journal of Econometrics, Swiss Finance Institute Outstanding Paper Award, AQR Insight Award, and Best Conference Paper Prize from the European Finance Association. He was also named among Poets & Quants' 40 Under 40 MBA Professors in 2023.
Professor Xiu earned his PhD and MA in applied mathematics from Princeton University, where he was also a student at the Bendheim Center for Finance. Prior to his graduate studies, he obtained a BS in mathematics from the University of Science and Technology of China.
Journal Publications
1. Leland Bybee, Bryan Kelly, Asaf Manela, and Dacheng Xiu, Forthcoming, Business News and Business Cycles, Journal of Finance.
2. Dacheng Xiu and 342 coauthors, Forthcoming, Non-Standard Errors, Journal of Finance.
3. Jingwen Jiang, Bryan Kelly, and Dacheng Xiu, Forthcoming, (Re-)Imag(in)ing Price Trends, Journal of Finance.
4. Stefano Giglio, Bryan T. Kelly, and Dacheng Xiu, 2022, Factor Models, Machine Learning, and Asset Pricing, Annual Review of Financial Economics.
5. Giglio, Stefano; Liao, Yuan, and Dacheng Xiu, 2021, Thousands of Alpha Tests, Review of Financial Studies.
6. Giglio, Stefano, and Dacheng Xiu, 2021, Asset Pricing with Omitted Factors, Journal of Political Economy.
7. Da, Rui, and Dacheng Xiu, 2021, When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility, Econometrica.
8. Gu, Shihao, Bryan Kelly, and Dacheng Xiu, 2021, Autoencoder Asset Pricing Models, Journal of Econometrics.
9. Yacine, Aït-Sahalia, Ilze Kalnina, and Dacheng Xiu, 2020, High-Frequency Factor Models and Regressions, Journal of Econometrics.
10. Feng, Gavin, Stefano Giglio, and Dacheng Xiu, 2020, Taming the Factor Zoo: A Test of New Factors, Journal of Finance.
11. Gu, Shihao, Bryan Kelly, and Dacheng Xiu, 2020, Empirical Asset Pricing via Machine Learning, Review of Financial Studies.
12. Yacine, Aït-Sahalia, and Dacheng Xiu, 2019, A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data, Journal of Econometrics.
13. Li, Jia, Yunxiao Liu, and Dacheng Xiu, 2019, Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife, Annals of Statistics.
14. Dai, Chaoxing, Kun Lu, and Dacheng Xiu, 2019, Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data, Journal of Econometrics.
15. Yacine, Aït-Sahalia, and Dacheng Xiu, 2019, Principal Component Analysis of High Frequency Data, Journal of the American Statistical Association.
16. Amengual, Dante, and Dacheng Xiu, 2018, Resolution of Policy Uncertainty and Sudden Declines in Volatility, Journal of Econometrics.
17. Shephard, Neil, and Dacheng Xiu, 2017, Econometric Analysis of Multivariate Realized QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading, Journal of Econometrics.
18. Aït-Sahalia, Yacine; Xiu, Dacheng, 2017, Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High Frequency Data, Journal of Econometrics.
19. Kalnina, Ilze, and Dacheng Xiu, 2017, Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency, Journal of the American Statistical Association.
20. Li, Jia, and Dacheng Xiu, 2016, Generalized Method of Integrated Moments with High Frequency Data, Econometrica.
21. Yacine, Aït-Sahalia, and Dacheng Xiu, 2016, Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? , Journal of Econometrics.
22. Fan, Jianqing, Alex Furger, and Dacheng Xiu, 2016, Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor- Based Large Covariance Matrix Estimator with High Frequency Data, Journal of Business and Economic Statistics.
23. Song, Zhaogang, and Dacheng Xiu, 2016, A Tale of Two Option Markets: Pricing Kernels and Volatility Risk, Journal of Econometrics.
24. Xiu, Dacheng, 2014, Hermite Polynomial based Expansion of European Option Prices, Journal of Econometrics.
25. Fan, Jianqing, Lei Qi, and Dacheng Xiu, 2014, Quasi-Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods, Journal of Business and Economic Statistics.
26. Yacine, Aït-Sahalia, Jianqing Fan, and Dacheng Xiu, 2010, High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data, Journal of the American Statistical Association.
27. Xiu, Dacheng, 2010, Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data, Journal of Econometrics.
Working Papers
1. Yacine Aït-Sahalia, Jean Jacod, and Dacheng Xiu, 2023, Continuous-Time Fama-MacBeth Regressions.
2. Stefano Giglio, Dacheng Xiu, and Dake Zhang, 2023, Prediction when Factors are Weak.
3. Jingwen Jiang, Bryan T. Kelly, and Dacheng Xiu, 2023, Expected Returns and Large Language Models.
4. Rui Da, Stefan Nagel, and Dacheng Xiu, 2022, The Statistical Limit of Arbitrage.
5. Da, Rui and Dacheng Xiu, 2021, Disentangling Autocorrelated Intraday Returns.
6. Stefano Giglio, Dacheng Xiu and Dake Zhang, 2021, Test Assets and Weak Factors.
7. Ke, Tracy, Bryan Kelly and Dacheng Xiu , 2020, Predicting Returns with Text Data.
