Dacheng Xiu

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

39

DOWNLOADS
Rank 46

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Top 46

in Total Papers Downloads

224,796

TOTAL CITATIONS
Rank 392

SSRN RANKINGS

Top 392

in Total Papers Citations

972

Scholarly Papers (39)

1.
Downloads 84,754 ( 27)
Citation 15

Financial Machine Learning

Number of pages: 159 Posted: 13 Jul 2023
Bryan T. Kelly and Dacheng Xiu
Yale SOM and University of Chicago - Booth School of Business
Downloads 83,589 (27)
Citation 9

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Finance, machine learning, ai, artificial intelligence, returns, return prediction, factor model, portfolio choice

Financial Machine Learning

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-100
Number of pages: 161 Posted: 26 Jul 2023
Bryan T. Kelly and Dacheng Xiu
Yale SOM and University of Chicago - Booth School of Business
Downloads 1,105 (41,357)
Citation 6

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Financial Machine Learning

NBER Working Paper No. w31502
Number of pages: 160 Posted: 24 Jul 2023 Last Revised: 25 Jul 2023
Bryan T. Kelly and Dacheng Xiu
Yale SOM and University of Chicago - Booth School of Business
Downloads 60 (756,947)

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2.
Downloads 24,916 ( 239)
Citation 89

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 24,260 (244)
Citation 25

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Machine Learning, Big Data, Return Prediction, Cross-Section of Returns, Ridge Regression, (Group) Lasso, Elastic Net, Random Forest, Gradient Boosting, (Deep) Neural Networks, Fintech

Empirical Asset Pricing Via Machine Learning

NBER Working Paper No. w25398
Number of pages: 80 Posted: 26 Dec 2018 Last Revised: 26 May 2023
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 656 (83,688)
Citation 64

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3.
Downloads 16,832 ( 457)
Citation 20

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 29 Oct 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera Romero, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, Dublin City University, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam - Department of Finance and Financial Sector Management, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Birmingham - Department of Economics, Queen's University Belfast - Queen's Management School, Universidad de los Andes, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, SAFE Leibniz Institute for Financial Research, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz - Institute of Banking and Finance, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington - Department of Finance and Real Estate, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Finance, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, Gottfried Wilhelm Leibniz Universität Hannover, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - University at Buffalo, Southwestern University of Finance and Economics (SWUFE), NGS Super, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 16,832 (487)
Citation 20

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nonstandard errors, multi-analyst study, liquidity

4.

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35 Posted: 07 Mar 2019 Last Revised: 01 Oct 2019
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 16,012 (538)
Citation 30

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stock returns, conditional asset pricing model, nonlinear factor model, machine learning, autoencoder, neural networks, big data

5.

(Re-)Imag(in)ing Price Trends

Chicago Booth Research Paper No. 21-01
Number of pages: 80 Posted: 04 Jan 2021 Last Revised: 23 Oct 2022
Jingwen Jiang, Bryan T. Kelly and Dacheng Xiu
University of Chicago, Yale SOM and University of Chicago - Booth School of Business
Downloads 15,834 (547)
Citation 50

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convolutional neural network (CNN), image classification, transfer learning, machine learning, technical analysis, return prediction

6.
Downloads 12,348 ( 828)
Citation 9

Predicting Returns with Text Data

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-69, Yale ICF Working Paper No. 2019-10, Chicago Booth Research Paper No. 20-37
Number of pages: 66 Posted: 20 May 2019 Last Revised: 17 Aug 2021
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 11,977 (873)
Citation 8

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Text Mining, Machine Learning, Return Predictability, Sentiment Analysis, Screening, Topic Modeling, Penalized Likelihood

Predicting Returns with Text Data

NBER Working Paper No. w26186
Number of pages: 55 Posted: 03 Sep 2019 Last Revised: 21 Jul 2023
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 371 (167,260)
Citation 1

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Downloads 12,258 ( 844)
Citation 43

Factor Models, Machine Learning, and Asset Pricing

Annual Review of Financial Economics, Vol. 14, pp. 337-368, 2022
Posted: 10 Nov 2022
Stefano Giglio, Bryan T. Kelly and Dacheng Xiu
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business

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Factor Models, Machine Learning, and Asset Pricing

Number of pages: 35 Posted: 18 Oct 2021 Last Revised: 18 Feb 2022
Stefano Giglio, Bryan T. Kelly and Dacheng Xiu
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business
Downloads 12,258 (834)
Citation 43

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asset pricing, machine learning, factor models, stochastic discount factor, risk premium

8.
Downloads 8,251 ( 1,653)
Citation 24

Business News and Business Cycles

Journal of Finance, Forthcoming
Number of pages: 78 Posted: 07 Sep 2019 Last Revised: 27 Jul 2023
Yale School of Management, Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Booth School of Business
Downloads 7,879 (1,770)
Citation 3

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Textual analysis, macroeconomic news, attention, Wall Street Journal, volatility, VAR, machine learning

The Structure of Economic News

NBER Working Paper No. w26648
Number of pages: 55 Posted: 22 Jan 2020 Last Revised: 24 Apr 2023
Yale School of Management, Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Booth School of Business
Downloads 289 (219,196)
Citation 5

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Business News and Business Cycles

NBER Working Paper No. w29344
Number of pages: 66 Posted: 11 Oct 2021 Last Revised: 16 Apr 2023
Yale School of Management, Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Booth School of Business
Downloads 83 (633,243)
Citation 16

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9.

Expected Returns and Large Language Models

Number of pages: 62 Posted: 21 Apr 2023 Last Revised: 28 Aug 2024
Yifei Chen, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 5,274 (3,570)
Citation 5

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natural language processing (NLP), Large Language Models (LLM), BERT, GPT, LLAMA, ChatGPT, Bag-of-Words, Word2vec, machine learning, return prediction

10.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 75 Posted: 20 Mar 2017 Last Revised: 29 Jul 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 4,368 (4,894)
Citation 18

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Factors, Stochastic Discount Factor, Post-Selection Inference, Regularized Two-Pass Estimation, Variable Selection, Machine Learning, LASSO, Elastic Net, PCA

11.
Downloads 3,511 ( 7,012)
Citation 19

Test Assets and Weak Factors

Chicago Booth Research Paper 21-04
Number of pages: 127 Posted: 20 Jan 2021 Last Revised: 29 Sep 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 3,350 (7,442)

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Supervised PCA, risk premium, stochastic discount factor, APT, Ridge, Lasso

Test Assets and Weak Factors

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-79
Number of pages: 101 Posted: 12 Jul 2021
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 96 (577,525)

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Supervised PCA, SPCA, PCA, risk premium, factor models, APT, Ridge, Lasso, stochastic discount factor

Test Assets and Weak Factors

NBER Working Paper No. w29002
Number of pages: 49 Posted: 12 Jul 2021 Last Revised: 31 Mar 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 64 (732,425)

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Test Assets and Weak Factors

CEPR Discussion Paper No. DP16307
Number of pages: 103 Posted: 14 Jul 2021
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1 (1,357,171)
Citation 19
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12.
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Citation 14

Asset Pricing with Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 39 Posted: 08 Nov 2016 Last Revised: 17 Sep 2019
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 1,942 (17,727)
Citation 11

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Three-Pass Estimator, Regularized Mimicking Portfolio, Latent Factors, Omitted Factors, Measurement Error, Fama-MacBeth Regression, Principal Component Regression

Inference on Risk Premia in the Presence of Omitted Factors

NBER Working Paper No. w23527
Number of pages: 76 Posted: 19 Jun 2017 Last Revised: 15 Apr 2023
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 159 (388,643)
Citation 3

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Downloads 1,615 (23,871)

Can Machines Learn Weak Signals?

Chicago Booth Research Paper No. 24-03
Number of pages: 86 Posted: 20 Feb 2024 Last Revised: 22 Jan 2025
Zhouyu Shen and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,204 (36,385)

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Weak Signals, Precise Error, Machine Learning, Bayes Risk

Can Machines Learn Weak Signals?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2024-29
Number of pages: 97 Posted: 06 Mar 2024 Last Revised: 11 Dec 2024
Zhouyu Shen and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 411 (148,895)

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Weak Signals, Precise Error, Machine Learning, Bayes Risk

14.

Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods

Number of pages: 36 Posted: 24 Jan 2010 Last Revised: 06 Aug 2012
Jianqing Fan, Lei Qi and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 1,582 (24,730)
Citation 10

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quasi-likelihood, two-step estimator, heavy-tailed error

15.
Downloads 1,383 (30,246)
Citation 21

Principal Component Analysis of High Frequency Data

Chicago Booth Research Paper No. 15-39
Number of pages: 64 Posted: 19 Aug 2015 Last Revised: 22 Aug 2017
Yacine Ait-Sahalia and Dacheng Xiu
National Bureau of Economic Research (NBER) and University of Chicago - Booth School of Business
Downloads 1,267 (33,768)

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Ito Semimartingale, High Frequency, Spectral Function, Eigenvalue, Eigenvector, Principal Components, Three Factor Model

Principal Component Analysis of High Frequency Data

NBER Working Paper No. w21584
Number of pages: 53 Posted: 28 Sep 2015 Last Revised: 24 Jun 2023
Yacine Ait-Sahalia and Dacheng Xiu
National Bureau of Economic Research (NBER) and University of Chicago - Booth School of Business
Downloads 116 (502,537)
Citation 21

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16.

Thousands of Alpha Tests

Chicago Booth Research Paper No. 18-09, Yale ICF Working Paper No. 2018-16
Number of pages: 91 Posted: 17 Oct 2018 Last Revised: 26 Mar 2020
Stefano Giglio, Yuan Liao and Dacheng Xiu
Yale School of Management, Rutgers, The State University of New Jersey - Department of Economics and University of Chicago - Booth School of Business
Downloads 1,336 (31,827)
Citation 56

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Data Snooping, Multiple Testing, Alpha Testing, Factor Models, Hedge Fund Performance, False Discovery Rate, Machine Learning, Missing Data, Wild-Bootstrap, Matrix Completion

17.
Downloads 1,283 (33,779)

Prediction When Factors are Weak

Chicago Booth Research Paper No. 23-04
Number of pages: 66 Posted: 30 Mar 2023 Last Revised: 07 Apr 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 959 (50,469)

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Supervised PCA, PCA, PLS, weak factors, marginal screening

Prediction When Factors are Weak

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-47
Number of pages: 77 Posted: 03 Apr 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 324 (193,895)

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Supervised PCA, PCA, PLS, weak factors, marginal screening

18.

Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data

Number of pages: 44 Posted: 18 Sep 2008 Last Revised: 28 Jun 2010
Dacheng Xiu
University of Chicago - Booth School of Business
Downloads 1,059 (44,599)
Citation 30

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Integrated volatility, Market microstructure noise, Quasi-Maximum Likelihood Estimator, Realized Kernels, Stochastic volatility

19.

Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data

Chicago Booth Research Paper No. 15-43
Number of pages: 43 Posted: 07 Oct 2015 Last Revised: 11 Oct 2016
Yacine Ait-Sahalia and Dacheng Xiu
National Bureau of Economic Research (NBER) and University of Chicago - Booth School of Business
Downloads 978 (49,892)
Citation 46

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High-dimensional data, high-frequency, latent factor model, principal components, portfolio optimization

20.

High-Frequency Factor Models and Regressions

Chicago Booth Research Paper No. 19-04
Number of pages: 50 Posted: 23 Jan 2019
Yacine Ait-Sahalia, Ilze Kalnina and Dacheng Xiu
National Bureau of Economic Research (NBER), North Carolina State University - Department of Economics and University of Chicago - Booth School of Business
Downloads 929 (53,520)
Citation 1

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Factor Model, Time-Varying Betas, Fama-French Factors, Idiosyncratic Risk, Big Data

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

Fama-Miller Working Paper, Forthcoming, Chicago Booth Research Paper No. 12-10
Number of pages: 48 Posted: 01 Mar 2012 Last Revised: 02 Oct 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 667 (81,879)
Citation 21

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Multi-Factor Volatility Model, Pricing Kernel, Variance Swaps, VIX Options

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

FEDS Working Paper No. 2014-58
Number of pages: 44 Posted: 31 May 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 131 (456,229)
Citation 8

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Pricing kernel, volatility risk, VIX option, state-price density

22.

Hermite Polynomial Based Expansion of European Option Prices

Chicago Booth Research Paper No. 11-40
Number of pages: 49 Posted: 08 Nov 2010 Last Revised: 20 Dec 2013
Dacheng Xiu
University of Chicago - Booth School of Business
Downloads 707 (77,139)
Citation 13

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Option Valuation, Closed-Form Expansion, Mean-Reversion, Self-Exciting Jumps, Double Exponential Jumps

23.

Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data

Chicago Booth Research Paper No. 15-01
Number of pages: 34 Posted: 13 Jan 2015 Last Revised: 22 Apr 2015
Jianqing Fan, Alex Furger and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University and University of Chicago - Booth School of Business
Downloads 641 (87,383)
Citation 41

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big data, high-frequency factor model, GICS, location-based thresholding, low rank plus sparse, precision matrix, positive-definite, concentration inequality, SDPR sector ETF’s

24.

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Chicago Booth Research Paper No. 16-06
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 21 Feb 2017
Yacine Ait-Sahalia and Dacheng Xiu
National Bureau of Economic Research (NBER) and University of Chicago - Booth School of Business
Downloads 627 (89,924)
Citation 8

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Hausman test, market microstructure noise, realized volatility, QMLE, TSRV, preaveraging, super-efficiency, local power

25.

High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data

Number of pages: 37 Posted: 28 Jun 2010
Yacine Ait-Sahalia, Jianqing Fan and Dacheng Xiu
National Bureau of Economic Research (NBER), Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 624 (90,436)
Citation 36

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Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization

Continuous-Time Fama-MacBeth Regressions

Chicago Booth Research Paper No. 20-30
Number of pages: 77 Posted: 17 Sep 2020 Last Revised: 14 Oct 2024
Yacine Ait-Sahalia, Jean Jacod and Dacheng Xiu
National Bureau of Economic Research (NBER), Université Paris VI Pierre et Marie Curie and University of Chicago - Booth School of Business
Downloads 478 (124,357)

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Fama-MacBeth, two-pass regression, cross-section of expected returns, arbitrage pricing theory, high frequency data, semimartingales

Inference on Risk Premia in Continuous-Time Asset Pricing Models

NBER Working Paper No. w28140
Number of pages: 46 Posted: 01 Dec 2020 Last Revised: 22 May 2023
Yacine Ait-Sahalia, Dacheng Xiu and Jean Jacod
National Bureau of Economic Research (NBER), University of Chicago - Booth School of Business and Université Paris VI Pierre et Marie Curie
Downloads 65 (726,491)

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27.

Disentangling Autocorrelated Intraday Returns

Chicago Booth Research Paper No. 21-15
Number of pages: 66 Posted: 03 Jun 2021 Last Revised: 21 Jun 2024
Rui Da and Dacheng Xiu
Indiana University - Kelley School of Business - Department of Finance and University of Chicago - Booth School of Business
Downloads 438 (139,790)
Citation 3

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QMLE, Noise Autocorrelations, Small Noise, Moving-Average Models

28.

Resolution of Policy Uncertainty and Sudden Declines in Volatility

Chicago Booth Research Paper No. 13-78, Fama-Miller Working Paper
Number of pages: 56 Posted: 02 Nov 2013 Last Revised: 22 Aug 2017
Dante Amengual and Dacheng Xiu
Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business
Downloads 418 (147,586)
Citation 41

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Non-Affine Derivative Pricing Models, Log Volatility Models, Quadratic Volatility Models, Downward Volatility Jumps, Variance Swaps

29.

Generalized Method of Integrated Moments for High-Frequency Data

Chicago Booth Research Paper No. 15-05
Number of pages: 61 Posted: 06 Feb 2015
Jia Li and Dacheng Xiu
Duke University and University of Chicago - Booth School of Business
Downloads 417 (148,030)
Citation 26

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high frequency data, semimartingale, spot volatility, nonlinearity bias, GMM

30.

Deep Autoencoders for Nonlinear Factor Models: Theory and Applications

Number of pages: 55 Posted: 11 Feb 2025
Dacheng Xiu and Zhouyu Shen
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 416 (148,831)

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Latent Factors, PCA, Neural Networks, Nonparametrics, Supervised Autoencoders, Factor-Augmented Prediction, Matrix Completion

31.

Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading

Chicago Booth Research Paper No. 12-14
Number of pages: 53 Posted: 26 Apr 2012 Last Revised: 05 Dec 2016
Neil Shephard and Dacheng Xiu
Harvard University and University of Chicago - Booth School of Business
Downloads 407 (152,158)
Citation 12

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EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, quasi-likelihood, semimartingale

32.

When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility

Chicago Booth Research Paper No. 17-27, Fama-Miller Working Paper
Number of pages: 40 Posted: 29 Sep 2017 Last Revised: 24 Aug 2022
Rui Da and Dacheng Xiu
Indiana University - Kelley School of Business - Department of Finance and University of Chicago - Booth School of Business
Downloads 406 (152,601)
Citation 17

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QMLE, Dependent Noise, Small Noise, Model Selection, Uniformity

33.

Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?

Chicago Booth Research Paper No. 14-11, Fama-Miller Working Paper
Number of pages: 39 Posted: 16 Apr 2014
Yacine Ait-Sahalia and Dacheng Xiu
National Bureau of Economic Research (NBER) and University of Chicago - Booth School of Business
Downloads 400 (155,198)
Citation 5

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Quadratic covariation, continuous and jump components, overnight jumps, news surprises, financial crisis

34.

Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data

Chicago Booth Research Paper No. 17-02
Number of pages: 61 Posted: 23 Feb 2017 Last Revised: 01 Nov 2017
Chaoxing Dai, Kun Lu and Dacheng Xiu
University of Chicago - Booth School of Business, Princeton University and University of Chicago - Booth School of Business
Downloads 307 (207,247)
Citation 6

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high-dimensional data, high-frequency data, factor model, pre-averaging estimator, portfolio allocation, low-rank plus sparse covariance matrix, Barra covariance matrix estimator

35.

Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency

Chicago Booth Research Paper No. 13-83
Number of pages: 62 Posted: 26 Nov 2013 Last Revised: 24 Nov 2015
Ilze Kalnina and Dacheng Xiu
North Carolina State University - Department of Economics and University of Chicago - Booth School of Business
Downloads 281 (227,375)
Citation 8

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semimartingale, spot correlation, VIX, implied volatility, high frequency data

36.

Spot Variance Regressions

Chicago Booth Research Paper No. 13-07
Number of pages: 35 Posted: 12 Feb 2013
Jia Li and Dacheng Xiu
Duke University and University of Chicago - Booth School of Business
Downloads 221 (288,493)
Citation 3

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high frequency data, semimartingale, VIX, spot volatility, bias correction, GMM

37.

The Statistical Limit of Arbitrage 

Chicago Booth Research Paper No. 24-26, Fama-Miller Working Paper
Number of pages: 115 Posted: 15 Oct 2024
Rui Da, Stefan Nagel and Dacheng Xiu
Indiana University - Kelley School of Business - Department of Finance, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 204 (312,597)

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Learning about Alphas, Rational Expectation, Portfolio Choice, Rare and Weak Signal, False Negatives, Empirical Bayes, Testing APT, Machine Learning

38.
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Citation 212

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019 Last Revised: 15 Feb 2023
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 201 (314,285)
Citation 6

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Taming the Factor Zoo: A Test of New Factors

CEPR Discussion Paper No. DP14266
Number of pages: 49 Posted: 14 Jan 2020
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 2 (1,348,394)
Citation 206
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

39.

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife

Chicago Booth Research Paper No. 17-05
Number of pages: 31 Posted: 28 Mar 2017 Last Revised: 18 Apr 2018
Jia Li, Yunxiao Liu and Dacheng Xiu
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Downloads 114 (506,103)
Citation 12

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