Dacheng Xiu

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 580

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Top 580

in Total Papers Downloads

45,669

SSRN CITATIONS
Rank 1,656

SSRN RANKINGS

Top 1,656

in Total Papers Citations

653

CROSSREF CITATIONS

115

Scholarly Papers (31)

1.
Downloads 13,864 ( 320)
Citation 109

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 13,784 (319)
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 2021
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 80 (376,501)
Citation 64

Abstract:

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2.

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 5,889 (1,533)
Citation 30

Abstract:

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

3.
Downloads 5,564 ( 1,674)
Citation 5

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: 61 Posted: 20 May 2019 Last Revised: 12 Oct 2020
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 5,533 (1,672)

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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 2021
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 31 (572,548)
Citation 1

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4.

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 (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 3,540 (3,658)
Citation 18

Abstract:

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

5.
Downloads 2,376 ( 7,189)
Citation 9

The Structure of Economic News

Number of pages: 54 Posted: 07 Sep 2019 Last Revised: 10 Jun 2020
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 2,362 (7,137)
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: 25 Apr 2021
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 14 (696,448)
Citation 5
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6.

(Re-)Imag(in)ing Price Trends

Chicago Booth Research Paper No. 21-01
Number of pages: 66 Posted: 04 Jan 2021 Last Revised: 06 Feb 2021
Jingwen Jiang, Bryan T. Kelly and Dacheng Xiu
University of Chicago, Yale SOM and University of Chicago - Booth School of Business
Downloads 2,215 (8,081)
Citation 2

Abstract:

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

7.

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 1,454 (15,864)
Citation 10

Abstract:

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

8.
Downloads 1,182 ( 21,732)
Citation 22

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 1,132 (22,746)
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 2021
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 50 (477,181)
Citation 3

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9.
Downloads 1,149 ( 22,632)
Citation 7

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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 1,123 (23,018)

Abstract:

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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 2021
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 26 (605,275)
Citation 4

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10.

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 948 (29,883)
Citation 30

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

11.

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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 690 (46,325)
Citation 16

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

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 581 (57,122)
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 88 (352,442)
Citation 8

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

13.

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 - New Brunswick/Piscataway and University of Chicago - Booth School of Business
Downloads 646 (50,433)
Citation 20

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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

14.
Downloads 644 ( 50,728)
Citation 1

Test Assets and Weak Factors

Chicago Booth Research Paper 21-04
Number of pages: 100 Posted: 20 Jan 2021 Last Revised: 28 Jun 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 620 (52,581)

Abstract:

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

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 17 (680,323)

Abstract:

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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: 20 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 7 (755,268)
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15.

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 620 (53,251)
Citation 9

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

16.

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
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 535 (64,004)
Citation 7

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

17.

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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 493 (70,914)
Citation 8

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

18.

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 450 (79,209)
Citation 20

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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

19.

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
Princeton University - Department of Economics, North Carolina State University - Department of Economics and University of Chicago - Booth School of Business
Downloads 375 (97,912)
Citation 1

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

20.

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 363 (101,633)
Citation 13

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

21.

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 332 (112,268)
Citation 12

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

22.

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 325 (115,327)
Citation 41

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

23.

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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 310 (120,834)
Citation 5

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

24.

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: 107 Posted: 29 Sep 2017 Last Revised: 02 Jun 2019
Rui Da and Dacheng Xiu
Univeristy of Chicago Booth School of Business and University of Chicago - Booth School of Business
Downloads 238 (158,299)
Citation 17

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

25.

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 200 (186,643)
Citation 8

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

26.

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 195 (190,937)
Citation 6

Abstract:

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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

27.

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 165 (220,855)
Citation 2

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

Inference on Risk Premia in Continuous-Time Asset Pricing Models

Chicago Booth Research Paper No. 20-30
Number of pages: 46 Posted: 17 Sep 2020
Yacine Ait-Sahalia, Jean Jacod and Dacheng Xiu
Princeton University - Department of Economics, Université Paris VI Pierre et Marie Curie and University of Chicago - Booth School of Business
Downloads 111 (301,729)

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Two-pass regression, cross-section of expected returns, arbitrage pricing theory, high frequency data, long horizon, 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: 23 May 2021
Yacine Ait-Sahalia, Dacheng Xiu and Jean Jacod
Princeton University - Department of Economics, University of Chicago - Booth School of Business and Université Paris VI Pierre et Marie Curie
Downloads 1 (813,745)
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29.

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 58 (438,810)
Citation 4

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30.

Disentangling Autocorrelated Intraday Returns

Chicago Booth Research Paper No. 21-05
Number of pages: 66 Posted: 03 Jun 2021 Last Revised: 23 Jun 2021
Rui Da and Dacheng Xiu
Univeristy of Chicago Booth School of Business and University of Chicago - Booth School of Business
Downloads 37 (526,730)

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

31.
Downloads 31 (558,188)
Citation 65

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 30 (578,697)
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 (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 1 (813,745)
Citation 54
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection