Dacheng Xiu

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 934

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Top 934

in Total Papers Downloads

26,962

SSRN CITATIONS
Rank 4,770

SSRN RANKINGS

Top 4,770

in Total Papers Citations

137

CROSSREF CITATIONS

89

Scholarly Papers (27)

1.
Downloads 10,420 ( 423)
Citation 9

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 10,389 (417)
Citation 7

Abstract:

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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
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 31 (489,095)
Citation 1
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2.

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
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 2,955 (3,896)
Citation 16

Abstract:

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

3.

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 2,265 (6,119)
Citation 3

Abstract:

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

4.

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 1,429 (13,018)
Citation 6

Abstract:

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

5.
Downloads 1,110 ( 19,168)
Citation 5

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 1,093 (19,268)

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
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 17 (576,482)
Citation 2

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6.

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 916 (25,426)
Citation 21

Abstract:

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

7.

The Structure of Economic News

Number of pages: 53 Posted: 07 Sep 2019 Last Revised: 24 Sep 2019
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 852 (28,460)

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

8.
Downloads 662 ( 40,373)

Predicting Returns with Text Data

Number of pages: 54 Posted: 04 Dec 2019
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 632 (42,426)

Abstract:

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Predicting Returns with Text Data

NBER Working Paper No. w26186
Number of pages: 55 Posted: 03 Sep 2019
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 30 (494,490)
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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 558 (49,228)
Citation 14

Abstract:

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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 76 (327,284)
Citation 3

Abstract:

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

10.

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 608 (44,608)
Citation 3

Abstract:

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

11.
Downloads 607 ( 44,706)
Citation 3

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 593 (45,512)

Abstract:

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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
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 14 (596,944)
Citation 3

Abstract:

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12.

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 605 (44,930)
Citation 7

Abstract:

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

13.

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 518 (54,787)
Citation 2

Abstract:

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

14.

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 467 (62,357)
Citation 6

Abstract:

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

15.

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 405 (74,158)
Citation 10

Abstract:

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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

16.

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 354 (86,592)
Citation 6

Abstract:

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

17.

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 309 (100,753)
Citation 9

Abstract:

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

18.

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 305 (102,177)
Citation 30

Abstract:

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

19.

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 289 (108,372)
Citation 4

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

20.

Thousands of Alpha Tests

Chicago Booth Research Paper No. 18-09, Yale ICF Working Paper No. 2018-16
Number of pages: 61 Posted: 17 Oct 2018 Last Revised: 02 Aug 2019
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 283 (110,769)
Citation 6

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Data Snooping, Multiple Testing, Alpha Testing, Factor Models, Hedge Fund Performance, False Discovery Rate, Machine Learning

21.

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 247 (127,712)

Abstract:

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

22.

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 169 (182,180)
Citation 2

Abstract:

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

23.

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 168 (183,094)
Citation 9

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

24.

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 166 (185,002)
Citation 2

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

25.

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 159 (191,908)
Citation 2

Abstract:

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

26.

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 51 (396,531)
Citation 3

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27.
Downloads 9 (606,900)
Citation 4

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 9 (632,760)
Citation 3
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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
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 0
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

Other Papers (1)

Total Downloads: 1,514
1.

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
Number of pages: 54 Posted: 20 May 2019 Last Revised: 07 Aug 2019
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 1,514

Abstract:

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