Dacheng Xiu

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

27

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CITATIONS
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Top 18,576

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17

Scholarly Papers (27)

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018
Number of pages: 67 Posted: 09 Apr 2018 Last Revised: 29 Jul 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 7,699 (670)

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Machine Learning, 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

Swiss Finance Institute Research Paper No. 18-71
Number of pages: 69 Posted: 09 Nov 2018 Last Revised: 12 Nov 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 445 (62,153)

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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: 69 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 28 (479,004)
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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: 74 Posted: 20 Mar 2017 Last Revised: 10 Feb 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 2,625 (4,407)

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

3.

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 1,419 (12,269)
Citation 1

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

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 1,058 (18,953)

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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 10 (591,291)

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5.

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 913 (24,019)
Citation 8

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

6.

Autoencoder Asset Pricing Models

Number of pages: 32 Posted: 07 Mar 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 634 (41,430)

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stock returns, conditional asset pricing model, nonlinear factor model, machine learning, autoencoder, neural networks, 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 554 (46,820)
Citation 1

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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 73 (318,084)
Citation 1

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

8.

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 600 (42,760)

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

9.

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 588 (44,049)

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

10.

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 513 (52,281)
Citation 4

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

11.
Downloads 502 ( 53,701)

Asset Pricing with Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 94 Posted: 08 Nov 2016 Last Revised: 31 May 2018
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 489 (54,930)

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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 13 (571,687)
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12.

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 442 (62,943)

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

13.

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 396 (71,835)

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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

14.

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 353 (82,129)

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

15.

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 303 (97,401)

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

16.

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 299 (98,749)
Citation 2

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

17.

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 285 (103,984)

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

18.

Thousands of Alpha Tests

Chicago Booth Research Paper No. 18-09
Number of pages: 61 Posted: 17 Oct 2018 Last Revised: 03 Mar 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 176 (168,308)

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

19.

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 164 (177,236)

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

20.

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 161 (180,024)

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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

21.

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 158 (182,988)

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

22.

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 147 (195,327)

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Factor Model, Time-Varying Betas, Fama-French Factors, Idiosyncratic Risk, Big 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: 115 Posted: 29 Sep 2017
Rui Da and Dacheng Xiu
Univeristy of Chicago Booth School of Business and University of Chicago - Booth School of Business
Downloads 127 (218,318)

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

24.

Predicting Returns With Text Data

Number of pages: 54
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 69

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

25.

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 47 (389,690)

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26.

Predicting Returns with Text Data

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-69
Number of pages: 55 Posted: 20 May 2019
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 11 (585,381)

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

27.

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 8 (579,390)
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