Xiao Qiao

School of Data Science, City University of Hong Kong

Hong Kong

Paraconic Technologies US Inc.

New York, NY

United States

http://sites.google.com/site/xiaoqiao10/

  • School of Data Science, City University of Hong Kong

  • Paraconic Technologies US Inc.

SCHOLARLY PAPERS

17

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26,417

SSRN CITATIONS
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SSRN RANKINGS

Top 48,332

in Total Papers Citations

9

CROSSREF CITATIONS

5

Scholarly Papers (17)

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1.

A Practitioner's Defense of Return Predictability

Number of pages: 37 Posted: 22 May 2019
Blair Hull and Xiao Qiao
HTAA, LLC and School of Data Science, City University of Hong Kong
Downloads 14,905 (424)
Citation 5

Abstract:

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equity premium, forecasting, predictability, correlation screening, market timing, asset returns, tactical asset allocation

2.

Return Predictability and Market-Timing: A One-Month Model

Journal Of Investment Management, 17.3 (2019):47-64.
Number of pages: 30 Posted: 10 Oct 2017 Last Revised: 07 Oct 2019
Blair Hull, Xiao Qiao and Petra Bakosova
HTAA, LLC, School of Data Science, City University of Hong Kong and Hull Tactical
Downloads 5,897 (2,148)
Citation 3

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equity premium, forecasting, predictability, market timing, asset returns, tactical asset allocation

3.

Cross-Sectional Evidence in Consumption Mismeasurement

Downloads 1,669 (17,309)
Citation 1

Cross-Sectional Evidence in Consumption Mismeasurement

Number of pages: 34 Posted: 30 Aug 2013
Xiao Qiao
School of Data Science, City University of Hong Kong
Downloads 896 (42,345)
Citation 1

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consumption, asset pricing, dimension reduction, cross section

Cross-Sectional Evidence in Consumption Mismeasurement

Number of pages: 34 Posted: 10 Aug 2014
Xiao Qiao
School of Data Science, City University of Hong Kong
Downloads 773 (51,853)
Citation 1

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4.

Option Pricing Via Breakeven Volatility

Financial Analysts Journal, Forthcoming
Number of pages: 56 Posted: 11 Oct 2021 Last Revised: 10 Jul 2022
Blair Hull, Anlong Li and Xiao Qiao
HTAA, LLC, Hull Tactical Funds and School of Data Science, City University of Hong Kong
Downloads 1,265 (26,304)

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options, volatility, prediction, trading strategy

5.

Industry Style Premiums

Number of pages: 43 Posted: 03 Dec 2012
Xiao Qiao
School of Data Science, City University of Hong Kong
Downloads 551 (81,345)

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Industry, Size, Value, Momentum, Fama-French, Forecasting

6.

Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising

Number of pages: 32 Posted: 06 Nov 2019 Last Revised: 22 Feb 2021
Xiangyu Cui, Duan Li, Duan Li, Xiao Qiao and Moris Simon Strub
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong KongCity University of Hong Kong, School of Data Science, City University of Hong Kong and Southern University of Science and Technology - School of Business
Downloads 492 (93,515)

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mean-risk optimization; mean-variance; expected utility maximization; portfolio choice; risk; potential; asset allocation; robo-advising; FinTech

7.

On Commodity Price Limits

Journal of Futures Markets, Forthcoming
Number of pages: 30 Posted: 27 Nov 2017 Last Revised: 12 Jul 2019
Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst
SummerHaven Investment Management, School of Data Science, City University of Hong Kong and Yale School of Management - International Center for Finance
Downloads 357 (135,624)

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Commodity Futures, Price Limits, Speculation, Commodity Options, Circuit Breakers, Speculative Trading

8.

Volatility and Returns: Evidence from China

Number of pages: 36 Posted: 05 Aug 2019
Yeguang Chi, Xiao Qiao, Sibo Yan and Binbin Deng
Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), School of Data Science, City University of Hong Kong, Independent and Compass Lexecon
Downloads 307 (159,953)

Abstract:

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volatility, returns, portfolio management, forecasting

9.

The New Macroeconomics of Consumer Surplus

Number of pages: 13 Posted: 27 Sep 2017
Ilya Talman, Xiao Qiao, Steve Rubinow, Michael Lippitz and Peter Evangelakis
Roy Talman & Associates, School of Data Science, City University of Hong Kong, DePaul University - College of Computing and Digital Media, Clareo LLC and Regional Economic Models, Inc. (REMI)
Downloads 292 (167,941)
Citation 1

Abstract:

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GDP, Digitalization, Consumer Surplus

10.

Impact of the Sarbanes-Oxley Act on Special Items

Number of pages: 28 Posted: 20 Sep 2016
Glenn Growe, Xiao Qiao and Tom Johansen
Fort Hays State University, School of Data Science, City University of Hong Kong and Oklahoma State University - Stillwater
Downloads 250 (196,587)

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Sarbanes-Oxley, special items, panel regression, difference-in-differences

11.

Follow the Smart Money: Factor Forecasting in China

Number of pages: 43 Posted: 20 Jul 2020
Qinhua Chen, Yeguang Chi and Xiao Qiao
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and School of Data Science, City University of Hong Kong
Downloads 245 (201,258)

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factor timing, return forecasting, mutual funds, emerging markets

12.

Commodity Momentum: A Tale of Countries and Sectors

Journal of Commodity Markets, Forthcoming
Number of pages: 65 Posted: 21 Feb 2023
John Hua Fan and Xiao Qiao
Griffith University - Department of Accounting, Finance and Economics and School of Data Science, City University of Hong Kong
Downloads 186 (259,124)

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Commodity Futures; Momentum; Sectors; Inflation; China

13.

Correlated Idiosyncratic Volatility Shocks

Journal of Risk, Vol. 23, No. 5
Number of pages: 30 Posted: 13 Sep 2021
Xiao Qiao and Yongning Wang
School of Data Science, City University of Hong Kong and University of Chicago - Booth School of Business
Downloads 1 (977,347)
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volatility; generalized autoregressive conditional heteroscedasticity (GARCH); stock returns; idiosyncratic risk; portfolio optimization.

14.

Deep Learning Credit Risk Modeling

Forthcoming Journal of Fixed Income
Posted: 04 Aug 2020 Last Revised: 11 Jun 2021
Gerardo Manzo and Xiao Qiao
Independent and School of Data Science, City University of Hong Kong

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Deep Learning, Machine Learning, Credit Risk Modeling, Default Risk, Sovereign Risk, Neural Networks

15.

Machine Learning for Recession Prediction and Dynamic Asset Allocation

The Journal of Financial Data Science, Forthcoming
Posted: 28 Jan 2019 Last Revised: 26 Jun 2019
Alex James, Yaser Abu-Mostafa and Xiao Qiao
Paraconic Technologies US Inc., California Institute of Technology and School of Data Science, City University of Hong Kong

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Asset Allocation, Forecasting, Macroeconomics, Recessions, Machine Learning, Business Cycle, SVM

16.

Downside Volatility-Managed Portfolios

Journal of Portfolio Management, Forthcoming
Posted: 01 Sep 2018 Last Revised: 18 May 2020
Xiao Qiao, Sibo Yan and Binbin Deng
School of Data Science, City University of Hong Kong, Independent and Compass Lexecon

Abstract:

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volatility, portfolio management, downside volatility, asymmetry, mean variance

17.

Correlated Idiosyncratic Volatility Shocks

29th Australasian Finance and Banking Conference 2016
Posted: 24 Aug 2016 Last Revised: 05 Aug 2021
Xiao Qiao and Yongning Wang
School of Data Science, City University of Hong Kong and University of Chicago - Booth School of Business

Abstract:

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volatility, GARCH, cross section, stock returns, idiosyncratic risk