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/

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 1,759

SSRN RANKINGS

Top 1,759

in Total Papers Downloads

24,321

SSRN CITATIONS

5

CROSSREF CITATIONS

7

Scholarly Papers (16)

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 14,389 (361)
Citation 5

Abstract:

Loading...

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 5,530 (1,968)
Citation 3

Abstract:

Loading...

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

3.
Downloads 1,668 ( 14,635)
Citation 2

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 (35,887)
Citation 1

Abstract:

Loading...

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 772 (44,009)
Citation 2

Abstract:

Loading...

4.

Industry Style Premiums

Number of pages: 43 Posted: 03 Dec 2012
Xiao Qiao
School of Data Science, City University of Hong Kong
Downloads 544 (70,244)

Abstract:

Loading...

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

5.

Option Pricing Via Breakeven Volatility

Number of pages: 55 Posted: 11 Oct 2021
Blair Hull, Anlong Li and Xiao Qiao
HTAA, LLC, Hull Tactical Funds and School of Data Science, City University of Hong Kong
Downloads 536 (71,570)

Abstract:

Loading...

options, volatility, prediction, trading strategy

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
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 - Department of Information Systems and Management Engineering
Downloads 396 (102,513)

Abstract:

Loading...

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
SummerHaven Investment Management, School of Data Science, City University of Hong Kong and Yale School of Management - International Center for Finance
Downloads 355 (115,990)

Abstract:

Loading...

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

8.

The New Macroeconomics of Consumer Surplus

Number of pages: 13 Posted: 27 Sep 2017
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 257 (162,587)
Citation 1

Abstract:

Loading...

GDP, Digitalization, Consumer Surplus

9.

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 249 (167,706)

Abstract:

Loading...

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

10.

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 229 (181,765)

Abstract:

Loading...

volatility, returns, portfolio management, forecasting

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 168 (239,897)

Abstract:

Loading...

factor timing, return forecasting, mutual funds, emerging markets

12.

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 0 (873,473)
  • Add to Cart

Abstract:

Loading...

volatility; generalized autoregressive conditional heteroscedasticity (GARCH); stock returns; idiosyncratic risk; portfolio optimization.

13.

Deep Learning Credit Risk Modeling

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

Abstract:

Loading...

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

14.

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

Abstract:

Loading...

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

15.

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:

Loading...

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

16.

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:

Loading...

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