Faculty & Research

Dacheng Xiu

Associate Professor of Econometrics and Statistics and Charles E. Merrill Faculty Scholar

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5807 South Woodlawn Avenue
Chicago, IL 60637

Dacheng Xiu’s research interests include developing statistical methodologies and applying them to financial data, while exploring their economic implications. His earlier research involved risk measurement and portfolio management with high-frequency data and econometric modeling of derivatives. His current work focuses on developing machine learning solutions to big-data problems in empirical asset pricing.

Xiu’s work has appeared in Econometrica, the Journal of Econometrics, the Journal of the American Statistical Association, and the Annals of Statistics. Additionally, he was invited to publish in the Journal of Business and Economic Statistics. He is an Associate Editor for the Journal of Econometrics and Statistica Sinica, and also referees for several journals in the fields of econometrics, statistics, and finance. He has received several recognitions for his research, including the Dennis J. Aigner 2017 Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics in 2015 or 2016, and the Best Conference Paper Prize at the 2017 Annual Meeting of the European Finance Association.

In 2017, Xiu launched a website that provides up-to-date realized volatilities of individual stocks. These daily volatilities are calculated from the stocks’ intraday transactions and the methodologies are based on his research of high-frequency data.

Xiu earned his PhD and MA in applied mathematics from Princeton University, where he was also a researcher at the Bendheim Center for Finance. Prior to his graduate studies, he obtained a BS in mathematics from the University of Science and Technology of China.


2017 - 2018 Course Schedule

Number Name Quarter
41100 Applied Regression Analysis 2018 (Winter)
41600 Econometrics and Statistics Colloquium 2018 (Spring)
41902 Statistical Inference 2018 (Winter)

Other Interests

Skiing, swimming, diving, basketball, and photography


Research Activities

Financial Econometrics, Statistics, Empirical Asset Pricing, and Quantitative Finance