Faculty & Research

Dacheng Xiu

Dacheng Xiu

Professor of Econometrics and Statistics

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, the Annals of Statistics, and the Journal of Finance. He is a Co-Editor for the Journal of Financial Econometrics, an Associate Editor for the Journal of Econometrics, the Journal of Business & Economic Statistics, the Journal of Empirical Finance, 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 Fellow of the Society for Financial Econometrics, the Fellow of the Journal of Econometrics, the 2018 Swiss Finance Institute Outstanding Paper Award, the 2018 AQR Insight Award, 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, as well as equity, currency, and commodity futures. These daily volatilities are calculated from the 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 student 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.

 

2019 - 2020 Course Schedule

Number Title Quarter
41100 Applied Regression Analysis 2020 (Winter)
41902 Statistical Inference 2020 (Winter)

Other Interests

Skiing, swimming, diving, basketball, and photography

 

Research Activities

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