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Dacheng Xiu Professor of Econometrics and Statistics : U Chicago Booth

Dacheng Xiu Professor of Econometrics and Statistics : U Chicago Booth

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, Journal of Political Economy, Journal of Finance, Review of Financial Studies, Journal of the American Statistical Association, and Annals of Statistics.

He is a Co-Editor for the Journal of Financial Econometrics, an Associate Editor for the Review of Financial Studies, Management Science, Journal of Econometrics, Journal of Business & Economic Statistics, Journal of Applied Econometrics, the Econometrics Journal, and Journal of Empirical Finance.

He has received several recognitions for his research. Including Fellow of the Society for Financial Econometrics. Fellow of the Journal of Econometrics. Swiss Finance Institute Outstanding Paper Award, AQR Insight Award, and Best Conference Paper Prize from the European Finance Association. Furthermore, 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 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. Lastly, prior to his graduate studies, he obtained a BS in mathematics from the University of Science and Technology of China.

MIT Ai & Quant Conference 2022 : December 15th
Dacheng Xiu Professor of Econometrics and Statistics : U Chicago Booth