Dacheng Xiu

Biography

Dacheng Xiu specializes in developing statistical methodologies and their applications to financial data to investigate economic implications. His earlier research involved risk measurement and portfolio management with high-frequency data and econometric modeling of derivatives. Currently, he focuses on developing machine learning solutions for big-data problems in empirical asset pricing. His research 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. For a more accessible introduction to his work, explore a curated list of articles in the Chicago Booth Review.

Xiu serves as a Research Associate at the National Bureau of Economic Research. He currently holds and has previously held several editorial positions, including Co-Editor of Journal of Business & Economic Statistics and Journal of Financial Econometrics, as well as Associate Editor for journals such as Journal of Finance, Review of Financial Studies, Journal of the American Statistical Association, Management Science, and Journal of Econometrics. 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, Dimensional Fund Advisors Prize, Bates-White Prize, and best paper prizes at various conferences. He has been recognized as one of Poets & Quants’ Best 40-under-40 Business School Professors.

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.

Research Interests

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

Academic Areas

• Econometrics and Statistics