Overview
Dacheng Xiu is a financial econometrician (University of Chicago, Booth School of Business), known for high-frequency financial econometrics and machine-learning methods in asset pricing.
Key Contributions / Features
- Taming the factor zoo (Feng-Giglio-Xiu 2020): double-selection LASSO test for new factors.
- Empirical asset pricing via machine learning (Gu-Kelly-Xiu 2020): comparative ML study of the cross-section of returns.
- Work on volatility estimation from high-frequency data, and machine-learning approaches to the cross-section of expected returns (e.g. autoencoder/IPCA-style latent-factor models).
Related