修大成
联系方式：dcxiu@saif.sjtu.edu.cn
秘书：孙思
邮箱：ssun@saif.sjtu.edu.cn


教授简介
研究领域
学术成果
SAIF所授课程



教育背景：博士学位：普林斯顿大学应用数学，2008~2011
硕士学位：普林斯顿大学应用数学，2006~2008
学士学位：中国科学技术大学数学，2002~2006
教授介绍：修大成教授现任上海交通大学上海高级金融学院****，芝加哥大学布斯商学院计量经济学和统计学教授。

修大成教授的研究兴趣包括：设计统计方法并将其应用于金融数据，来研究数据中所反映的经济学涵义。他早期的研究涉及风险测量和投资组合管理，包括高频数据和衍生产品的计量经济学模型。他目前的研究主要集中在设计机器学习方法来解决资产定价领域的大数据问题。

修教授已在Econometrica,Journal of Political Economy, Journal of Finance, Review of Financial Studies, Journal of the American Statistical Association, 以及Annals of Statistics上发表了研究成果。他是Journal of Financial Econometrics的共同主编, Journal of Econometrics, Journal of Business & Economic Statistics, Management Science,Journal of Applied Econometrics， 以及Journal of Empirical Finance的副主编，同时他也是计量经济学、统计学和金融学等领域多个期刊的审稿人。因其研究，他获得了多项荣誉，包括金融计量经济协会会士、Journal of Econometrics会士、2018年瑞士金融学院杰出论文奖、2018年AQR Insight Award和2017年欧洲金融协会年会最佳会议论文等。2017年，修大成教授创设了网站来实时提供个股以及股票、货币和商品期货的日波动率。这些波动率是基于他对高频数据的研究成果，用日内交易数据计算得出。

修大成教授获得普林斯顿大学的应用数学硕士及博士学位，在此期间，他同时也是普林斯顿大学本德海姆金融研究中心的博士学生。在此之前，他获得了中国科学技术大学的数学学士学位。

金融计量学、实证资产定价、金融中的机器学习、高维统计、定量金融。
1. Gu, Shihao, Bryan Kelly, and Dacheng Xiu, Forthcoming, Autoencoder Asset Pricing Models, Journal of Econometrics.
2. Giglio, Stefano, Yuan Liao, and Dacheng Xiu, Forthcoming, Thousands of Alpha Tests, The Review of Financial Studies.
3. Giglio, Stefano, and Dacheng Xiu, Forthcoming, Asset Pricing with Omitted Factors, Journal of Political Economy.
4. A?t-Sahalia, Yacine, Ilze Kalnina, and Dacheng Xiu, 2020, High-Frequency Factor Models and Regressions, Journal of Econometrics.
5. Feng, Gavin, Stefano Giglio, and Dacheng Xiu, 2020, Taming the Factor Zoo: A Test of New Factors, The Journal of Finance.
6. Gu, Shihao, Bryan Kelly, and Dacheng Xiu, 2020, Empirical Asset Pricing via Machine Learning, The Review of Financial Studies.
7. A?t-Sahalia, Yacine, and Dacheng Xiu, 2019, A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data, Journal of Econometrics.
8. Li, Jia, Yunxiao Liu, and Dacheng Xiu, 2019, Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife, Annals of Statistics.
9. Dai, Chaoxing, Kun Lu, and Dacheng Xiu, 2019, Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data, Journal of Econometrics.
10. A?t-Sahalia, Yacine, and Dacheng Xiu, 2019, Principal Component Analysis of High Frequency Data, Journal of the American Statistical Association.
11. Amengual, Dante, and Dacheng Xiu , 2018, Resolution of Policy Uncertainty and Sudden Declines in Volatility, Journal of Econometrics.
12. Shephard, Neil, and Dacheng Xiu, 2017, Econometric Analysis of Multivariate Realized QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading, Journal of Econometrics.
13. A?t-Sahalia, Yacine, and Dancheng Xiu, 2017, Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High Frequency Data, Journal of Econometrics.
14. Kalnina, Ilze, and Dacheng Xiu, 2017, Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency, Journal of the American Statistical Association.
15. Li, Jia, and Dacheng Xiu, 2016, Generalized Method of Integrated Moments with High Frequency Data, Econometrica.
16. A?t-Sahalia, Yacine, and Dacheng Xiu, 2016, Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? , Journal of Econometrics.
17. Fan, Jianqing, Alex Furger, and Dacheng Xiu, 2016, Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor- Based Large Covariance Matrix Estimator with High Frequency Data, Journal of Business & Economic Statistics.
18. Song, Zhaogang, and Dacheng Xiu, 2016, A Tale of Two Option Markets: Pricing Kernels and Volatility Risk, Journal of Econometrics.
19. Xiu, Dacheng, 2014, Hermite Polynomial based Expansion of European Option Prices, Journal of Econometrics.
20. Fan, Jianqing, Lei Qi, and Dancheng Xiu, 2014, Quasi-Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods, Journal of Business & Economic Statistics.
21. A?t-Sahalia, Yacine, Jianqing Fan, and Dacheng Xiu, 2010, High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data, Journal of the American Statistical Association.
22. Xiu, Dacheng, 2010, Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data, Journal of Econometrics.
23. Ke, Tracy, Bryan Kelly and Dacheng Xiu , 2020, Predicting Returns with Text Data.
24. Bybee, Leland, Bryan Kelly, Asaf Manela, and Dacheng Xiu, 2020, The Structure of Economic News.
25. Da, Rui and Dacheng Xiu, 2019, When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility.

应用回归分析、统计推断、机器学习与金融。

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