修大成教授现任上海交通大学上海高级金融学院计量经济学和统计学访问研究教授，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, the Review of Financial Studies, Journal of the American Statistical Association, Management Science, Journal of Econometrics, the Econometrics Journal, 以及 the Review of Asset Pricing Studies的副主编。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、瑞士金融学院杰出论文奖、AQR Insight Award和欧洲金融协会年会最佳会议论文等。他还入选了Poets & Quants发布的2023年全球40位40岁以下最佳MBA教授名单。
1. Xiu, Dacheng. 2010. Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data, Journal of Econometrics.
2. Yacine, Aït-Sahalia, Jianqing Fan, and Dacheng Xiu. 2010. High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data, Journal of the American Statistical Association.
3. Fan, Jianqing, Lei Qi, and Dacheng Xiu. 2014. Quasi-Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods, Journal of Business and Economic Statistics.
4. Xiu, Dacheng. 2014. Hermite Polynomial based Expansion of European Option Prices, Journal of Econometrics.
5. Song, Zhaogang, and Dacheng Xiu. 2016. A Tale of Two Option Markets: Pricing Kernels and Volatility Risk, Journal of Econometrics.
6. 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 and Economic Statistics.
7. Yacine, Aït-Sahalia, and Dacheng Xiu. 2016. Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? , Journal of Econometrics.
8. Li, Jia, and Dacheng Xiu. 2016. Generalized Method of Integrated Moments with High Frequency Data, Econometrica.
9. 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.
10. Aït-Sahalia, Yacine; Xiu, Dacheng. 2017. Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High Frequency Data, Journal of Econometrics.
11. 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.
12. Amengual, Dante, and Dacheng Xiu. 2018. Resolution of Policy Uncertainty and Sudden Declines in Volatility, Journal of Econometrics.
13. Yacine, Aït-Sahalia, and Dacheng Xiu. 2019. Principal Component Analysis of High Frequency Data, Journal of the American Statistical Association.
14. 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.
15. Li, Jia, Yunxiao Liu, and Dacheng Xiu. 2019. Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife, Annals of Statistics.
16. Yacine, Aït-Sahalia, and Dacheng Xiu. 2019. A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data, Journal of Econometrics.
17. Gu, Shihao, Bryan Kelly, and Dacheng Xiu. 2020. Empirical Asset Pricing via Machine Learning, Review of Financial Studies.
18. Feng, Gavin, Stefano Giglio, and Dacheng Xiu. 2020. Taming the Factor Zoo: A Test of New Factors, Journal of Finance.
19. Yacine, Aït-Sahalia, Ilze Kalnina, and Dacheng Xiu. 2020. High-Frequency Factor Models and Regressions, Journal of Econometrics.
20. Gu, Shihao, Bryan Kelly, and Dacheng Xiu. 2021. Autoencoder Asset Pricing Models, Journal of Econometrics.
21. Da, Rui, and Dacheng Xiu. 2021. When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility, Econometrica.
22. Giglio, Stefano, and Dacheng Xiu. 2021. Asset Pricing with Omitted Factors, Journal of Political Economy.
23. Giglio, Stefano; Liao, Yuan, and Dacheng Xiu. 2021. Thousands of Alpha Tests, Review of Financial Studies.
24. Stefano Giglio, Bryan T. Kelly, and Dacheng Xiu. 2022. Factor Models, Machine Learning, and Asset Pricing, Annual Review of Financial Economics.
25. Jingwen Jiang, Bryan Kelly, and Dacheng Xiu. (Re-)Imag(in)ing Price Trends, Journal of Finance.
26. Dacheng Xiu and 342 coauthors. Non-Standard Errors, Journal of Finance.
27. Leland Bybee, Bryan Kelly, Asaf Manela, and Dacheng Xiu. Business News and Business Cycles, Journal of Finance.
Yacine Aït-Sahalia, Jean Jacod, and Dacheng Xiu, 2023, Continuous-Time Fama-MacBeth Regressions.
Jingwen Jiang, Bryan T. Kelly, and Dacheng Xiu, 2023, Expected Returns and Large Language Models.
Stefano Giglio, Dacheng Xiu, and Dake Zhang, 2023, Prediction when Factors are Weak.
Rui Da, Stefan Nagel, and Dacheng Xiu, 2022, The Statistical Limit of Arbitrage.
Da, Rui and Dacheng Xiu, 2021, Disentangling Autocorrelated Intraday Returns.
Stefano Giglio, Dacheng Xiu and Dake Zhang, 2021, Test Assets and Weak Factors.
Ke, Tracy, Bryan Kelly and Dacheng Xiu , 2020, Predicting Returns with Text Data.
就业中心 
国际交流 
教务管理 
资料下载 
