Research

Job Market Paper

Publications

When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility R Da, D Xiu, Econometrica 89 (6), 2787-2825

Working Papers

The Statistical Limit of Arbitrage R Da, S Nagel, D Xiu Technical Report, Chicago Booth

Disentangling Autocorrelated Intraday Returns R Da, D Xiu, Chicago Booth Research Paper

Robust security volatility estimation using intraday transaction data XIU Dacheng, DA Rui, US Patent App. 16/650,730

Hobbies