修大成教授现任上海交通大学上海高级金融学院访问教授，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. Aït-Sahalia, Yacine, 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. Rejoinder, Journal of Business and Economic Statistics.
4. Xiu, Dacheng. 2014. Hermite polynomial based expansion of European option prices, Journal of Econometrics.
5. 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.
6. Song, Zhaogang, and Dacheng Xiu. 2016. A tale of two option markets: Pricing kernels and volatility risk, Journal of Econometrics.
7. Aït-Sahalia, Yacine, 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 for High-Frequency Data, Econometrica.
9. 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.
10. 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.
11. Aït-Sahalia, Yacine, and Dacheng Xiu. 2017. Using principal component analysis to estimate a high dimensional factor model with high-frequency data, Journal of Econometrics.
12. Shephard, Neil, and Dacheng Xiu. 2017. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading, Journal of Econometrics.
13. Amengual, Dante, and Dacheng Xiu. 2018. Resolution of policy uncertainty and sudden declines in volatility, Journal of Econometrics.
14. Li, Jia, and Dacheng Xiu. 2018. Comment on: Limit of Random Measures associated with the increments of a Brownian Semimartingale, Journal of Financial Econometrics.
15. Aït-Sahalia, Yacine, and Dacheng Xiu. 2019. A Hausman test for the presence of market microstructure noise in high frequency data, Journal of Econometrics.
16. Aït-Sahalia, Yacine, and Dacheng Xiu. 2019. Principal Component Analysis of High-Frequency Data, Journal of the American Statistical Association.
17. Li, Jia, Yunxiao Liu, and Dacheng Xiu. 2019. Efficient estimation of integrated volatility functionals via multiscale Jackknife, Annals of Statistics.
18. 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.
19. Aït-Sahalia, Yacine, Ilze Kalnina, and Dacheng Xiu. 2020. High-frequency factor models and regressions, Journal of Econometrics.
20. Feng, Guanhao, Stefano Giglio, and Dacheng Xiu. 2020. Taming the Factor Zoo: A Test of New Factors, Journal of Finance.
21. Gu, Shihao, Bryan Kelly, and Dacheng Xiu. 2020. Empirical Asset Pricing via Machine Learning, Review of Financial Studies.
22. Da, Rui, and Dacheng Xiu. 2021. When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility, Econometrica.
23. Giglio, Stefano, and Dacheng Xiu. 2021. Asset pricing with omitted factors, Journal of Political Economy.
24. Gu, Shihao, Bryan Kelly, and Dacheng Xiu. 2021. Autoencoder asset pricing models, Journal of Econometrics.
25. Bybee, Leland, Bryan T. Kelly, Asaf Manela, and Dacheng Xiu. 2021. Business News and Business Cycles, SSRN Electronic Journal.
26. Giglio, Stefano, Yuan Liao, and Dacheng Xiu. 2021. Thousands of Alpha Tests, Review of Financial Studies.
27. Giglio, Stefano, Bryan Kelly, and Dacheng Xiu. 2022. Factor Models, Machine Learning, and Asset Pricing, Annual Review of Financial Economics.
28. Kelly, Bryan, and Dacheng Xiu. 2023. Financial Machine Learning, Foundations and Trends in Finance.
29. Andersen, Torben G., Robert Taylor, Allan Timmermann, and Dacheng Xiu. 2023. Predictive modeling of financial data, Journal of Econometrics.
30. Jiang, Jingwen, Bryan Kelly, and Dacheng Xiu. 2023. (Re-)Imag(in)ing Price Trends, Journal of Finance.
31. Menkveld, Albert J., Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüß, Michael Razen, Utz Weitzel, David Abad-Díaz, Menachem Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie T. Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James J. Angel, Alejandro T. Avetikian, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Li Bao, Andrea Barbon, Oksana Bashchenko, Parampreet C. Bindra, Geir H. Bjønnes, Jeffrey R. Black, Bernard S. Black, Dimitar Bogoev, Santiago Bohorquez Correa, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura M.Capera Romero, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Jian Chen, Mikhail Chernov, William Cheung, and Dacheng Xiu. 2024. Nonstandard Errors, Journal of Finance.
32. Giglio, Stefano, Dacheng Xiu, and Dake Zhang. 2025. Test Assets and Weak Factors, 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.
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