Bio

I am a Ph.D. student in Econometrics and Statistics at The University of Chicago Booth School of Business.

I am on the 2022-2023 academic job market.

Download my resumé .

Interests
  • Financial Economics
  • Econometrics
  • Machine Learning in Finance

Job Market Paper

(2022). Market Effciency with Many Investors.

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Research Papers

with Stefan Nagel, Dacheng Xiu (2022). The Statistical Limit of Arbitrage.

PDF Abstract

with Dacheng Xiu (2021). When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility. in Econometrica.

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with Dacheng Xiu (2021). Disentangling Autocorrelated Intraday Returns. revision requested by Journal of Econometrics.

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Contact

  • rui.da@chicagobooth.edu
  • 5807 S Woodlawn Avenue, Chicago, Illinois 60637