Publications

Rui Da, Stefan Nagel, Dacheng Xiu (2024). The Statistical Limit of Arbitrage.

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Rui Da (2022). Market Efficiency with Many Investors.

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

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

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