Publications

Rui Da, Stefan Nagel, Dacheng Xiu (2025). The Statistical Limit of Arbitrage. R&R, Journal of Finance.

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Rui Da, Dacheng Xiu (2025). Disentangling Autocorrelated Intraday Returns. R&R, Journal of Econometrics.

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Rui Da (2025). 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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