Xiao Qiao | Quantitative Researcher
SummerHaven Investment Management

Xiao Qiao, Quantitative Researcher, SummerHaven Investment Management

Xiao is a researcher at SummerHaven Investment Management. He sits on the editorial board of the Journal of Portfolio Management. His research has been featured in Forbes and Institutional Investor Journals, and won a best paper award at R/Finance 2016. Prior to SummerHaven, Xiao built predictive models forecasting the stock market at Hull Investments, and has worked in Morgan Stanley’s wealth management division. Xiao received a B.S. in economics from the Wharton School and a B.S. in engineering from the School of Engineering and Applied Sciences at the University of Pennsylvania, graduating summa cum laude in both. He received a Finance PhD from the University of Chicago, where he was Eugene Fama’s teaching assistant.


TSC 2018 - DAY 2 @ 14:10

Correlated volatility shocks

  • Why commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility
  • How the Dynamic Factor Correlation (DFC) model captures the cross-sectional correlations in idiosyncratic volatility innovations via decomposing the common factor in idiosyncratic volatility (CIV) into the volatility innovation factor (VIN) and time-varying volatility factor (TVV)
  • How a strategy that takes a long position in the portfolio with the lowest VIN and TVV betas, and short position in the portfolio with the highest VIN and TVV betas, earns an average of 8.0% annual returns

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