I'M Shihao Gu

PhD Candidate @ ChicagoBooth


About Me

I am a third year Ph.D. student in the group of Econometrics and Statistics at Booth School of Business, University of Chicago.

Before coming to Booth, I earned a M.A. in Statistics from UCLA. Prior to my graduate studies, I obtained a B.S. in mathematics and a B.A. in Economics from Peking University.

Research Interests: Asset Pricing, Machine Learning, Financial Econometrics

Email Address: shihaogu at chicagobooth.edu

Google Scholar Profile LinkedIn Curriculum Vitae​




1. Empirical Asset Pricing via Machine Learning

(with Bryan Kelly and Dacheng Xiu), forthcoming in the Review of Financial Studies.

2. Autoencoder Asset Pricing Models

(with Bryan Kelly and Dacheng Xiu), forthcoming in the Journal of Econometrics.


Working Paper:



sample image TA 2019 Autumn: BUSN 41100 Applied Regression Analysis



5807 South Woodlawn Avenue, Chicago, IL 60637

shihaogu at chicagobooth.edu

Mon-Fri 9.00AM to 5.00PM