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Details about Andrew W. Lo

E-mail:
Homepage:http://web.mit.edu/alo/www/
Phone:617 253-0920
Workplace:Sloan School of Management, Massachusetts Institute of Technology (MIT), (more information at EDIRC)

Access statistics for papers by Andrew W. Lo.

Last updated 2013-12-08. Update your information in the RePEc Author Service.

Short-id: plo171


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Working Papers

2011

  1. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2012)
  2. Privacy-Preserving Methods for Sharing Financial Risk Exposures
    Papers, arXiv.org Downloads
    See also Journal Article in American Economic Review (2012)

2010

  1. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (23)
    See also Chapter (2010)
  2. Is It Real, or Is It Randomized?: A Financial Turing Test
    Papers, arXiv.org Downloads
  3. Systemic Risk and the Refinancing Ratchet Effect
    Harvard Business School Working Papers, Harvard Business School Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (6)

    See also Journal Article in Journal of Financial Economics (2013)
  4. WARNING: Physics Envy May Be Hazardous To Your Wealth!
    Papers, arXiv.org Downloads View citations (3)

2009

  1. A Computational View of Market Efficiency
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2011)
  2. Asset Prices and Trading Volume Under Fixed Transactions Costs
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (6)

    See also Journal Article in Journal of Political Economy (2004)

2008

  1. Impossible Frontiers
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Management Science (2010)
  2. What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Journal of Financial Markets (2011)
  3. When Do Stop-Loss Rules Stop Losses?
    SIFR Research Report Series, Institute for Financial Research Downloads View citations (1)

2005

  1. Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    See also Journal Article in American Economic Review (2005)
  2. Systemic Risk and Hedge Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Chapter (2007)

2003

  1. An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (3)

    See also Journal Article in Journal of Financial Economics (2004)

2001

  1. The Psychophysiology of Real-Time Financial Risk Processing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article in Journal of Finance (2006)

2000

  1. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (70)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads

    See also Journal Article in Journal of Finance (2000)
  2. Nonparametric Risk Management and Implied Risk Aversion
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (160)
    See also Journal Article in Journal of Econometrics (2000)
  3. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (64)
    See also Journal Article in Review of Financial Studies (2000)

1999

  1. Frontiers of Finance: Evolution and Efficient Markets
    Working Papers, Santa Fe Institute View citations (25)
  2. Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads

1997

  1. Econometric Models of Limit-Order Executions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2002)
  2. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Pricing and hedging derivative securities in incomplete markets: an e-arbitrage approach
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads

1995

  1. Maximizing Predictability in the Stock and Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1992) Downloads View citations (3)

    See also Journal Article in Macroeconomic Dynamics (1997)
  2. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (42)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago

    See also Journal Article in Journal of Finance (1998)

1994

  1. A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Journal of Finance (1994)
  2. Implementing Option Pricing Models When Asset Returns Are Predictable
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1993) Downloads View citations (1)

    See also Journal Article in Journal of Finance (1995)
  3. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations (4)

1991

  1. An Econometric Analysis of Nonsynchronous Trading
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

    See also Journal Article in Journal of Econometrics (1990)
  2. An Ordered Probit Analysis of Transaction Stock Prices
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (2)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1990) Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (1991) Downloads View citations (2)

    See also Journal Article in Journal of Financial Economics (1992)
  3. The sources and nature of long-term memory in the business cycle
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (5)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (1989) Downloads View citations (18)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (4)

1989

  1. Data-Snooping Biases in Tests of Financial Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) Downloads View citations (3)

    See also Journal Article in Review of Financial Studies (1990)
  2. Long-term Memory in Stock Market Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) Downloads View citations (2)

    See also Journal Article in Econometrica (1991)
  3. When are Contrarian Profits Due to Stock Market Overreaction?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (1990)

1988

  1. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

    See also Journal Article in Journal of Econometrics (1989)

1987

  1. Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Review of Financial Studies (1988)

1986

  1. Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

    See also Journal Article in Econometric Theory (1988)

Undated

  1. A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  2. A Residuals-Based Wald Test for the Linear Simultaneous Equation
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  3. A Simple Specification Test of the Random Walk Hypothesis
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
  4. An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
  5. Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  6. Games of Survival in the Newspaper Industry
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  7. Logit Versus Discriminant Analysis: A Specification Test
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
  8. Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  9. Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  10. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
  11. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  12. When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)

Journal Articles

2013

  1. Can Financial Engineering Cure Cancer?
    American Economic Review, 2013, 103, (3), 406-11 Downloads
  2. Can hedge funds time market liquidity?
    Journal of Financial Economics, 2013, 109, (2), 493-516 Downloads View citations (2)
  3. Introduction to Volume 5 of the Annual Review of Financial Economics
    Annual Review of Financial Economics, 2013, 5, (1), 1-7 Downloads
  4. Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents
    Journal of Economic Perspectives, 2013, 27, (2), 51-72 Downloads View citations (3)
  5. Systemic risk and the refinancing ratchet effect
    Journal of Financial Economics, 2013, 108, (1), 29-45 Downloads View citations (4)
    See also Working Paper (2010)

2012

  1. A Survey of Systemic Risk Analytics
    Annual Review of Financial Economics, 2012, 4, (1), 255-296 Downloads View citations (27)
  2. Econometric measures of connectedness and systemic risk in the finance and insurance sectors
    Journal of Financial Economics, 2012, 104, (3), 535-559 Downloads View citations (38)
    See also Working Paper (2011)
  3. Privacy-Preserving Methods for Sharing Financial Risk Exposures
    American Economic Review, 2012, 102, (3), 65-70 Downloads
    See also Working Paper (2011)
  4. Reading about the Financial Crisis: A Twenty-One-Book Review
    Journal of Economic Literature, 2012, 50, (1), 151-78 Downloads View citations (7)
  5. Robust ranking and portfolio optimization
    European Journal of Operational Research, 2012, 221, (2), 407-416 Downloads View citations (2)

2011

  1. A computational view of market efficiency
    Quantitative Finance, 2011, 11, (7), 1043-1050 Downloads View citations (1)
    See also Working Paper (2009)
  2. What happened to the quants in August 2007? Evidence from factors and transactions data
    Journal of Financial Markets, 2011, 14, (1), 1-46 Downloads View citations (8)
    See also Working Paper (2008)

2010

  1. Consumer credit-risk models via machine-learning algorithms
    Journal of Banking & Finance, 2010, 34, (11), 2767-2787 Downloads View citations (9)
  2. Impossible Frontiers
    Management Science, 2010, 56, (6), 905-923 Downloads View citations (1)
    See also Working Paper (2008)

2009

  1. Preface to the Annual Review of Financial Economics
    Annual Review of Financial Economics, 2009, 1, (1), 1-17 Downloads
  2. Regulatory reform in the wake of the financial crisis of 2007-2008
    Journal of Financial Economic Policy, 2009, 1, (1), 4-43 Downloads View citations (4)

2006

  1. The Derivatives Sourcebook
    Foundations and Trends(R) in Finance, 2006, 1, (5–6), 365-572 Downloads
  2. Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
    Journal of Finance, 2006, 61, (6), 2805-2840 Downloads View citations (9)
    See also Working Paper (2001)

2005

  1. Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
    American Economic Review, 2005, 95, (2), 352-359 Downloads View citations (18)
    See also Working Paper (2005)

2004

  1. An econometric model of serial correlation and illiquidity in hedge fund returns
    Journal of Financial Economics, 2004, 74, (3), 529-609 Downloads View citations (88)
    See also Working Paper (2003)
  2. Asset Prices and Trading Volume under Fixed Transactions Costs
    Journal of Political Economy, 2004, 112, (5), 1054-1090 Downloads View citations (43)
    See also Working Paper (2009)

2003

  1. Innovation at MIT
    Quantitative Finance, 2003, 3, (3), 33-38 Downloads

2002

  1. Econometric models of limit-order executions
    Journal of Financial Economics, 2002, 65, (1), 31-71 Downloads View citations (35)
    See also Working Paper (1997)

2001

  1. Asset allocation and derivatives
    Quantitative Finance, 2001, 1, (1), 45-72 Downloads View citations (13)
  2. The sources and nature of long-term memory in aggregate output
    Economic Review, 2001, (Q II), 15-30 Downloads View citations (15)

2000

  1. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
    Journal of Finance, 2000, 55, (4), 1705-1770 Downloads View citations (91)
    See also Working Paper (2000)
  2. Nonparametric risk management and implied risk aversion
    Journal of Econometrics, 2000, 94, (1-2), 9-51 Downloads View citations (196)
    See also Working Paper (2000)
  3. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
    Review of Financial Studies, 2000, 13, (2), 257-300 View citations (66)
    See also Working Paper (2000)
  4. When is time continuous?
    Journal of Financial Economics, 2000, 55, (2), 173-204 Downloads View citations (20)

1998

  1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    Journal of Finance, 1998, 53, (2), 499-547 Downloads View citations (178)
    See also Working Paper (1995)
  2. Optimal control of execution costs
    Journal of Financial Markets, 1998, 1, (1), 1-50 Downloads View citations (92)
  3. THE ECONOMETRICS OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 1998, 2, (04), 559-562 Downloads View citations (7)

1997

  1. MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
    Macroeconomic Dynamics, 1997, 1, (01), 102-134 Downloads View citations (17)
    See also Working Paper (1995)

1995

  1. Implementing Option Pricing Models When Asset Returns Are Predictable
    Journal of Finance, 1995, 50, (1), 87-129 Downloads View citations (38)
    See also Working Paper (1994)

1994

  1. A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks
    Journal of Finance, 1994, 49, (3), 851-89 Downloads View citations (63)
    See also Working Paper (1994)

1992

  1. An ordered probit analysis of transaction stock prices
    Journal of Financial Economics, 1992, 31, (3), 319-379 Downloads View citations (118)
    See also Working Paper (1991)

1991

  1. Long-Term Memory in Stock Market Prices
    Econometrica, 1991, 59, (5), 1279-313 Downloads View citations (351)
    See also Working Paper (1989)

1990

  1. An econometric analysis of nonsynchronous trading
    Journal of Econometrics, 1990, 45, (1-2), 181-211 Downloads View citations (179)
    See also Working Paper (1991)
  2. Data-Snooping Biases in Tests of Financial Asset Pricing Models
    Review of Financial Studies, 1990, 3, (3), 431-67 Downloads View citations (167)
    See also Working Paper (1989)
  3. When Are Contrarian Profits Due to Stock Market Overreaction?
    Review of Financial Studies, 1990, 3, (2), 175-205 Downloads View citations (247)
    See also Working Paper (1989)

1989

  1. The size and power of the variance ratio test in finite samples: A Monte Carlo investigation
    Journal of Econometrics, 1989, 40, (2), 203-238 Downloads View citations (121)
    See also Working Paper (1988)

1988

  1. Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data
    Econometric Theory, 1988, 4, (02), 231-247 Downloads View citations (103)
    See also Working Paper (1986)
  2. Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test
    Review of Financial Studies, 1988, 1, (1), 41-66 Downloads View citations (525)
    See also Working Paper (1987)

1987

  1. Semi-parametric upper bounds for option prices and expected payoffs
    Journal of Financial Economics, 1987, 19, (2), 373-387 Downloads View citations (13)

1986

  1. Logit versus discriminant analysis: A specification test and application to corporate bankruptcies
    Journal of Econometrics, 1986, 31, (2), 151-178 Downloads View citations (28)
  2. Statistical tests of contingent-claims asset-pricing models: A new methodology
    Journal of Financial Economics, 1986, 17, (1), 143-173 Downloads View citations (14)

1985

  1. A large-sample chow test for the linear simultaneous equation
    Economics Letters, 1985, 18, (4), 351-353 Downloads View citations (4)

Books

2013

  1. Quantifying Systemic Risk
    NBER Books, National Bureau of Economic Research, Inc View citations (8)

1996

  1. The Industrial Organization and Regulation of the Securities Industry
    NBER Books, National Bureau of Economic Research, Inc View citations (1)

Edited books

1996

  1. The Industrial Organization and Regulation of the Securities Industry
    National Bureau of Economic Research Books, University of Chicago Press

Chapters

2012

  1. Introduction to "Quantifying Systemic Risk"
    A chapter in Quantifying Systemic Risk, 2012, pp 1-10 Downloads

2010

  1. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    A chapter in Market Institutions and Financial Market Risk, 2010 View citations (5)
    See also Working Paper (2010)

2007

  1. Systemic Risk and Hedge Funds
    A chapter in The Risks of Financial Institutions, 2007, pp 235-338 Downloads View citations (3)
    See also Working Paper (2005)

1996

  1. Introduction to "The Industrial Organization and Regulation of the Securities Industry"
    A chapter in The Industrial Organization and Regulation of the Securities Industry, 1996, pp 1-8 Downloads View citations (1)

Software Items

 
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