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 2013-03-03. 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" 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
   See also Journal Article in American Economic Review (2012)

2010

3. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
4. Is It Real, or Is It Randomized?: A Financial Turing Test
   Papers, arXiv.org
5. Systemic Risk and the Refinancing Ratchet Effect
   Harvard Business School Working Papers, Harvard Business School View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (2)
6. WARNING: Physics Envy May Be Hazardous To Your Wealth!
   Papers, arXiv.org View citations (2)

2009

7. A Computational View of Market Efficiency
   Papers, arXiv.org
   See also Journal Article in Quantitative Finance (2011)
8. Asset Prices and Trading Volume Under Fixed Transactions Costs
   Yale School of Management Working Papers, Yale School of Management View citations (5)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (6)
   See also Journal Article in Journal of Political Economy (2004)

2008

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

2005

12. Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Journal Article in American Economic Review (2005)
13. Systemic Risk and Hedge Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Chapter (2007)

2003

14. An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (3)
    See also Journal Article in Journal of Financial Economics (2004)

2001

15. The Psychophysiology of Real-Time Financial Risk Processing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
16. Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in Journal of Finance (2006)

2000

17. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (51)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999)
    See also Journal Article in Journal of Finance (2000)
18. Nonparametric Risk Management and Implied Risk Aversion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (136)
    See also Journal Article in Journal of Econometrics (2000)
19. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
    See also Journal Article in Review of Financial Studies (2000)

1999

20. Frontiers of Finance: Evolution and Efficient Markets
    Working Papers, Santa Fe Institute View citations (21)
21. Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders
    Computing in Economics and Finance 1999, Society for Computational Economics

1997

22. Econometric Models of Limit-Order Executions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    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 Financial Economics (2002)
23. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
    NBER Working Papers, National Bureau of Economic Research, Inc
24. Pricing and hedging derivative securities in incomplete markets: an e-arbitrage approach
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management

1995

25. A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Finance (1994)
26. Maximizing Predictability in the Stock and Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1992) View citations (2)
    See also Journal Article in Macroeconomic Dynamics (1997)
27. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (68)
    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

28. Implementing Option Pricing Models When Asset Returns Are Predictable
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1993)
    See also Journal Article in Journal of Finance (1995)
29. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations (4)

1991

30. An Econometric Analysis of Nonsynchronous Trading
    NBER Working Papers, National Bureau of Economic Research, Inc
    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)
31. An Ordered Probit Analysis of Transaction Stock Prices
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (1)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1990)
    NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (1)
    See also Journal Article in Journal of Financial Economics (1992)
32. Data-Snooping Biases in Tests of Financial Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) View citations (1)
    See also Journal Article in Review of Financial Studies (1990)
33. The sources and nature of long-term memory in the business cycle
    Working Paper, Federal Reserve Bank of Cleveland 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 (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (16)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
34. When are Contrarian Profits Due to Stock Market Overreaction?
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) View citations (1)
    See also Journal Article in Review of Financial Studies (1990)

1989

35. Long-term Memory in Stock Market Prices
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989)
    See also Journal Article in Econometrica (1991)
36. Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Review of Financial Studies (1988)

1988

37. 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 View citations (2)
    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)

1986

38. Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    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

39. 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
40. 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
41. 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)
42. 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 (1)
43. 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
44. 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
45. 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
46. 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
47. 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
48. 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
49. 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
50. 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

2012

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

2011

6. A computational view of market efficiency
   Quantitative Finance, 2011, 11, (7), 1043-1050
   See also Working Paper (2009)
7. What happened to the quants in August 2007? Evidence from factors and transactions data
   Journal of Financial Markets, 2011, 14, (1), 1-46 View citations (4)
   See also Working Paper (2008)

2010

8. Consumer credit-risk models via machine-learning algorithms
   Journal of Banking & Finance, 2010, 34, (11), 2767-2787 View citations (3)
9. Impossible Frontiers
   Management Science, 2010, 56, (6), 905-923
   See also Working Paper (2008)

2009

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

2006

12. Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
    Journal of Finance, 2006, 61, (6), 2805-2840 View citations (6)
    See also Working Paper (2001)

2005

13. Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
    American Economic Review, 2005, 95, (2), 352-359 View citations (13)
    See also Working Paper (2005)

2004

14. An econometric model of serial correlation and illiquidity in hedge fund returns
    Journal of Financial Economics, 2004, 74, (3), 529-609 View citations (55)
    See also Working Paper (2003)
15. Asset Prices and Trading Volume under Fixed Transactions Costs
    Journal of Political Economy, 2004, 112, (5), 1054-1090 View citations (31)
    See also Working Paper (2009)

2003

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

2002

17. Econometric models of limit-order executions
    Journal of Financial Economics, 2002, 65, (1), 31-71 View citations (19)
    See also Working Paper (1997)

2001

18. Asset allocation and derivatives
    Quantitative Finance, 2001, 1, (1), 45-72 View citations (10)
19. The sources and nature of long-term memory in aggregate output
    Economic Review, 2001, (Q II), 15-30 View citations (12)

2000

20. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
    Journal of Finance, 2000, 55, (4), 1705-1770 View citations (51)
    See also Working Paper (2000)
21. Nonparametric risk management and implied risk aversion
    Journal of Econometrics, 2000, 94, (1-2), 9-51 View citations (165)
    See also Working Paper (2000)
22. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
    Review of Financial Studies, 2000, 13, (2), 257-300 View citations (47)
    See also Working Paper (2000)
23. When is time continuous?
    Journal of Financial Economics, 2000, 55, (2), 173-204 View citations (16)

1998

24. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    Journal of Finance, 1998, 53, (2), 499-547 View citations (63)
    See also Working Paper (1995)
25. Optimal control of execution costs
    Journal of Financial Markets, 1998, 1, (1), 1-50 View citations (56)
26. THE ECONOMETRICS OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 1998, 2, (04), 559-562 View citations (6)

1997

27. MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
    Macroeconomic Dynamics, 1997, 1, (01), 102-134 View citations (13)
    See also Working Paper (1995)

1995

28. Implementing Option Pricing Models When Asset Returns Are Predictable
    Journal of Finance, 1995, 50, (1), 87-129 View citations (34)
    See also Working Paper (1994)

1994

29. A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks
    Journal of Finance, 1994, 49, (3), 851-89 View citations (49)
    See also Working Paper (1995)

1992

30. An ordered probit analysis of transaction stock prices
    Journal of Financial Economics, 1992, 31, (3), 319-379 View citations (96)
    See also Working Paper (1991)

1991

31. Long-Term Memory in Stock Market Prices
    Econometrica, 1991, 59, (5), 1279-313 View citations (233)
    See also Working Paper (1989)

1990

32. An econometric analysis of nonsynchronous trading
    Journal of Econometrics, 1990, 45, (1-2), 181-211 View citations (148)
    See also Working Paper (1991)
33. Data-Snooping Biases in Tests of Financial Asset Pricing Models
    Review of Financial Studies, 1990, 3, (3), 431-67 View citations (66)
    See also Working Paper (1991)
34. When Are Contrarian Profits Due to Stock Market Overreaction?
    Review of Financial Studies, 1990, 3, (2), 175-205 View citations (172)
    See also Working Paper (1991)

1989

35. The size and power of the variance ratio test in finite samples: A Monte Carlo investigation
    Journal of Econometrics, 1989, 40, (2), 203-238 View citations (98)
    See also Working Paper (1988)

1988

36. Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data
    Econometric Theory, 1988, 4, (02), 231-247 View citations (89)
    See also Working Paper (1986)
37. Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test
    Review of Financial Studies, 1988, 1, (1), 41-66 View citations (362)
    See also Working Paper (1989)

1987

38. Semi-parametric upper bounds for option prices and expected payoffs
    Journal of Financial Economics, 1987, 19, (2), 373-387 View citations (10)

1986

39. Logit versus discriminant analysis: A specification test and application to corporate bankruptcies
    Journal of Econometrics, 1986, 31, (2), 151-178 View citations (24)
40. Statistical tests of contingent-claims asset-pricing models: A new methodology
    Journal of Financial Economics, 1986, 17, (1), 143-173 View citations (11)

1985

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

Books

2013

1. Quantifying Systemic Risk
   NBER Books, National Bureau of Economic Research, Inc View citations (6)

1996

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

Chapters

2012

1. Introduction to "Quantifying Systemic Risk"
   A chapter in Quantifying Systemic Risk, 2012, pp 1-11

2007

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

1996

3. 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 View citations (1)

Software Items