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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 2022-06-07. Update your information in the RePEc Author Service.

Short-id: plo171


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Working Papers

2022

  1. Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Chapter Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery, NBER Chapters, National Bureau of Economic Research, Inc (2022) Downloads View citations (1) (2022)
  2. Financial Intermediation and the Funding of Biomedical Innovation: A Review
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2021

  1. Estimating the Financial Impact of Gene Therapy in the U.S
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Global realignment in financial market dynamics: Evidence from ETF networks
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (1)
  3. Paying off the Competition: Contracting, Market Power, and Innovation Incentives
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)

2020

  1. A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  3. Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  4. Financing Vaccines for Global Health Security
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2017

  1. Optimal Financing for R&D-Intensive Firms
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Sharing R&D Risk in Healthcare via FDA Hedges
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

2016

  1. Moore's Law vs. Murphy's Law in the financial system: who's winning?
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)

2015

  1. Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
  2. Hedge Funds: A Dynamic Industry In Transition
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article Hedge Funds: A Dynamic Industry in Transition, Annual Review of Financial Economics, Annual Reviews (2015) Downloads View citations (22) (2015)
  3. Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design, Journal of Econometrics, Elsevier (2019) Downloads View citations (7) (2019)
  4. Risk and Risk Management in the Credit Card Industry
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article Risk and risk management in the credit card industry, Journal of Banking & Finance, Elsevier (2016) Downloads View citations (44) (2016)
  5. The Gordon Gekko Effect: The Role of Culture in the Financial Industry
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article The Gordon Gekko effect: the role of culture in the financial industry, Economic Policy Review, Federal Reserve Bank of New York (2016) Downloads View citations (7) (2016)

2014

  1. Hedge fund holdings and stock market efficiency
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article Hedge Fund Holdings and Stock Market Efficiency, The Review of Asset Pricing Studies, Society for Financial Studies (2018) Downloads View citations (13) (2018)

2012

  1. A Survey of Systemic Risk Analytics
    Working Papers, Office of Financial Research, US Department of the Treasury Downloads View citations (431)
    See also Journal Article A Survey of Systemic Risk Analytics, Annual Review of Financial Economics, Annual Reviews (2012) Downloads View citations (441) (2012)

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 (16)
    See also Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of Financial Economics, Elsevier (2012) Downloads View citations (1105) (2012)
    Chapter Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (53) (2010)
  2. Privacy-Preserving Methods for Sharing Financial Risk Exposures
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article Privacy-Preserving Methods for Sharing Financial Risk Exposures, American Economic Review, American Economic Association (2012) Downloads View citations (9) (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 (82)
  2. Is It Real, or Is It Randomized?: A Financial Turing Test
    Papers, arXiv.org Downloads View citations (1)
  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 (24)

    See also Journal Article Systemic risk and the refinancing ratchet effect, Journal of Financial Economics, Elsevier (2013) Downloads View citations (33) (2013)
  4. WARNING: Physics Envy May Be Hazardous To Your Wealth!
    Papers, arXiv.org Downloads View citations (26)

2009

  1. A Computational View of Market Efficiency
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article A computational view of market efficiency, Quantitative Finance, Taylor & Francis Journals (2011) Downloads View citations (6) (2011)
  2. Asset Prices and Trading Volume Under Fixed Transactions Costs
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2009) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (11)

    See also Journal Article Asset Prices and Trading Volume under Fixed Transactions Costs, Journal of Political Economy, University of Chicago Press (2004) Downloads View citations (123) (2004)

2008

  1. Impossible Frontiers
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Impossible Frontiers, Management Science, INFORMS (2010) Downloads View citations (7) (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 (15)
    See also Journal Article What happened to the quants in August 2007? Evidence from factors and transactions data, Journal of Financial Markets, Elsevier (2011) Downloads View citations (97) (2011)
  3. When Do Stop-Loss Rules Stop Losses?
    SIFR Research Report Series, Institute for Financial Research Downloads View citations (3)
    See also Journal Article When do stop-loss rules stop losses?, Journal of Financial Markets, Elsevier (2014) Downloads View citations (15) (2014)

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 (81)
    See also Journal Article Fear and Greed in Financial Markets: A Clinical Study of Day-Traders, American Economic Review, American Economic Association (2005) Downloads View citations (80) (2005)
  2. Systemic Risk and Hedge Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (50)
    See also Chapter Systemic Risk and Hedge Funds, NBER Chapters, National Bureau of Economic Research, Inc (2007) Downloads View citations (13) (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 (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (11)

    See also Journal Article An econometric model of serial correlation and illiquidity in hedge fund returns, Journal of Financial Economics, Elsevier (2004) Downloads View citations (332) (2004)

2001

  1. The Psychophysiology of Real-Time Financial Risk Processing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
  2. Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model, Journal of Finance, American Finance Association (2006) Downloads View citations (37) (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 (324)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads View citations (1)

    See also Journal Article Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance, American Finance Association (2000) Downloads View citations (314) (2000)
  2. Nonparametric Risk Management and Implied Risk Aversion
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (346)
    See also Journal Article Nonparametric risk management and implied risk aversion, Journal of Econometrics, Elsevier (2000) Downloads View citations (355) (2000)
  3. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (257)
    See also Journal Article Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, The Review of Financial Studies, Society for Financial Studies (2000) View citations (261) (2000)

1999

  1. Frontiers of Finance: Evolution and Efficient Markets
    Working Papers, Santa Fe Institute View citations (45)
  2. Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (2)

1997

  1. Econometric Models of Limit-Order Executions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    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 Econometric models of limit-order executions, Journal of Financial Economics, Elsevier (2002) Downloads View citations (79) (2002)
  2. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  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 View citations (6)

1995

  1. Maximizing Predictability in the Stock and Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1992) Downloads View citations (3)

    See also Journal Article MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS, Macroeconomic Dynamics, Cambridge University Press (1997) Downloads View citations (41) (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 (56)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago

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 (225)
    See also Journal Article A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks, Journal of Finance, American Finance Association (1994) Downloads View citations (229) (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 (2)

    See also Journal Article Implementing Option Pricing Models When Asset Returns Are Predictable, Journal of Finance, American Finance Association (1995) Downloads View citations (84) (1995)
  3. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations (5)

1991

  1. An Ordered Probit Analysis of Transaction Stock Prices
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (11)
    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 (11)

    See also Journal Article An ordered probit analysis of transaction stock prices, Journal of Financial Economics, Elsevier (1992) Downloads View citations (216) (1992)
  2. The sources and nature of long-term memory in the business cycle
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) Downloads View citations (16)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)

1989

  1. An Econometric Analysis of Nonsynchronous Trading
    NBER 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 An econometric analysis of nonsynchronous trading, Journal of Econometrics, Elsevier (1990) Downloads View citations (312) (1990)
  2. Data-Snooping Biases in Tests of Financial Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) Downloads View citations (4)

    See also Journal Article Data-Snooping Biases in Tests of Financial Asset Pricing Models, The Review of Financial Studies, Society for Financial Studies (1990) Downloads View citations (462) (1990)
  3. Long-term Memory in Stock Market Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) Downloads View citations (18)

    See also Journal Article Long-Term Memory in Stock Market Prices, Econometrica, Econometric Society (1991) Downloads View citations (785) (1991)
  4. When are Contrarian Profits Due to Stock Market Overreaction?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1989) Downloads View citations (1)

    See also Journal Article When Are Contrarian Profits Due to Stock Market Overreaction?, The Review of Financial Studies, Society for Financial Studies (1990) Downloads View citations (653) (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 (9)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

    See also Journal Article The size and power of the variance ratio test in finite samples: A Monte Carlo investigation, Journal of Econometrics, Elsevier (1989) Downloads View citations (283) (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 (12)
    See also Journal Article Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test, The Review of Financial Studies, Society for Financial Studies (1988) Downloads View citations (1452) (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 View citations (2)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)

    See also Journal Article Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data, Econometric Theory, Cambridge University Press (1988) Downloads View citations (144) (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 (11)
  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 View citations (1)
  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 (5)
  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 View citations (6)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (8)
  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 View citations (6)
  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

2022

  1. Hamilton’s rule in economic decision-making
    Proceedings of the National Academy of Sciences, 2022, 119, (16), e2108590119 Downloads View citations (2)
  2. Identifying and Mitigating Potential Biases in Predicting Drug Approvals
    Drug Safety, 2022, 45, (5), 521-533 Downloads

2021

  1. Can Financial Economics Cure Cancer?
    Atlantic Economic Journal, 2021, 49, (1), 3-21 Downloads View citations (2)
  2. Spectral factor models
    Journal of Financial Economics, 2021, 142, (1), 214-238 Downloads View citations (13)
  3. The origin of cooperation
    Proceedings of the National Academy of Sciences, 2021, 118, (26), e2015572118 Downloads View citations (2)
  4. To maximize or randomize? An experimental study of probability matching in financial decision making
    PLOS ONE, 2021, 16, (8), 1-20 Downloads View citations (2)

2020

  1. Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective
    Annual Review of Financial Economics, 2020, 12, (1), 95-140 Downloads View citations (11)
  2. Robert C. Merton: The First Financial Engineer
    Annual Review of Financial Economics, 2020, 12, (1), 1-18 Downloads View citations (1)

2019

  1. Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design
    Journal of Econometrics, 2019, 211, (1), 117-136 Downloads View citations (7)
    See also Working Paper Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design, NBER Working Papers (2015) Downloads View citations (4) (2015)
  2. The Visible Hand
    Accounting, Economics, and Law: A Convivium, 2019, 9, (3), 5 Downloads

2018

  1. Hedge Fund Holdings and Stock Market Efficiency
    The Review of Asset Pricing Studies, 2018, 8, (1), 77-116 Downloads View citations (13)
    See also Working Paper Hedge fund holdings and stock market efficiency, Finance and Economics Discussion Series (2014) Downloads (2014)
  2. The growth of relative wealth and the Kelly criterion
    Journal of Bioeconomics, 2018, 20, (1), 49-67 Downloads View citations (10)
  3. Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments
    Quarterly Journal of Finance (QJF), 2018, 08, (03), 1-39 Downloads View citations (3)

2017

  1. Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform
    Management Science, 2017, 63, (7), 2233-2250 Downloads View citations (1)

2016

  1. Risk and risk management in the credit card industry
    Journal of Banking & Finance, 2016, 72, (C), 218-239 Downloads View citations (44)
    See also Working Paper Risk and Risk Management in the Credit Card Industry, NBER Working Papers (2015) Downloads View citations (3) (2015)
  2. The Gordon Gekko effect: the role of culture in the financial industry
    Economic Policy Review, 2016, (Aug), 17-42 Downloads View citations (7)
    See also Working Paper The Gordon Gekko Effect: The Role of Culture in the Financial Industry, NBER Working Papers (2015) Downloads View citations (5) (2015)

2015

  1. Hedge Funds: A Dynamic Industry in Transition
    Annual Review of Financial Economics, 2015, 7, (1), 483-577 Downloads View citations (22)
    See also Working Paper Hedge Funds: A Dynamic Industry In Transition, NBER Working Papers (2015) Downloads View citations (22) (2015)
  2. Reply to “(Im)Possible Frontiers: A Commentâ€
    Critical Finance Review, 2015, 4, (1), 157-171 Downloads

2014

  1. When do stop-loss rules stop losses?
    Journal of Financial Markets, 2014, 18, (C), 234-254 Downloads View citations (15)
    See also Working Paper When Do Stop-Loss Rules Stop Losses?, SIFR Research Report Series (2008) Downloads View citations (3) (2008)

2013

  1. Can Financial Engineering Cure Cancer?
    American Economic Review, 2013, 103, (3), 406-11 Downloads View citations (9)
  2. Can hedge funds time market liquidity?
    Journal of Financial Economics, 2013, 109, (2), 493-516 Downloads View citations (100)
  3. Introduction to Volume 5 of the Annual Review of Financial Economics
    Annual Review of Financial Economics, 2013, 5, (1), 1-7 Downloads View citations (2)
  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 (39)
  5. Systemic risk and the refinancing ratchet effect
    Journal of Financial Economics, 2013, 108, (1), 29-45 Downloads View citations (33)
    See also Working Paper Systemic Risk and the Refinancing Ratchet Effect, Harvard Business School Working Papers (2010) Downloads View citations (1) (2010)

2012

  1. A Survey of Systemic Risk Analytics
    Annual Review of Financial Economics, 2012, 4, (1), 255-296 Downloads View citations (441)
    See also Working Paper A Survey of Systemic Risk Analytics, Working Papers (2012) Downloads View citations (431) (2012)
  2. An Evolutionary Model of Bounded Rationality and Intelligence
    PLOS ONE, 2012, 7, (11), 1-8 Downloads View citations (7)
  3. 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 (1105)
    See also Working Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Working Papers (2011) Downloads View citations (16) (2011)
    Chapter Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, NBER Chapters, 2010 (2010) View citations (53) (2010)
  4. Estimating the NIH Efficient Frontier
    PLOS ONE, 2012, 7, (5), 1-10 Downloads View citations (5)
  5. Privacy-Preserving Methods for Sharing Financial Risk Exposures
    American Economic Review, 2012, 102, (3), 65-70 Downloads View citations (9)
    See also Working Paper Privacy-Preserving Methods for Sharing Financial Risk Exposures, Papers (2011) Downloads View citations (4) (2011)
  6. Reading about the Financial Crisis: A Twenty-One-Book Review
    Journal of Economic Literature, 2012, 50, (1), 151-78 Downloads View citations (70)
  7. Robust ranking and portfolio optimization
    European Journal of Operational Research, 2012, 221, (2), 407-416 Downloads View citations (10)

2011

  1. A computational view of market efficiency
    Quantitative Finance, 2011, 11, (7), 1043-1050 Downloads View citations (6)
    See also Working Paper A Computational View of Market Efficiency, Papers (2009) Downloads View citations (1) (2009)
  2. Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios
    Quarterly Journal of Finance (QJF), 2011, 01, (02), 205-264 Downloads View citations (14)
  3. The Origin of Behavior
    Quarterly Journal of Finance (QJF), 2011, 01, (01), 55-108 Downloads View citations (24)
  4. 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 (97)
    See also Working Paper What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data, NBER Working Papers (2008) Downloads View citations (15) (2008)

2010

  1. Consumer credit-risk models via machine-learning algorithms
    Journal of Banking & Finance, 2010, 34, (11), 2767-2787 Downloads View citations (146)
  2. Impossible Frontiers
    Management Science, 2010, 56, (6), 905-923 Downloads View citations (7)
    See also Working Paper Impossible Frontiers, NBER Working Papers (2008) Downloads (2008)

2009

  1. Preface to the Annual Review of Financial Economics
    Annual Review of Financial Economics, 2009, 1, (1), 1-17 Downloads View citations (1)
  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 (14)

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 (37)
    See also Working Paper Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model, NBER Working Papers (2001) Downloads View citations (14) (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 (80)
    See also Working Paper Fear and Greed in Financial Markets: A Clinical Study of Day-Traders, NBER Working Papers (2005) Downloads View citations (81) (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 (332)
    See also Working Paper An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns, Working papers (2003) Downloads View citations (12) (2003)
  2. Asset Prices and Trading Volume under Fixed Transactions Costs
    Journal of Political Economy, 2004, 112, (5), 1054-1090 Downloads View citations (123)
    See also Working Paper Asset Prices and Trading Volume Under Fixed Transactions Costs, Yale School of Management Working Papers (2009) Downloads (2009)

2003

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

2002

  1. Econometric models of limit-order executions
    Journal of Financial Economics, 2002, 65, (1), 31-71 Downloads View citations (79)
    See also Working Paper Econometric Models of Limit-Order Executions, NBER Working Papers (1997) Downloads View citations (7) (1997)

2001

  1. Asset allocation and derivatives
    Quantitative Finance, 2001, 1, (1), 45-72 Downloads View citations (29)
  2. Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach
    Operations Research, 2001, 49, (3), 372-397 Downloads View citations (33)
  3. The sources and nature of long-term memory in aggregate output
    Economic Review, 2001, (Q II), 15-30 Downloads View citations (26)

2000

  1. Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
    Journal of Finance, 2000, 55, (4), 1705-1765 Downloads View citations (314)
    See also Working Paper Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, NBER Working Papers (2000) Downloads View citations (324) (2000)
  2. Nonparametric risk management and implied risk aversion
    Journal of Econometrics, 2000, 94, (1-2), 9-51 Downloads View citations (355)
    See also Working Paper Nonparametric Risk Management and Implied Risk Aversion, NBER Working Papers (2000) Downloads View citations (346) (2000)
  3. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
    The Review of Financial Studies, 2000, 13, (2), 257-300 View citations (261)
    See also Working Paper Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, NBER Working Papers (2000) Downloads View citations (257) (2000)
  4. When is time continuous?
    Journal of Financial Economics, 2000, 55, (2), 173-204 Downloads View citations (49)
    See also Chapter WHEN IS TIME CONTINUOUS?, World Scientific Book Chapters, 2001, 71-102 (2001) Downloads View citations (2) (2001)

1998

  1. Optimal control of execution costs
    Journal of Financial Markets, 1998, 1, (1), 1-50 Downloads View citations (342)
  2. THE ECONOMETRICS OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 1998, 2, (4), 559-562 Downloads View citations (50)

1997

  1. MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
    Macroeconomic Dynamics, 1997, 1, (1), 102-134 Downloads View citations (41)
    See also Working Paper Maximizing Predictability in the Stock and Bond Markets, NBER Working Papers (1995) Downloads View citations (4) (1995)

1995

  1. Implementing Option Pricing Models When Asset Returns Are Predictable
    Journal of Finance, 1995, 50, (1), 87-129 Downloads View citations (84)
    See also Working Paper Implementing Option Pricing Models When Asset Returns Are Predictable, NBER Working Papers (1994) Downloads (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 (229)
    See also Working Paper A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, NBER Working Papers (1994) Downloads View citations (225) (1994)

1992

  1. An ordered probit analysis of transaction stock prices
    Journal of Financial Economics, 1992, 31, (3), 319-379 Downloads View citations (216)
    See also Working Paper An Ordered Probit Analysis of Transaction Stock Prices, Weiss Center Working Papers (1991) View citations (11) (1991)

1991

  1. Long-Term Memory in Stock Market Prices
    Econometrica, 1991, 59, (5), 1279-313 Downloads View citations (785)
    See also Working Paper Long-term Memory in Stock Market Prices, NBER Working Papers (1989) Downloads View citations (18) (1989)

1990

  1. An econometric analysis of nonsynchronous trading
    Journal of Econometrics, 1990, 45, (1-2), 181-211 Downloads View citations (312)
    See also Working Paper An Econometric Analysis of Nonsynchronous Trading, NBER Working Papers (1989) Downloads View citations (3) (1989)
  2. Data-Snooping Biases in Tests of Financial Asset Pricing Models
    The Review of Financial Studies, 1990, 3, (3), 431-67 Downloads View citations (462)
    See also Working Paper Data-Snooping Biases in Tests of Financial Asset Pricing Models, NBER Working Papers (1989) Downloads View citations (4) (1989)
  3. When Are Contrarian Profits Due to Stock Market Overreaction?
    The Review of Financial Studies, 1990, 3, (2), 175-205 Downloads View citations (653)
    See also Working Paper When are Contrarian Profits Due to Stock Market Overreaction?, NBER Working Papers (1989) Downloads View citations (1) (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 (283)
    See also Working Paper The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation, NBER Technical Working Papers (1988) Downloads View citations (9) (1988)

1988

  1. Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data
    Econometric Theory, 1988, 4, (2), 231-247 Downloads View citations (144)
    See also Working Paper Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data, NBER Technical Working Papers (1986) Downloads View citations (2) (1986)
  2. Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test
    The Review of Financial Studies, 1988, 1, (1), 41-66 Downloads View citations (1452)
    See also Working Paper Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test, NBER Working Papers (1987) Downloads View citations (12) (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 (46)

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 (67)
  2. Statistical tests of contingent-claims asset-pricing models: A new methodology
    Journal of Financial Economics, 1986, 17, (1), 143-173 Downloads View citations (18)

1985

  1. A large-sample chow test for the linear simultaneous equation
    Economics Letters, 1985, 18, (4), 351-353 Downloads View citations (7)

Books

2013

  1. Quantifying Systemic Risk
    NBER Books, National Bureau of Economic Research, Inc View citations (19)

2010

  1. Hedge Funds: An Analytic Perspective Updated Edition
    Economics Books, Princeton University Press View citations (6)

1996

  1. The Industrial Organization and Regulation of the Securities Industry
    NBER Books, National Bureau of Economic Research, Inc View citations (18)

Edited books

2013

  1. Quantifying Systemic Risk
    National Bureau of Economic Research Books, University of Chicago Press View citations (5)

2007

  1. The International Library of Financial Econometrics series, vol Five volume set
    Books, Edward Elgar Publishing Downloads View citations (1)

1997

  1. Market Efficiency, vol Two volume set
    Books, Edward Elgar Publishing Downloads View citations (5)

1996

  1. The Industrial Organization and Regulation of the Securities Industry
    National Bureau of Economic Research Books, University of Chicago Press View citations (27)

Chapters

2022

  1. Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery
    A chapter in Entrepreneurship and Innovation Policy and the Economy, volume 2, 2022, pp 9-39 Downloads View citations (1)
    See also Working Paper Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery, National Bureau of Economic Research, Inc (2022) Downloads View citations (1) (2022)

2015

  1. Where To From Here?
    Chapter 27 in The New International Financial System Analyzing the Cumulative Impact of Regulatory Reform, 2015, pp 569-577 Downloads

2012

  1. Introduction to "Quantifying Systemic Risk"
    A chapter in Quantifying Systemic Risk, 2012, pp 1-10 Downloads View citations (5)

2010

  1. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    A chapter in Market Institutions and Financial Market Risk, 2010 View citations (53)
    See also Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Elsevier (2012) Downloads View citations (1105) (2012)
    Working Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Department of Economics, University of Venice "Ca' Foscari" (2011) Downloads View citations (16) (2011)
  2. Introduction
    A chapter in Hedge Funds: An Analytic Perspective Updated Edition, 2010 Downloads

2007

  1. Systemic Risk and Hedge Funds
    A chapter in The Risks of Financial Institutions, 2007, pp 235-330 Downloads View citations (13)
    See also Working Paper Systemic Risk and Hedge Funds, National Bureau of Economic Research, Inc (2005) Downloads View citations (50) (2005)

2005

  1. IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER
    Chapter 3 in The World Of Risk Management, 2005, pp 47-92 Downloads
  2. SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS
    Chapter 2 in The World Of Hedge Funds Characteristics and Analysis, 2005, pp 7-47 Downloads

2001

  1. WHEN IS TIME CONTINUOUS?
    Chapter 3 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), 2001, pp 71-102 Downloads View citations (2)
    See also Journal Article When is time continuous?, Elsevier (2000) Downloads View citations (49) (2000)

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 (2)
 
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