Research


Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

with Dmitry V. Repin and Brett N. Steenbarger, American Economic Review 95 (2005), 352–359.

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The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management 30 (2004), 15–29.

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Asset Prices and Trading Volume Under Fixed Transactions Costs

with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.

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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

with Mila Getmansky and Igor Makarov, Journal of Financial Economics 74 (2004), 529–609.

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Sifting Through the Wreckage: Lessons from Recent Hedge Fund Liquidations

with Mila Getmansky and Shauna X. Mei, Journal of Investment Management 2 (2004), 6–38.

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It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier

with Constantin Petrov and Martin Wierzbicki, Journal of Investment Management 1 (2003), 55–93.

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The Statistics of Sharpe Ratios

Financial Analysts Journal 58 (2002), 36-52

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Marketable Alternatives

Commonfund Quarterly Fall 2002.

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Econometric Models of Limit-Order Executions

with Craig MacKinlay and June Zhang, Journal of Financial Economics 65 (2002), 31–71.

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The Psychophysiology of Real-Time Financial Risk Processing

with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.

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