Research


Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

with Jiang Wang, Review of Financial Studies 13 (2000), 257–300.

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When Is Time Continuous?

with Dimitris Bertsimas and Leonid Kogan, Journal of Financial Economics 55 (2000), 173–204.

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Finance: A Selective Survey

Journal of the American Statistical Association 95 (2000), 629-635.

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.

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The Three P’s of Total Risk Management

Financial Analysts Journal 55 (1999), 13–26.

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Frontiers of Finance: Evolution and Efficient Markets

with J. Doyne Farmer, Proceedings of the National Academy of Sciences 96 (1999), 9991–9992.

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Optimal Control of Execution Costs

with Dimitris Bertsimas, Journal of Financial Markets 1 (1998), 1–50.

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Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

with Yacine Ait-Sahalia, Journal of Finance 52 (1998), 499–548.

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Fat Tails, Long Memory, and the Stock Market Since the 1960’s

Economic Notes 26 (1997), 219–252.

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Maximizing Predictability in the Stock and Bond Markets

with Craig MacKinlay, Macroeconomic Dynamics 1 (1997), 118–158.

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