Research


Agent-Based Models of Financial Markets: A Comparison with Experimental Markets

with Nicholas Chan, Blake LeBaron, and Tomaso Poggio

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Finance: A Selective Survey

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

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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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A Non-Random Walk Down Wall Street: Recent Advances in Financial Technology

Research Dialogues 52 (1997) TIAA-CREF

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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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A Non-Random Walk Down Wall Street

The Proceedings of the 1994 Wiener Centennial Symposium, edited by D. Jerison, I. Singer, and D. Stroock. Providence, RI: American Mathematical Society.

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Neural Networks and Other Nonparametric Techniques in Economics and Finance

Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 1994. Charlottesville, VA: Association for Investment Management and Research.

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An Econometric Analysis of Nonsynchronous Trading

with Craig MacKinlay, Journal of Econometrics 45 (1990), 181–212.

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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

with Craig MacKinlay, Review of Financial Studies 1 (1988), 41-66.

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