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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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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Maximizing Predictability in the Stock and Bond Markets

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

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Implementing Option Pricing Models When Asset Returns Are Predictable

with Jiang Wang, Journal of Finance 50 (1995), 87–129.

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A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

with James Hutchinson and Tomaso Poggio, Journal of Finance 49 (1994), 851-889.

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Nontrading Effect

with Craig MacKinlay, New Palgrave Dictionary of Money and Finance, 1992, London: Stockton Press

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Empirical Issues in the Pricing of Options and Other Derivative Securities

Cuadernos Economicos de ICE 50 (1992), 129–155.

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