Research


Stop-loss Strategies with Serial Correlation, Regime Switching, and Transaction Costs

with Alexander Remorov, Journal of Financial Markets 34 (2017) 1–15

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Moore’s Law Vs. Murphy’s Law in the Financial System: Who’s Winning?

Journal of Investment Management 15 (2017), 17–38.

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TRC Networks and Systemic Risk

with Roger Stein, Journal of Alternative Investment 18(2016), 52–67.

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Risk and Risk Management in the Credit Card Industry

with Florentin Butaru, Qingqing Chen, Brian Clark, Sanmay Das, Akhtar Siddique, Journal of Banking and Finance 72(2016), 218–239.

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A New Approach to Financial Regulation

with Simon A. Levin, Proceedings of the National Academy of Sciences 112(2015), 12543–12544.

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Dealing with Femtorisks in International Relations

with Aaron Benjamin Frank, Margaret Goud Collins, Simon A. Levin, Andrew W. Lo, Joshua Ramo, Ulf Dieckmann, Victor Kremenyukf, Arkady Kryazhimskiy, JoAnne Linnerooth-Bayer, Ben Ramalingam, J. Stapleton Roy, Donald G. Saari, Stefan Thurner, and Detlof von Winterfeldt, Proceedings of the National Academy of Sciences 111(2014), 17356–17362.

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Dynamic Loss Probabilities and Implications for Financial Regulation

with Thomas J. Brennan, Yale Journal on Regulation 31(2014), 667–694.

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Dealing with Femtorisks in International Relations

with Aaron Benjamin Frank, Margaret Goud Collins, Simon A. Levin, Joshua Ramo, Ulf Dieckmann, Victor Kremenyuk, Arkady Kryazhimskiy, JoAnne Linnerooth-Bayer, Ben Ramalingam, J. Stapleton Roy, Donald G. Saari, Stefan Thurner, Detlof von Winterfeldt, PNAS (2014)

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When Do Stop-Loss Rules Stop Losses?

with Kathryn M. Kaminski, Journal of Financial Markets 18 (2014), 234-254.

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On a New Approach for Analyzing and Managing Macrofinancial Risks

with Robert C. Merton, Monica Billio, Mila Getmansky, Dale Gray, Loriana Pelizzon, Financial Analysts Journal 69 (2013), 22-33.

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