Research


Asset Allocation and Derivatives

with Martin Haugh, Quantitative Finance 1 (2001), 45–72.

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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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Finance: A Selective Survey

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

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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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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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The Origin of Behavior

with Thomas Brennan, Quarterly Journal of Finance 1 (2011), 55-108.

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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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Security Trading of Concepts (STOC)

with Ely Dahan, Adlar J. Kim, Tomaso Poggio, and Nicholas T. Chan, Journal of Marketing Research, 48 (2011), 497-517.

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The National Transportation Safety Board: A Model for Systemic Risk Management

with Eric Fielding and Jian Helen Yang, Journal of Investment Management 9 (2011), 17-49.

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What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

with Amir Khandani, Journal of Financial Markets 14 (2011), 1-46.

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