Research


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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Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

Journal of Econometrics 31 (1986), 151-178.

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An Ordered Probit Analysis of Transaction Stock Prices

with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31 (1992), 319–379.

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Statistical Test of Contingent Claims Asset-Pricing Models: A New Methodology

Journal of Financial Economics 17 (1986), 143-173.

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Long-Term Memory in Stock Market Prices

Econometrica 59 (1991), 1279–1313.

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A Large-Sample Chow Test for the Single Linear Simultaneous Equation

with Whitney Newey, Economics Letters 19 (1986), 351-353.

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Optimal Control of Execution Costs for Portfolios

with Dimitris Bertsimas and Paul Hummel, Computing in Science & Engineering 1 (2000), 40–53.

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The Psychophysiology of Real-Time Financial Risk Processing

with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.

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Nonparametric Risk Management and Implied Risk Aversion

with Yacine Ait-Sahalia, Journal of Econometrics 94 (2000), 9–51.

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Econometric Models of Limit-Order Executions

with Craig MacKinlay and June Zhang, Journal of Financial Economics 65 (2002), 31–71.

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