Research


An Econometric Analysis of Nonsynchronous Trading

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

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Games of Survival in the Newspaper Industry

with Randolph Bucklin and Richard Caves, Applied Economics 21 (1989), 631–650.

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Optimal Control of Execution Costs

with Dimitris Bertsimas, Journal of Financial Markets 1 (1998), 1–50.

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The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation

with Craig MacKinlay, Journal of Econometrics 40 (1989), 203-238.

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

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

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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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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Econometric Theory 4 (1988), 231-247.

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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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Asset Prices and Trading Volume Under Fixed Transactions Costs

with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.

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